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Insights

The Low Volatility effect in China
The Low Volatility effect in China
In our recent study, we uncover the presence of a strong Low Volatility effect in the Chinese A-share market.
19-05-2021 | Insight
When equity factors drop their shorts
When equity factors drop their shorts
How can you best construct an equity market neutral portfolio using a factor-investing approach?
01-02-2021 | Insight
Data sets – Volatility-sorted portfolios
Data sets – Volatility-sorted portfolios
This dataset file contains two volatility-sorted datasets going back to 1929.
31-12-2020 | Data sets
Has Low Volatility lost its mojo?
Has Low Volatility lost its mojo?
2020 has been a difficult year for Low Volatility investors and this year’s performance has been truly challenging, amounting to a period of soul searching.
21-12-2020 | Insight
Quant solutions must look beyond the most conventional factors
Quant solutions must look beyond the most conventional factors
Quant strategies have come under pressure over the past two years.
24-11-2020 | Interview
Will Value survive the quant winter?
Will Value survive the quant winter?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020 | Insight
Podcast: Some factors are more equal than others
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | Podcast
Equity styles and the Spanish flu
Equity styles and the Spanish flu
Covid-19 first appeared at the start of December 2019.
02-04-2020 | Insight
When markets get tough, quant funds stick with their factors
When markets get tough, quant funds stick with their factors
As rules-based investors, quant investors exploit human reactions to market movements.
19-03-2020 | Video
After a ‘terrific’ decade, what’s next for low-risk stocks?
After a ‘terrific’ decade, what’s next for low-risk stocks?
The decade of 2010 to 2019 was an exceptional one for equity investors, in many ways.
05-03-2020 | Insight
The volatility effect revisited
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | Research
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
Factor outperformance for more than two centuries
Factor outperformance for more than two centuries
To be considered relevant, a factor must first and foremost be backed by ample empirical evidence.
12-02-2019 | Research
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 | 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
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 | 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
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
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
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
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 | Insight
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 | Research
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 | 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
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