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Overview articles Pim van Vliet

Robeco Quarterly December 2016

01-12-2016 | Magazine | David Blitz, PhD, Jan Sytze Mosselaar, Jeroen Blokland, Léon Cornelissen, Lukas Daalder, Peter Ferket, Pim van Vliet, PhD

Download the second edition of Robeco Quarterly, our 40-page magazine for professional investors, focusing on quant investing, sustainability investing and research. Also in this edition: a long-read on liquid alternatives, a summary of Robeco’s 2017 outlook and an interview with Mark Glazener on the risks of aggressive tax policies.

Low Volatility in historical perspective: Fund investing since 1774

21-09-2016 | Research | Jan Sytze Mosselaar, Pim van Vliet, PhD

As portfolio managers of Robeco Conservative Equities, we want to place our role into a historical perspective and learn from the history of financial markets, and mutual funds in particular. History teaches us that good ideas do not necessarily guarantee successful funds. Timing is everything. Still, capital protection, high income and low turnover are timeless factors that are still relevant today.

Honey, how much did you say you paid for these low-vol stocks?

12-09-2016 | Research | Maarten Polfliet, Pim van Vliet, PhD

Investors are worried about the high valuations of stocks in general and low-volatility stocks in particular. And so are we! In relative terms, low-volatility stocks have become more expensive during the last two years, but it’s not the first time. It happened first in 2008 and again in 2011.

Year-to-date: Low-volatility evidence dating back to 1873

15-08-2016 | Insight | David Blitz, PhD, Pim van Vliet, PhD

As new historical databases are opening up, there are great opportunities for out-of-sample tests of market anomalies. Research shows that the volatility effect also existed in the 19th century.

Year-to-date: It's all about income and stable returns

03-08-2016 | Insight | Pim van Vliet, PhD

This year is the tenth anniversary of the launch of Robeco Emerging Conservative Equities. It is more than just a pure low-volatility fund.

Robeco adds fourth factor Quality to its factor investing strategies

15-06-2016 | Insight | David Blitz, PhD, Joop Huij, PhD, Pim van Vliet, PhD, Simon D. Lansdorp

Investors increasingly decide to allocate strategically to factor premiums such as Value, Momentum and Low-Volatility. Robeco is now incorporating a fourth factor, Quality, in the investment process of its factor funds.

Conservative Equities in historical perspective: Investment behavior since 1602

18-04-2016 | Research | Jan Sytze Mosselaar, Pim van Vliet, PhD

Since the birth of the modern stock market in 1602, the pendulum of the investment culture has moved from a return focus to a risk focus and back.

10 years of Conservative Equities Investing

21-03-2016 | Interview | Pim van Vliet, PhD

Pim van Vliet explains why Robeco’s Conservative Equities Strategy has been successful for 10 years. “Low-risk stocks paradoxically give high risk-adjusted returns.”

It's all about income and stable returns

25-02-2016 | Insight | Pim van Vliet, PhD

This year is the tenth anniversary of the launch of Robeco Emerging Conservative Equities. It is more than just a pure low-volatility fund.

Low-volatility evidence dating back to 1873

15-02-2016 | Insight | David Blitz, PhD, Pim van Vliet, PhD

As new historical databases are opening up, there are great opportunities for out-of-sample tests of market anomalies. Research shows that the volatility effect also existed in the 19th century.

Are all low vol stocks really that sensitive to interest rate risk?

11-11-2015 | Insight | Pim van Vliet, PhD

Investors are still awaiting the first rate hike by the Federal Reserve since June 2006. According to Bloomberg, since the last Fed statement, at the end of October, the odds for a December rate hike have risen from 37% to 48%.

Fama-French 5-factor model: why more is not always better

21-10-2015 | Best read 2015 | David Blitz, PhD, Pim van Vliet, PhD

Fama and French have expanded their original 3-factor model by adding two factors. What do we think of this?

Low turnover: a virtue of low volatility

08-06-2015 | Insight | Pim van Vliet, PhD

Trading is necessary to follow an active strategy, but excessive trading is linked to human behavior. In his new paper just published on SSRN Pim van Vliet looked into why investors trade and how much trading is needed for an effective low-volatility strategy.

