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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.

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Author

David Blitz, PhD
Head Quantitative Equities Research


Author

Pim van Vliet, PhD
Senior Portfolio Manager