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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 | Visión
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 | Visión
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 | Visión
Sólidos resultados de los factores en multiactivos a lo largo de más de dos siglos
Sólidos resultados de los factores en multiactivos a lo largo de más de dos siglos
Para considerarse relevante, primero y principal, un factor debe contar con el respaldo de amplias evidencias empíricas.
12-02-2019 | Visión
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 | Visión
¿Ratios CAPE = riesgo? Mantengamos la calma y reduzcamos el riesgo a la baja
¿Ratios CAPE = riesgo? Mantengamos la calma y reduzcamos el riesgo a la baja
Unos niveles elevados de ratio CAPE no son indicio de un inminente final del mercado alcista.
27-07-2018 | Visión
La inversión cuantitativa, en una fórmula sencilla
La inversión cuantitativa, en una fórmula sencilla
La inversión cuantitativa debería ser fácil de entender.
09-05-2018 | Investigación
Inversión en altos dividendos: apostando por empresas estables y fuertes
Inversión en altos dividendos: apostando por empresas estables y fuertes
Las fluctuaciones de las cotizaciones tienden a acaparar la atención de los inversores que se fijan en el corto plazo.
24-04-2018 | Visión
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 | Investigación
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 | Investigación
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 | Investigación
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 | Investigación
La paradoja riesgo/rentabilidad en la inversión de baja volatilidad
La paradoja riesgo/rentabilidad en la inversión de baja volatilidad
En los últimos años, la inversión de baja volatilidad se ha convertido en un nuevo estilo de inversión que ofrece menos riesgo, con igual rentabilidad.
25-04-2017 | Vídeo
‘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 | Entrevista
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 | Visión
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 | Investigación
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 | Visión
Conservative Equities en perspectiva histórica: Evolución inversora desde 1602
Conservative Equities en perspectiva histórica: Evolución inversora desde 1602
Desde el inicio del mercado de valores en 1602, el péndulo de la cultura del inversor ha ido oscilando de la atención a la rentabilidad hacia la preocupación por el riesgo, y vuelta.
18-04-2016 | Investigación
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 | Visión
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 | Visión
Sustainability integration in Quantitative Equity strategies
Sustainability integration in Quantitative Equity strategies
Robeco is committed to sustainable investing.
10-03-2015 | Visión
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 | Investigación
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 | Investigación
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 | Investigación
When factors disagree
When factors disagree
Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums.
30-09-2014 | Investigación
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 | Investigación
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 | Vídeo