Characteristics of different low-volatility strategies
A study* by three Blue Sky pension provider researchers (Bastiaan Pluijmers, Imke Hollander and Ramon Tol) together with Dimitris Melas from MSCI compares the characteristics of nine different low-volatility strategies.
From the field
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.
Low-volatility anomaly among mutual funds
A paper* examines whether the low-volatility anomaly, which has been extensively documented for global equity markets, is also visible in mutual fund returns.
From the field
Sustainability integration in Quantitative Equity strategies
Robeco is committed to sustainable 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.
Why low-volatility investing is exciting and important
ForewordLow-volatility investing is a great place for investors and researchers.
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.
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’.
Low-volatility investing: how does the Robeco approach differ?
What makes the Robeco approach to low-volatility investing special?
What is the low volatility anomaly?
Risk and return do not always go hand in hand.
What is driving the growth in low-volatility investing?
A long and successful track record, portfolios covering global, developed and emerging markets and a sophisticated quantitative investment process are propelling the take-up of Conservative Equities, says Arlette van Ditshuizen.