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While others are admiring growth, we’re assessing risk

Low-volatility investing

Research & insights

Year-to-date: Low-volatility evidence dating back to 1873

15-08-2016 | Insight | David Blitz, PhD, Pim van Vliet, PhD

As new historical databases are opening up, there are great opportunities for out-of-sample tests of market anomalies. Research shows that the volatility effect also existed in the 19th century.

Year-to-date: It's all about income and stable returns

03-08-2016 | Insight | Pim van Vliet, PhD

This year is the tenth anniversary of the launch of Robeco Emerging Conservative Equities. It is more than just a pure low-volatility fund.

Multi-factor fund celebrates birthday with outperformance

18-07-2016 | Insight | Patrick Houweling, PhD

“Putting your research to the test is always exciting, and if it then works out well, then that’s very satisfying.” That’s how Patrick Houweling describes celebrating the first anniversary of the Global Multi-Factor Credits fund, with an outperformance chart to go with the birthday cake.

Defining the Quality factor

11-07-2016 | Insight

Robeco has added Quality to the key list of factors that it follows when constructing factor investing portfolios in equities. But how to define it? There is a disconnect between definitions of the factor ‘quality’ by academics and how it is defined by many in the asset management industry.

Factor Investing with smart beta indices

06-07-2016 | Research | David Blitz, PhD

Smart beta indices are a popular way of implementing a factor investing strategy. However, research suggests that this may not the best way, as the factor exposure provided by popular smart beta strategies varies greatly and they do not unlock the full potential of factor premiums.

Factor investing case studies – the merits of tailor made solutions

06-07-2016 | Insight | Chris Suiker, Graham Elliot, Joop Huij, PhD, Mark van der Kroft

Factor investing – the investment strategy that aims to capture ‘hidden’ returns in financial markets – is rapidly gaining in popularity. However, it is important to follow the right factors, and to be wary of one factor counteracting another, to get the best results. Otherwise, investors might follow generic factor strategies that expose them to risks that are not properly rewarded, resulting in inferior performance.

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.

Conservative Equities in historical perspective: Investment behavior since 1602

18-04-2016 | Research | Jan Sytze Mosselaar, Pim van Vliet, PhD

Since the birth of the modern stock market in 1602, the pendulum of the investment culture has moved from a return focus to a risk focus and back.

It's all about income and stable returns

25-02-2016 | Insight | Pim van Vliet, PhD

This year is the tenth anniversary of the launch of Robeco Emerging Conservative Equities. It is more than just a pure low-volatility fund.

From the field: Characteristics of different low-volatility strategies

17-02-2016 | David Blitz, PhD

A study* by three Blue Sky pension provider researchers (Bastiaan Pluijmers, Imke Hollander and Ramon Tol) together with Dimitris Melas from MSCI compares the characteristics of nine different low-volatility strategies.

Low-volatility evidence dating back to 1873

15-02-2016 | Insight | David Blitz, PhD, Pim van Vliet, PhD

As new historical databases are opening up, there are great opportunities for out-of-sample tests of market anomalies. Research shows that the volatility effect also existed in the 19th century.

Can mutual funds successfully adopt factor investing strategies?

24-11-2015 | Insight | Joop Huij, PhD

To the best of our knowledge, no study has been conducted on the added value of innovative investment strategies that incorporate academic insights. As a result, we do not know how many investment managers have incorporated academic insights or how successful they are. We have researched the topic to fill this gap in the literature.

Robeco Emerging Conservative Equities: an uncommon but proven combination of 3 factors

12-11-2015 | Insight | Arlette van Ditshuizen

Emerging markets are going through a volatile period, but the defensive investment strategy of Robeco Emerging Conservative Equities is proving its worth by outperforming the index. “Despite its relatively short history, we are very confident about the fund as is demonstrated by its Bronze Morningstar Analyst Rating. The results are more than promising.”

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.

A critical eye and patience are crucial in low-volatility investing

24-07-2015 | Insight | Peter van Kleef

On Fridays chief editor Peter van Kleef discusses thought-provoking topics with Robeco experts. This week: What to watch out for when selecting low-volatility products.

Balanced exposure to factors in credits

23-07-2015 | Patrick Houweling, PhD

Robeco Global Multi-Factor Credits, launched on June 15, 2015, is an innovative fund offering balanced exposure to the Low-Risk, Value, Momentum and Size factors in the credit market.

Low turnover: a virtue of low volatility

08-06-2015 | Insight | Pim van Vliet, PhD

Trading is necessary to follow an active strategy, but excessive trading is linked to human behavior. In his new paper just published on SSRN Pim van Vliet looked into why investors trade and how much trading is needed for an effective low-volatility strategy.

From the field: Ranking better than optimizing?

03-06-2015 | David Blitz, PhD

A paper* compares the performance of low-volatility portfolios constructed by using a ranking methodology versus portfolios constructed with mean/variance optimization.

From the field: Low-volatility anomaly among mutual funds

27-05-2015 | David Blitz, PhD

A paper* argues that size, value, momentum and other factor portfolios might be considered as alternative building blocks for strategic asset allocation, because these offer an attractive risk premium and powerful diversification benefits.

