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Ranking stocks based on several factors

Conservative Equities is not per se looking for the portfolio with the minimum volatility, says Jan Sytze Mosselaar in a video interviews during the Pan-European Congres in Rome. Watch the video…

Passive Low Vol versus Robeco approach: Interview Pan-European Congress 4 March

25-04-2016 | Interview | Jan Sytze Mosselaar

Today low-volatility investing is gaining a broader acceptance within academic circles and among investors.

Robeco has extensively researched this stock market anomaly and has successfully exploited these insights for our clients since 2006.
In this video interview, Jan Sytze Mosselaar, portfolio manager quantitative equities at Robeco, explains why he prefers ranking stocks based on several factors over using a mean-variance optimization process.

  • Mosselaar also explains why he attached most importance to factors such as value and momentum in his process of ranking stocks.
  • Trading costs are a large cost component for many funds, and especially for funds that follow an index.
    However, the Robeco Conservative Equity fund manages to bring down turnover significantly, reducing costs for investors.
    Mosselaar explains why fund outflows can actually be instrumental in this.
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