Robeco Institutional Asset Management B.V. (Dubai office) is regulated by the Dubai Financial Services Authority (“DFSA”) and only deals with Professional Clients and does not deal with Retail Clients as defined by the DFSA.
Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.
A paper* compares the performance of low-volatility portfolios constructed by using a ranking methodology versus portfolios constructed with mean/variance optimization. The idea behind ranking is to simply buy a basket of the lowest-volatility stocks, while optimization involves sophisticated algorithms and risk models.
The paper concludes that both approaches are equally effective in reducing portfolio volatility over a long-term investment horizon. When we investigated this issue, we found similar results, but also that ranking offers various advantages, such as increased transparency of the investment process. Based on this, we decided to adopt a ranking approach for our low-volatility Conservative Equities strategies.