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.
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.
For decades academic researchers and investors have been fascinated by investment strategies that deliver extra returns simply by making use of the familiar calendar effects. A clever strategy will allow substantial profits to be made.
An enhanced low-volatility strategy, which also provides exposure to valuation and sentiment factors, can improve returns by up to 6% a year.
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.
The first and only book to focus on the volatility effect, "Low-Volatility Investing", presents low-risk investing from a number of different angles important to investors.
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.
As the Wall Street Journal recently noted, low-volatility stocks can provide downside protection for equity portfolios. Pim van Vliet, Portfolio Manager, Robeco Low Volatility Equities, provides some background on the recent good performance of lower-risk equities.
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.
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.
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.
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.
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.
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.
Pim van Vliet, senior researcher with the Robeco European Conservative Equities fund in Rotterdam, explains why low-risk equity can have higher risk-adjusted returns. This conservative equity strategy works particularly well in bear markets and when movements in equities are moderate.
Portfolio diversification may be the only free lunch available to investors. But diversification isn’t always implemented optimally. Pim van Vliet, senior researcher with Robeco in Rotterdam, explains how a Dynamic Strategic Asset Allocation approach can stabilize risk while enhancing returns.
Pim van Vliet, senior researcher with Robeco’s Quant Strategies team, has published an article outlining the attractions of the conservative equity strategy on the Wall Street Journal’s MarketWatch website.
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.