By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

Investment insights 2012

Factor investing: from theory to practice

21-11-2012 | Insight | David Blitz, PhD

The theoretical returns of factors such as value, low-volatility and momentum are well documented. But how do you translate them into workable strategies? In this interview, David Blitz, Robeco’s Head of Quantitative Equities Research, explains how investor portfolios can benefit from factor investing.

The added value of factor investing

16-11-2012 | Insight | Tom Steenkamp

In this video, Investment Solutions’ Tom Steenkamp discusses Robeco research showing that the traditional small-cap, value, low-volatility and momentum factors not only improve equity portfolio efficiency but also work for credit and commodity portfolios.

What is driving the growth in low-volatility investing?

18-10-2012 | Insight | Arlette van Ditshuizen

A long and successful track record, portfolios covering global, developed and emerging markets and a sophisticated quantitative investment process are propelling the take-up of Conservative Equities, says Arlette van Ditshuizen.

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.

Residual Equity Momentum for Corporate Bonds

17-08-2012 | Research | Daniël Haesen, CFA, Jeroen van Zundert, Patrick Houweling, PhD

Residual Equity Momentum for Corporate Bonds

Strategic allocations to factor premiums: the next big thing?

10-07-2012 | Insight | David Blitz, PhD

“Why limit yourself to the equity premium,” asks David Blitz, Head, Robeco Quantitative Equity Research, “when there are systematic factor strategies that outperform market-cap-weighted benchmarks?” Recent research from Robeco looks at how to translate the theory of factor premium investing into practice.

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.

On the nature and predictability of corporate bond returns

16-05-2012 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD

Corporate bond returns consist of two distinct components: an interest rate component, which is default-free and anti-cyclical, and a credit spread component, which is default-risky and pro-cyclical.

The mythical risk premium

16-05-2012 | Research | Eric Falkenstein, Ph.D

“The higher the risk, the more deluded the investors,” according to Eric Falkenstein, PhD, speaking at the Robeco 2012 Low-Volatility Investing seminar.

Case closed: high volatile stocks have lower returns

16-05-2012 | Insight

A long-time advocate of low-volatility investing, Robert Haugen, believes the evidence in favor of low-volatility investing is overwhelming.

Professor Robert Haugen speaks at Robeco low-volatility investing seminar

10-05-2012 | Insight

Professor Robert Haugen –father of low volatility investing- has surprising results on the performance of high and low volatility equities across the world. He also explains why.

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.

Applying the low-risk anomaly to corporate bonds: a Q&A with Patrick Houweling

18-04-2012 | Insight | Patrick Houweling, PhD

Robeco Conservative Credits exploits the low-risk anomaly in corporate bonds by investing in short-term credits with low distress risk.

The low-risk anomaly in credits

01-04-2012 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD, Paul Beekhuizen, Peter Kwaak, Renxuan Wang, Sander Bus, Victor Verberk

In this Research Note we show that low-risk credits had superior risk-adjusted excess returns over the past 20 years.1 By selecting low-risk bonds from low-risk issuers, investors would have earned credit-like returns at substantially lower risk.

New innovation for low volatility investing: better prepared for the future

16-03-2012 | Insight | David Blitz, PhD

A new, more forward looking approach to risk in low-volatility equity investing. Head of Quantitative Equities Research David Blitz explains how risk can be reduced.

A proof of the optimality of volatility weighting over time

20-02-2012 | Research | Winfried Hallerbach, PhD

We provide a proof that volatility weighting over time increases the Sharpe or Information Ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher the risk-adjusted performance

Another look at the performance of actively managed equity mutual funds

14-02-2012 | Research | David Blitz, PhD, Joop Huij, PhD

In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds.

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.

Share this page: