salientsalowvolindexfundfacts
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Disclosure: The information provided in this document has been derived from sources believed to be reliable and accurate. However, the information presented is selective. SalientQuants makes no
representation or warranty of any kind for the accuracy or completeness of the information provided. SalientQuants, its directors, employees and associates do not accept any responsibility for loss or damage
however caused as a result of any person or institution relying on information provided in this document. There is no guarantee of trading performance and past and/or projected performances are not necessarily
a guide to future results. SalientQuants (Pty) Ltd is a Licensed Financial Services Provider (FSB License No. 32647).
Salient Low Volatility Index Fund
Fund Description and Objective: The Salient Low Volatility Fund tracks the proprietary Salient Low Volatility Index. It is constructed through a pre-defined rules-based strategy to select and weight stocks so as to achieve the lowest risk possible for the overall equity based fund. It consists of a diversified set of stocks chosen from the 60 largest and most liquid shares listed on the JSE. In this manner, the Equity Market Premium in asset class returns is offered to investors both at low risk and low cost.
The Salient Portfolio Toolkit® and Role of Active Indices in Portfolio Construction
The Salient SA Portfolio Toolkit® comprises three essential Active Index equity building blocks: (i) a Low Volatility Index (that exploits diversification and the lack of higher returns to higher volatility shares); (ii) a Value Index (that systematically buys ‘cheap’ shares) and, its counterpart; (iii) a Momentum Index (that systematically purchases shares that are outperforming their peers on price and earnings related metrics). Combining these rules-based funds allows for inexpensive, diversified, liquid and transparent investment portfolios that are void of style-drift or manager risk and explicitly customized to the client’s needs. A cloud-based multi-management tool to access monthly return series, x-ray existing active funds and create optimised portfolios using these low cost (or user selected) constituents is available to investors at http://toolkit.salientquants.com.
Performance Graph and Salient Facts:
Salient Low Vol Fund SWIX ALSI (TRI)
1 Month Return 2.55% 1.88%
6 Month Return 3.84% 13.25%
12 Month Return 10.48% 8.27%
Return (p.a.) 23.36% 15.86%
Standard Deviation (p.a.) 12.35% 14.95% Note: Return until March 2016 is simulated with zero transaction costs and fees. Standard Deviation p.a. is measured using monthly data from Jan 2003.
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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Salient LoVol 60 Index
SWIX All Share Total Return Index
1 August 2016
Key Information:
Asset Class
South African Listed Equity
Benchmark
FTSE/JSE SWIX Total Return Index
Fund Category
Low Cost Active Beta Building Block
Risk
High (H)
L LM M MH H
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Fund Manager:
Prof Paul van Rensburg
SalientQuants (Pty) Ltd
Reg. No. 2006/029820/07
Authorised Financial Services Provider
FSP 32647
ph: + 27 21 794 6071 fax: +27 21 794 5181
Dr JD Van Heerden
Head of Client Solutions
+ 27 72 460 5946
With operational support from:
..
Bespoke Client Research:
Clare Gibbs
+27 11 7227523
+ 27 72 974 0969
6A Sundown Valley Crescent
Sandown, Sandton, 2196
South Africa
“Harvesting the Equity Market Premium at Lower Risk"