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Data sets – Volatility-sorted portfolios
Data sets – Volatility-sorted portfolios
This dataset file contains two volatility-sorted datasets going back to 1929.
02-07-2019 | Data sets
Media spotlight does not drive the Volatility effect in equities
Media spotlight does not drive the Volatility effect in equities
Investors’ appetite for stocks frequently mentioned in the news is often raised to explain the Volatility effect.
26-06-2019 | インサイト
Strong hands needed to unlock the potential of factor investing
Strong hands needed to unlock the potential of factor investing
The average investor is not good at timing.
19-06-2019 | インサイト
Guide to low volatility investing
Guide to low volatility investing
This new edition includes recent figures and a new section on income generation.
28-05-2019 | インサイト
Strong multi-asset factor performance over more than two centuries
Strong multi-asset factor performance over more than two centuries
To be considered relevant, a factor must first and foremost be backed by ample empirical evidence.
12-02-2019 | リサーチ
Fama-French 5-factor model: why more is not always better
Fama-French 5-factor model: why more is not always better
Fama and French have expanded their original 3-factor model by adding two factors.
15-09-2018 | インサイト
 Risky CAPE ratios? Keep calm and reduce downside risk
Risky CAPE ratios? Keep calm and reduce downside risk
High CAPE ratio levels do not signify an imminent end to the bull market.
27-07-2018 | インサイト
Quantitative investing with a simple formula
Quantitative investing with a simple formula
Quantitative investing should be easy to understand.
09-05-2018 | リサーチ
High dividend investing: buy them stable & strong
High dividend investing: buy them stable & strong
Stock price fluctuations tend to monopolize investors’ attention, on a daily basis.
24-04-2018 | インサイト
Low turnover: a virtue of low volatility
Low turnover: a virtue of low volatility
Trading is necessary to follow an active strategy, but excessive trading is linked to human behavior.
24-01-2018 | リサーチ
Are low-volatility stocks becoming expensive?
Are low-volatility stocks becoming expensive?
Due to uncertainty in financial markets, low-volatility stocks are in high demand.
04-01-2018 | リサーチ
Investment lessons from the racetrack
Investment lessons from the racetrack
Misperceptions matter.
11-10-2017 | From the field
Solvency II encourages risk-seeking behavior
Solvency II encourages risk-seeking behavior
Solvency II regulation should prevent insurance companies from going bankrupt.
02-10-2017 | リサーチ
Rankings and risk-taking in the financial industry
Rankings and risk-taking in the financial industry
Rankings matter.
20-09-2017 | From the field
Chinese A-shares: does taking risk pay off?
Chinese A-shares: does taking risk pay off?
Is risk rewarded on the Chinese A-share market?
27-07-2017 | リサーチ
The Risk-Return Paradox of Low-Volatility Investing
The Risk-Return Paradox of Low-Volatility Investing
In recent years, low volatility has become a new investment style offering lower-risk, without reducing return.
25-04-2017 | ビデオ
「クオンツ運用では企業文化が極めて重要」
「クオンツ運用では企業文化が極めて重要」
クオンツ運用は次第に広く受け入れられつつあります。
23-02-2017 | インタビュー
Robeco presents first Low Volatility Thesis Award
Robeco presents first Low Volatility Thesis Award
During the Conservative Equity Seminar held on 29 September 2016 ‘Celebrating a decade of active low volatility investing’, Robeco presented its first Thesis Award.
03-10-2016 | インサイト
Low Volatility in historical perspective: Fund investing since 1774
Low Volatility in historical perspective: Fund investing since 1774
As portfolio managers of Robeco Conservative Equities, we want to place our role into a historical perspective and learn from the history of financial markets, and mutual funds in particular.
21-09-2016 | リサーチ
低ボラティリティ効果の存在を1873年まで遡る
低ボラティリティ効果の存在を1873年まで遡る
近年、過去に遡るデータベースが新たに構築され、今まで出来なかった昔にまで遡ったデータで市場アノマリーを検証することが可能になりました。
25-04-2016 | インサイト
Conservative Equities in historical perspective: Investment behavior since 1602
Conservative Equities in historical perspective: Investment behavior since 1602
Since the birth of the modern stock market in 1602, the pendulum of the investment culture has moved from a return focus to a risk focus and back.
18-04-2016 | リサーチ
Are all low vol stocks really that sensitive to interest rate risk?
Are all low vol stocks really that sensitive to interest rate risk?
Investors are still awaiting the first rate hike by the Federal Reserve since June 2006.
11-11-2015 | インサイト
Sustainability integration in Quantitative Equity strategies
Sustainability integration in Quantitative Equity strategies
Robeco is committed to sustainable investing.
10-03-2015 | インサイト
Beauty and the beast of low-volatility investing
Beauty and the beast of low-volatility investing
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.
17-02-2015 | リサーチ
Low-Volatility Investing: Collected Robeco Articles
Low-Volatility Investing: Collected Robeco Articles
Robeco launches the 2015 Edition of “Low-Volatility Investing” by David Blitz, PhD, Head Robeco Quantitative Equity Research and Pim van Vliet, PhD, Senior Portfolio Manager, Robeco Conservative Equities.
01-01-2015 | リサーチ
Low-volatility investing: Expect the unexpected
Low-volatility investing: Expect the unexpected
Low-volatility stocks are known to lag in rising markets and lose less in falling markets.
06-11-2014 | リサーチ
When factors disagree
When factors disagree
Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums.
30-09-2014 | リサーチ
Why is there a volatility effect?
Why is there a volatility effect?
Robeco’s David Blitz, Pim van Vliet and author Eric Falkenstein publish their paper ‘Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions’.
30-04-2014 | リサーチ
Low-volatility investing: how does the Robeco approach differ?
Low-volatility investing: how does the Robeco approach differ?
What makes the Robeco approach to low-volatility investing special?
30-09-2013 | ビデオ
What is the low volatility anomaly?
What is the low volatility anomaly?
Risk and return do not always go hand in hand.
09-09-2013 | ビデオ