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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: Operating performance and the low-volatility anomaly

16-09-2015 | Insight | David Blitz, PhD A paper* confirms that low-volatility stocks earn higher returns than high-volatility stocks in equity markets around the globe, a finding which is consistent with our own work in this area. The authors then go on to argue that an explanation for this anomaly is the superior operating performance of low-volatility stocks.

However, we wonder whether this is really an explanation, or basically a rephrasing of the question, as it just replaces the puzzle of why the market misprices low-volatility stocks by the puzzle why the market fails to foresee their superior operating performance. In fact, it would probably be more puzzling if low-volatility stocks would have high returns without strong operating performance, as that would imply that low-volatility stocks only do well because their valuations go up, which would indicate that the anomaly is actually a kind of value effect.

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* Dutt & Humphery-Jenner (2013), “Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly”, Journal of Banking and Finance 37, 999-1017


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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