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.
Low-volatility investing: Expect the unexpected
Low-volatility stocks are known to lag in rising markets and lose less in falling markets.
When factors disagree
Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums.
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’.