Beauty and the beast of low-volatility investing

17-02-2015 | Insight | David Blitz, PhD, Pim van Vliet, PhD, Matthias Hanauer

Usually focusing on how to design the best low-volatility strategy, David Blitz, Matthias Hanauer and Pim van Vliet have set out to construct a very bad low-volatility strategy. Comparing good and bad low-volatility strategies they found very different performance characteristics. Clearly, not all low-volatility stocks are created equal. The results highlight the importance of being selective when investing in low-volatility stocks.

Is rebalancing the source of factor premiums?

12-02-2015 | Research | David Blitz, PhD

Some argue that the mere mechanism of rebalancing increases returns, and that this explains the success of factor investment strategies. Although factor strategies do need rebalancing to maintain their exposures, there are several reasons why it is unlikely that this is their source of added value.

Low-volatility investing: Expect the unexpected

06-11-2014 | Research | David Blitz, PhD, Pim van Vliet, PhD

Low-volatility stocks are known to lag in rising markets and lose less in falling markets. On average this is true, but is it always the case? Examining the historical evidence we find that unlikely scenarios – both positive and negative - do occur once in a while. Low-volatility investors should therefore not only focus on averages, but consider a broader range of possible outcomes.

Gordon’s growth formula supports case for low volatility stocks

03-11-2014 | Insight

The application of Gordon’s growth formula to a ‘Japan scenario’, low bond yields in combination with low expected growth and low inflation, supports the case for low volatility stocks. This simple formula (left side) states that the value of a stock is equal to the present value of the expected stream of dividends.

Uncertainty over Europe makes low volatility stocks attractive

24-10-2014 | Insight | Jan Sytze Mosselaar

Growing uncertainty over the long-term outlook for Europe will lead to increased stock market volatility and a heightened focus on dividend returns. At such times, low volatility stocks usually perform well so a European low volatility strategy may be an attractive option. The downside is that their appeal may cause these stocks to become expensive. Robeco's European Conservative Equities strategy focuses on avoiding expensive low volatility stocks.

When factors disagree

30-09-2014 | Research | Bart Van der Grient, David Blitz, PhD, Pim van Vliet, PhD

Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. But enhanced factor strategies avoid stocks that are unattractive on other established factors and continue to deliver when generic factor strategies struggle.

Why not all low-volatility stocks are equal

15-09-2014 | Insight | Arlette van Ditshuizen, Pim van Vliet, PhD

Low-volatility investing is becoming more popular. Many professional investors currently explicitly allocate a significant portion of their portfolio to low-volatility stocks. Robeco uses an enhanced approach to increase returns and reduce risk.

No room for egos

11-09-2014 | Interview | Peter Ferket

Robeco’s assets under management in Quant Equities recently surpassed the EUR 20bn milestone. On this occasion, we asked Peter Ferket, CIO Equity Rotterdam and closely involved in Robeco Quant Equity since the late 1990s, how he explains the success of quant equity investing and Robeco’s role as a thought leader in this field.

Are low-volatility stocks becoming expensive?

25-07-2014 | Insight | Pim van Vliet, PhD

Low-volatility stocks are in high demand. According to Pim van Vliet, portfolio manager of Conservative Equities, a generic low-volatility strategy is getting more expensive. An enhanced approach is necessary to prevent buying too expensive stocks.

Low volatility ≠ low return

09-12-2013 | Infographic

Risk and return go hand in hand as we have been taught in finance courses. But does theory work in practice? And what is the alternative?

Robeco paper on volatility effect in EM published in Emerging Markets Review

16-10-2013 | News item

The white paper ‘The Volatility Effect in Emerging Markets’ is published in Emerging Markets Review (EMR) of September 2013.

Low-volatility investing: how does the Robeco approach differ?

30-09-2013 | Insight | Pim van Vliet, PhD

What makes the Robeco approach to low-volatility investing special? Pim van Vliet, Portfolio Manager Conservative Equities, reveals three main differences.

What is the low volatility anomaly?

19-09-2013 | Insight | Pim van Vliet, PhD

Risk and return do not always go hand in hand. But why? Watch Pim van Vliet, Portfolio Manager Conservative Equities.

How does the conservative strategy fit into a portfolio?

05-09-2013 | Insight | Pim van Vliet, PhD

Pim van Vliet, Portfolio Manager Conservative Equities, reveals how the strategy fits into a broader investment portfolio.

10 things to know about Conservative Equities

04-09-2013 | Insight | Pim van Vliet, PhD

Robeco’s Conservative Equities strategies aim for equity returns with lower downside risk. Get to know our approach in just ten steps. Pim van Vliet, Portfolio Manager Conservative Equities, explains the advantages of low-volatility investing and how it fits into your portfolio.

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Expert in this field

Pim van Vliet, PhD
Senior Portfolio Manager


Low-Volatility Investing: Collected Robeco Articles

banner-low-vol-120x152px.jpg2015 Edition of the Robeco book on low-volatility investing.

With 24 articles
by David Blitz, Pim van Vliet and other Robeco researchers.

Low Vol Book 2015 edition

Cautions pioneering in conservative strategies

Upgrade portfolio performance and absorb market shocks