European low-vol stocks: lessons from ‘a lost decade’

29-05-2015 | Volvo Ocean Race | Pim van Vliet, PhD

Europe has seen a modest pick-up in economic growth in the first quarter, with unexpectedly strong figures coming in from France and Italy. But the region still faces an environment characterized by low interest rates with low expected economic growth and low inflation. This environment resembles the scenario Japan faced in the 1990s. What are the lessons for investors in low-volatility European stocks?

US low-vol: why it's time to be selective

19-05-2015 | Volvo Ocean Race | Pim van Vliet, PhD

Portfolio manager Pim van Vliet discusses how he selects low-volatility stocks within Robeco Conservative Equities and explains why the strategy works in the US and in other parts of the world.

Sustainability integration in Quantitative Equity strategies

10-03-2015 | Insight | Bart Van der Grient, Michael Strating, Pim van Vliet, PhD, Wilma de Groot, CFA

Robeco is committed to sustainable investing. All Robeco Quantitative Equity strategies already integrated ESG factors (Environment, Social and Governance), and since December 2014, we have taken this one step further.

Beauty and the beast of low-volatility investing

17-02-2015 | Insight | David Blitz, PhD, Pim van Vliet, PhD, Matthias Hanauer

Usually focusing on how to design the best low-volatility strategy, David Blitz, Matthias Hanauer and Pim van Vliet have set out to construct a very bad low-volatility strategy. Comparing good and bad low-volatility strategies they found very different performance characteristics. Clearly, not all low-volatility stocks are created equal. The results highlight the importance of being selective when investing in low-volatility stocks.

Low-Volatility Investing: Collected Robeco Articles

01-01-2015 | Research | David Blitz, PhD, Pim van Vliet, PhD

The second edition of the first and only book to focus on the volatility effect, "Low-Volatility Investing" by David Blitz, PhD, Head Robeco Quantitative Equity Research and Pim van Vliet, PhD, Senior Portfolio Manager, Robeco Conservative Equities, presents our research on low-volatility investing from a number of different angels important to investors.

Low-volatility investing: Expect the unexpected

06-11-2014 | Research | David Blitz, PhD, Pim van Vliet, PhD

Low-volatility stocks are known to lag in rising markets and lose less in falling markets. On average this is true, but is it always the case? Examining the historical evidence we find that unlikely scenarios – both positive and negative - do occur once in a while. Low-volatility investors should therefore not only focus on averages, but consider a broader range of possible outcomes.

When factors disagree

30-09-2014 | Research | Bart Van der Grient, David Blitz, PhD, Pim van Vliet, PhD

Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. But enhanced factor strategies avoid stocks that are unattractive on other established factors and continue to deliver when generic factor strategies struggle.

Why not all low-volatility stocks are equal

15-09-2014 | Insight | Arlette van Ditshuizen, Pim van Vliet, PhD

Low-volatility investing is becoming more popular. Many professional investors currently explicitly allocate a significant portion of their portfolio to low-volatility stocks. Robeco uses an enhanced approach to increase returns and reduce risk.

Are low-volatility stocks becoming expensive?

25-07-2014 | Insight | Pim van Vliet, PhD

Low-volatility stocks are in high demand. According to Pim van Vliet, portfolio manager of Conservative Equities, a generic low-volatility strategy is getting more expensive. An enhanced approach is necessary to prevent buying too expensive stocks.

Low-volatility investing: how does the Robeco approach differ?

30-09-2013 | Insight | Pim van Vliet, PhD

What makes the Robeco approach to low-volatility investing special? Pim van Vliet, Portfolio Manager Conservative Equities, reveals three main differences.

What is the low volatility anomaly?

19-09-2013 | Insight | Pim van Vliet, PhD

Risk and return do not always go hand in hand. But why? Watch Pim van Vliet, Portfolio Manager Conservative Equities.

How does the conservative strategy fit into a portfolio?

05-09-2013 | Insight | Pim van Vliet, PhD

Pim van Vliet, Portfolio Manager Conservative Equities, reveals how the strategy fits into a broader investment portfolio.

10 things to know about Conservative Equities

04-09-2013 | Insight | Pim van Vliet, PhD

Robeco’s Conservative Equities strategies aim for equity returns with lower downside risk. Get to know our approach in just ten steps. Pim van Vliet, Portfolio Manager Conservative Equities, explains the advantages of low-volatility investing and how it fits into your portfolio.

Why is there a volatility effect?

