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Insights

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 | Insight
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 | Insight
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 | Insight
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 | Research
 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 | Insight
Quantitative investing with a simple formula
Quantitative investing with a simple formula
Quantitative investing should be easy to understand.
09-05-2018 | Research
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 | Insight
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 | Research
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 | Research
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 | Research
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 | Video
‘Culture is a crucial factor in quant investing’
‘Culture is a crucial factor in quant investing’
Quant investing is becoming more widely accepted.
13-12-2016 | Interview
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 | Insight
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 | Research
Robeco adds fourth factor Quality to its factor investing strategies
Robeco adds fourth factor Quality to its factor investing strategies
Investors increasingly decide to allocate strategically to factor premiums such as Value, Momentum and Low-Volatility.
15-06-2016 | Insight
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 | Research
Low-volatility evidence dating back to 1873
Low-volatility evidence dating back to 1873
As new historical databases are opening up, there are great opportunities for out-of-sample tests of market anomalies.
15-02-2016 | Insight
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 | Research
When factors disagree
When factors disagree
Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums.
30-09-2014 | Research
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 | Research
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 | Video
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 | Video
Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive
Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive
Frequently the question comes up if low-volatility is ‘expensive’, measured by multiples such as P/E and P/B ratios.
01-06-2012 | Research
Preface to Low-Volatility Investing
Preface to Low-Volatility Investing
We are pleased to present you with this collection of 13 articles on low-volatility investing.
01-05-2012 | Insight
Low-volatility investing: a long-term perspective
Low-volatility investing: a long-term perspective
Over the long-run, risk and return within equity markets are not related.
16-01-2012 | Research
Global tactical sector allocation: a quantitative approach
Global tactical sector allocation: a quantitative approach
Sector allocation can be a very important determinant of portfolio returns.
15-11-2011 | Research
How to benchmark low-volatility strategies
How to benchmark low-volatility strategies
What is the best way to measure the performance of a strategy focused on risk-adjusted return?
14-07-2011 | Research
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