This dataset file contains two volatility-sorted datasets going back to 1929 (last update: April 2022).
Robeco believes that investors can profit from the low-risk effect. For clients all over the world we manage over USD 20 bln in Conservative Equities strategies since 2006. An influential study 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. The low-volatility effect is perhaps the largest anomaly in finance, challenging the basic trade-off between risk and return. Yet it remains one of the least utilized factor premiums in financial markets. With this dataset we give you the opportunity to investigate this fascinating investment concept further.
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