BY CLICKING ON “I AGREE”, I DECLARE I AM A WHOLESALE CLIENT AS DEFINED IN THE CORPORATIONS ACT 2001.
What is a Wholesale Client?
A person or entity is a “wholesale client” if they satisfy the requirements of section 761G of the Corporations Act.
This commonly includes a person or entity:
A paper* argues that many popular return anomalies have materially diminished in strength and significance over time, and relates these findings to increased anomaly-related trading by a.o. hedge funds. The factors which have weakened according to the study include the well-known size, value, momentum and low-volatility.
We are puzzled by these findings, as we find that our quantitative strategies, which are based on such anomalies, have generated returns in real life that are highly consistent with the figures we found in our original portfolio simulation, for developed as well as for emerging markets. Perhaps this has to do with the fact that we use more sophisticated alpha factors than the ones generally considered in the academic literature.