摘要: Presents evidence from the Australian Stock Exchange that contradicts the view that most price-relevant information originates while financial markets are in operation. Return volatility; Variance ratios; Index returns.关键词: RETURN VOLATILITY VARIANCE RATIOS ASX INDEX RETURNS ...
index optionsGARCH models of financial time series are popular because they are flexible and able to explain volatility clustering and the skewness and kurtosis of asset price returns. Pricing options when the underlying asset follows a GARCH process is challenging. Monte Carlo methods are slow, and...
Learn More 1Source: FactSet, S&P Dow Jones Indices. The market capitalisation of the ASX200 Index relative to the All Ordinaries Index was 87.1% as at 31 July 2023. Risk associated with equity investing include stock values which may fluctuate in response to the activities of individual compani...
The most well-known Active ETF is the BetaShares Australian Equities Bear Hedge Fund (BEAR) which aims to generate returns that are negatively correlated to the returns of the S&P/ASX 200 Accumulation index. While ETFs provide an excellent way to gain exposure to a whole market or sector throu...
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The fund aims to provide investors with the performance of the S&P/ASX 20 Accumulation Index, before fees and expenses. The index is designed to measure the performance of the 20 largest Australian securities listed on the ASX. This product is likely to be appropriate for a consumer: • who...
Discipline and Sustainability –Further, the group is maintaining its disciplined approach to risk and the efficient use of capital in order to deliver sustainable shareholder returns. To support its new refreshed strategy, the group has established three new divisions: ...
Dividend Opportunities Index. This is reflected in the historical benchmark performance, with returns prior to 1 December 2022 reflecting those of the S&P/ASX Dividend Opportunities Index while returns from 1 December 2022 reflect those of the S&P/ASX Sustainability Screened Dividend Opportunities Index...
Access comprehensive information on the L1 Long Short Fund Limited (ASX:LSF), including share price, fund reports, performance & dividend reinvestment details
Fees are varied but usually higher than ETFs (~1.0% -1.5% of net assets) and it’s common to have a performance fee (~20% of any returns above the specified benchmark). As at May 2018, there’s over 80 LICs on the ASX.