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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.
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.
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.
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
“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.
An enhanced low-volatility strategy, which also provides exposure to valuation and sentiment factors, can improve returns by up to 6% a year.
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.
A long-time advocate of low-volatility investing, Robert Haugen, believes the evidence in favor of low-volatility investing is overwhelming.
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.
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.
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
In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds.
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.