By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

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: Low-volatility anomaly among mutual funds

27-05-2015 | David Blitz, PhD A paper* examines whether the low-volatility anomaly, which has been extensively documented for global equity markets, is also visible in mutual fund returns.

In order to address this question the paper sorts mutual funds in quintile portfolios based on their past beta, and finds that the quintile portfolio containing the least risky funds generates an alpha of 2.52% per annum. Thus, the low-volatility anomaly indeed appears to be present among mutual funds as well.

Frankly, we were a bit surprised by this result, given that the first funds dedicated to capturing the low-volatility anomaly were introduced only as recently as the mid-2000s (e.g. Robeco’s Conservative Equity funds). Thus, we wonder if perhaps the funds that are identified as low-beta in this study are really funds which systematically target low-volatility stocks, or actually funds which have a low beta for other reasons, such as investing in cash or bonds next to conventional equities. A further investigation of this issue would, in our view, be an interesting topic for follow-up research.

* Nanigian (2012), “Capitalizing on the Greatest Anomaly in Finance with Mutual Funds”

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.”

Share this page:

Author

David Blitz, PhD
Head Quantitative Equities Research


Join the conversation




Newsletter

Sign up for our email newsletter to receive updates and to stay informed about upcoming webinars.