Quant chart: Winning by losing less

Quant chart: Winning by losing less

21-07-2022 | インサイト

Low-risk investing tends to deliver higher risk-adjusted long-term returns than the market as it tallies wins by losing less in down periods. Amid the volatile environment witnessed in the first half of 2022, this has been the case again as low-risk strategies have provided investors with valuable downside protection.

  • Matthias Hanauer
  • Jan Sytze  Mosselaar
    Jan Sytze
    Portfolio Manager

Low-risk strategies such as Conservative Equities are designed to provide risk reduction in volatile down markets, which typically comes at the expense of lagging in strong bull markets. Over an investment cycle characterized by these ups and downs, the compounded long-term returns tend to be similar or higher than the market, resulting in higher risk-adjusted returns. This effect can be epitomized by the catch phrase ‘winning by losing less’ and is contrary to the belief that higher risk leads to higher returns in the long run.

Figure 1 visualizes this concept of downside protection by showing the excess returns of the lowest volatility quintile portfolio versus the market, alongside the corresponding market returns. The months are then ordered from the lowest market returns to the highest.


Figure 1 | Winning by losing less, January 1986 to June 2022

Source: Refinitiv, Robeco. The chart shows the monthly excess returns of the lowest volatility quintile portfolio versus the market, alongside the corresponding market returns. The months are then ordered from the lowest market returns to the highest. Volatility is measured as the past 156-week return volatility. The investment universe consists of MSCI World and MSCI Emerging Markets indices constituents. Before 2001, we use the FTSE World Developed Index for developed markets (going back to December 1985) and the largest 800 constituents of the S&P Emerging BMI at the semi-annual index rebalance for emerging markets (going back to December 1995). The portfolios are value-weighted and rebalanced monthly. The sample period is from January 1986 to June 2022.

This illustrates how low-risk strategies are typically useful for investors when they most need protection. Building on more than 150 years of evidence which demonstrates the efficacy of the low volatility anomaly, low-risk stocks have yet again demonstrated their defensive characteristics by providing risk reduction in months when the market has charted into negative territory this year. As a result, low-risk strategies have delivered better year-to-date returns than the market.

Low Volatility investing: now more than ever?

There is an expectation that the current market volatility will continue to persist in the foreseeable future given the looming risk of recession, stubbornly high inflation, unstable geopolitical situation and normalization of monetary policy which is leading to higher real yields. Against this backdrop, we believe there is a case for low volatility investing now more than ever.


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。




商号等: ロベコ・ジャパン株式会社  金融商品取引業者 関東財務局長(金商)第2780号

加入協会: 一般社団法人 日本投資顧問業協会