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Beauty and the beast of low-volatility investing

Beauty and the beast of low-volatility investing

17-02-2015 | Research

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.

  • David Blitz
    David
    Blitz
    Chief Researcher
  • Pim van Vliet, PhD
    Pim
    van Vliet, PhD
    Portfolio Manager and Co-Head of Robeco’s Quantitative Equities department
  • Matthias Hanauer
    Matthias
    Hanauer
    Researcher

Speed read

  • What differentiates a successful low-volatility approach from an unsuccessful one?
  • What is good, what is bad and how do generic low-volatility strategies fit into this?    
  • How can you avoid expensive losers?
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