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While others are admiring growth, we’re assessing risk

Low volatility previous publications

Why is there a volatility effect?

29-05-2013 | Research | David Blitz, PhD, Eric Falkenstein, Ph.D, Pim van Vliet, PhD

Robeco’s David Blitz, Pim van Vliet and author Eric Falkenstein publish their paper ‘Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions’.

Are low-volatility stocks expensive?

22-05-2013 | Insight | Pim van Vliet, PhD

Some investors are wondering if low-volatility stocks are getting expensive. An enhanced approach is necessary to prevent buying too expensive stocks.

Surprising results of lower volatility equities in emerging markets

01-05-2013 | Research | David Blitz, PhD, Pim van Vliet, PhD

Emerging markets have become increasingly important to equity investors due to their fast growing economies. But what is the relationship between risk and return in these markets? Answer: it is flat or even negative. Empirical results show that the volatility effect - long-term equity returns at distinctly lower downside risk - is significant, robust and distinct.

Factor investing: from theory to practice

21-11-2012 | Insight | David Blitz, PhD

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.

The added value of factor investing

16-11-2012 | Insight | Tom Steenkamp

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.

What is driving the growth in low-volatility investing?

18-10-2012 | Insight | Arlette van Ditshuizen

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.

Getting the most out of low-vol investing

27-08-2012 | Insight | Pim van Vliet, PhD

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.

Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive

01-06-2012 | Research | Pim van Vliet, PhD

An enhanced low-volatility strategy, which also provides exposure to valuation and sentiment factors, can improve returns by up to 6% a year.

The mythical risk premium

16-05-2012 | Research | Eric Falkenstein, Ph.D

“The higher the risk, the more deluded the investors,” according to Eric Falkenstein, PhD, speaking at the Robeco 2012 Low-Volatility Investing seminar.

Case closed: high volatile stocks have lower returns

16-05-2012 | Insight

A long-time advocate of low-volatility investing, Robert Haugen, believes the evidence in favor of low-volatility investing is overwhelming.

Professor Robert Haugen speaks at Robeco low-volatility investing seminar

10-05-2012 | Insight

Professor Robert Haugen –father of low volatility investing- has surprising results on the performance of high and low volatility equities across the world. He also explains why.

Preface to Low-Volatility Investing

01-05-2012 | Insight | David Blitz, PhD, Pim van Vliet, PhD

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.

Applying the low-risk anomaly to corporate bonds: a Q&A with Patrick Houweling

18-04-2012 | Insight | Patrick Houweling, PhD

Robeco Conservative Credits exploits the low-risk anomaly in corporate bonds by investing in short-term credits with low distress risk.

New innovation for low volatility investing: better prepared for the future

16-03-2012 | Insight | David Blitz, PhD

A new, more forward looking approach to risk in low-volatility equity investing. Head of Quantitative Equities Research David Blitz explains how risk can be reduced.

Low-volatility investing: a long-term perspective

16-01-2012 | Research | Pim van Vliet, PhD

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.

How to benchmark low-volatility strategies

14-07-2011 | Research | David Blitz, PhD, Pim van Vliet, PhD

What is the best way to measure the performance of a strategy focused on risk-adjusted return? David Blitz and Pim van Vliet answer this question in their article, Benchmarking Low-Volatility Strategies, published in the Journal of Index Investing.

Q&A on Robeco Emerging Conservative Equities

28-03-2011 | Insight | Pim van Vliet, PhD

A rare application of a low-volatility strategy in emerging markets, Robeco Emerging Conservative Equities was launched in February 2011. Pim van Vliet, Senior Portfolio Manager, Low-Volatility Equities, explains the new strategy, the research underpinning it and how it fits into an institutional portfolio.

Robeco Emerging Conservative Equities

10-03-2011 | Insight | Pim van Vliet, PhD

Portfolio manager Pim van Vliet explains that the Conservative Equity strategy can also be applied to emerging markets.

Low risk stocks highly suitable for long-term investors

15-01-2011 | Research | Pim van Vliet, PhD

A decentralized professional investment process can lead to inefficient portfolios. Low-risk equities are undervalued because active managers have a dual incentive to buy high-risk stocks.

Interesting findings risk vs. return

26-11-2010 | Insight | Pim van Vliet, PhD

Low-risk stocks lead to higher risk adjusted returns. Portfolio manager Pim van Vliet reveals why and how investors can benefit.

The risk premium is practically zero

15-11-2010 | Insight | Eric Falkenstein, Ph.D

The risk premium does not exist and the scope of its failure is wide, says, Eric Falkenstein, Ph.D. and low volatility investing expert.

Improving coverage ratios with less risk

29-10-2010 | Research | Pim van Vliet, PhD

Pension funds can protect funding ratios by making low-risk stocks a part of their equity allocation, says Pim van Vliet, Senior Portfolio Manager, Robeco Low Volatility Equities.

Ten things you should know about minimum volatility investing

01-10-2010 | Insight | Pim van Vliet, PhD

Low-volatility investing is gaining momentum among institutional investors, Pim van Vliet, Senior Portfolio Manager, Robeco Low Volatility Equities, summarizes the strategy’s key points.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio. Well-known examples are the value, size and momentum strategies, for which return premiums have been documented in US and international stock markets. Market efficiency is also challenged, however, if some simple investment strategy generates a return similar to that of the market, but at a systematically lower level of risk.

Downside risk and empirical asset pricing

16-12-2004 | Research | Pim van Vliet, PhD

The last decades have witnessed some major developments in the field of asset pricing. These have contributed to a better understanding of stock, bond and other asset prices and have influenced other disciplines such as corporate finance and macro economics.

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Pim van Vliet, PhD
Senior Portfolio Manager


Low-volatility strategies

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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

Watch the videos