Data sets – Volatility-sorted portfolios

Data sets – Volatility-sorted portfolios

22-01-2019 | Data sets

A research-driven approach is at the core of everything we do. By offering data sets, we give investors the opportunity to conduct their own analyses.

  • Jan de Koning
    de Koning
    Portfolio Manager Core Quant Equities
  • Pim  van Vliet, PhD
    van Vliet, PhD
    Head of Conservative Equities

This data set was used for the book 'High Returns from Low Risk: A Remarkable Stock Market Paradox’ by Pim van Vliet and Jan de Koning. Their book combines the latest research with stock market data going back to 1929 to prove that investing in low-risk stocks paradoxically generates higher returns than high-risk stocks.

Robeco has been a pioneer in low risk investing. Groundbreaking research by Van Vliet and David Blitz published in the Journal of Portfolio Management in 2007 presented international evidence to show that stocks with low volatility earn high risk-adjusted returns, also indicating that equity investors overpay for risky stocks.

The low-volatility effect is perhaps the largest anomaly in finance, challenging the basic trade-off between risk and return, as it shows that higher risk does not necessarily lead to higher returns. Yet it remains one of the least utilized factor premiums in financial markets.

We have been managing low-risk strategies (Conservative Equities) since 2006 for various clients from all over the world and have demonstrated that investors can capture at least market like returns with high income and significant less downside risk. Today we manage over USD 20 bln in Conservative Equities strategies and with this dataset we give you the opportunity to investigate this concept as well.

This data set is constructed at the end of each month and includes NYSE, AMEX, and NASDAQ stocks. The largest 1,000 stocks priced above USD 1 are included, based on total market capitalization. Total return volatility is measured over 36 months. Rebalancing takes place at the end of each quarter. The 10 volatility-sorted portfolios each contain 100 stocks and are equally weighted and include all sectors. The Conservative Formula consists of the 100 most attractive stocks based on volatility, net payout yield and momentum.

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当資料は情報提供を目的として、Robeco Institutional Asset Management B.V.が作成した英文資料、もしくはその英文資料をロベコ・ジャパン株式会社が翻訳したものです。資料中の個別の金融商品の売買の勧誘や推奨等を目的とするものではありません。記載された情報は十分信頼できるものであると考えておりますが、その正確性、完全性を保証するものではありません。意見や見通しはあくまで作成日における弊社の判断に基づくものであり、今後予告なしに変更されることがあります。運用状況、市場動向、意見等は、過去の一時点あるいは過去の一定期間についてのものであり、過去の実績は将来の運用成果を保証または示唆するものではありません。また、記載された投資方針・戦略等は全ての投資家の皆様に適合するとは限りません。当資料は法律、税務、会計面での助言の提供を意図するものではありません。




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