29-05-2013 | Research | David Blitz, PhD, Eric Falkenstein, Ph.D, Pim van Vliet, PhD

Robeco’s David Blitz, Pim van Vliet and author Eric Falkenstein publish their paper ‘Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions’.

Are low-volatility stocks expensive?

22-05-2013 | Insight | Pim van Vliet, PhD

Some investors are wondering if low-volatility stocks are getting expensive. An enhanced approach is necessary to prevent buying too expensive stocks.

Surprising results of lower volatility equities in emerging markets

01-05-2013 | Research | David Blitz, PhD, Pim van Vliet, PhD

Emerging markets have become increasingly important to equity investors due to their fast growing economies. But what is the relationship between risk and return in these markets? Answer: it is flat or even negative. Empirical results show that the volatility effect - long-term equity returns at distinctly lower downside risk - is significant, robust and distinct.

Getting the most out of low-vol investing

27-08-2012 | Insight | Pim van Vliet, PhD

Do you know why it makes sense to invest in an enhanced low-volatility strategy rather than a generic alternative? That is just one question answered by Pim van Vliet, Senior Portfolio Manager of Robeco Conservative Equities, in a new FAQ on low-volatility investing.

Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive

01-06-2012 | Research | Pim van Vliet, PhD

An enhanced low-volatility strategy, which also provides exposure to valuation and sentiment factors, can improve returns by up to 6% a year.

Preface to Low-Volatility Investing

01-05-2012 | Insight | David Blitz, PhD, Pim van Vliet, PhD

We are pleased to present you with this collection of 13 articles on low-volatility investing. The articles included here share two things in common: they all dig into the low-volatility anomaly and they are all written by Robeco researchers.

Low-volatility investing: a long-term perspective

16-01-2012 | Research | Pim van Vliet, PhD

The volatility effect is present in US stock returns in every decade from 1931-2009. During these decades, low-volatility stocks produced a positive absolute return, with lower risk than the market-capitalization-weighted index.

How to benchmark low-volatility strategies

14-07-2011 | Research | David Blitz, PhD, Pim van Vliet, PhD

What is the best way to measure the performance of a strategy focused on risk-adjusted return? David Blitz and Pim van Vliet answer this question in their article, Benchmarking Low-Volatility Strategies, published in the Journal of Index Investing.

Q&A on Robeco Emerging Conservative Equities

28-03-2011 | Insight | Pim van Vliet, PhD

A rare application of a low-volatility strategy in emerging markets, Robeco Emerging Conservative Equities was launched in February 2011. Pim van Vliet, Senior Portfolio Manager, Low-Volatility Equities, explains the new strategy, the research underpinning it and how it fits into an institutional portfolio.

Robeco Emerging Conservative Equities

10-03-2011 | Insight | Pim van Vliet, PhD

Portfolio manager Pim van Vliet explains that the Conservative Equity strategy can also be applied to emerging markets.

Low risk stocks highly suitable for long-term investors

15-01-2011 | Research | Pim van Vliet, PhD

A decentralized professional investment process can lead to inefficient portfolios. Low-risk equities are undervalued because active managers have a dual incentive to buy high-risk stocks.

Interesting findings risk vs. return

26-11-2010 | Insight | Pim van Vliet, PhD

Low-risk stocks lead to higher risk adjusted returns. Portfolio manager Pim van Vliet reveals why and how investors can benefit.

Improving coverage ratios with less risk

29-10-2010 | Research | Pim van Vliet, PhD

Pension funds can protect funding ratios by making low-risk stocks a part of their equity allocation, says Pim van Vliet, Senior Portfolio Manager, Robeco Low Volatility Equities.

Ten things you should know about minimum volatility investing

01-10-2010 | Insight | Pim van Vliet, PhD

Low-volatility investing is gaining momentum among institutional investors, Pim van Vliet, Senior Portfolio Manager, Robeco Low Volatility Equities, summarizes the strategy’s key points.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio. Well-known examples are the value, size and momentum strategies, for which return premiums have been documented in US and international stock markets. Market efficiency is also challenged, however, if some simple investment strategy generates a return similar to that of the market, but at a systematically lower level of risk.

Downside risk and empirical asset pricing

16-12-2004 | Research | Pim van Vliet, PhD

The last decades have witnessed some major developments in the field of asset pricing. These have contributed to a better understanding of stock, bond and other asset prices and have influenced other disciplines such as corporate finance and macro economics.

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Pim van Vliet, PhD
Senior Portfolio Manager