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from-the-field-175x95px.jpgFROM THE FIELD: Robeco researchers publish many whitepapers based on their own empirical studies. But they also closely follow quantitative research done by others. Head of Quantitative Equities Research David Blitz comments on notable external papers.

From the field: A critical perspective on ETFs

08-06-2016 | Insight | David Blitz, PhD ETFs are rapidly gaining popularity, but do they ultimately benefit private investors? Using data from one of the largest brokerages in Germany, the authors in this study find that individual investors using these products do not improve their portfolio performance.

As ETFs make market timing easier, they investigate whether this is primarily due to bad market timing, and find that this is indeed the case. The study concludes that the cost benefits offered by ETFs appear to be negated in practice by bad market timing.

* Bhattacharya et al, 2013, “The Dark Side of ETFs”
David Blitz

David Blitz, PhD

Head Quantitative Equities Research

“Factor investing, aimed at systematically capturing the value, momentum, low-volatility and other premiums, holds the future.”

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David Blitz, PhD
Head Quantitative Equities Research


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