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Passive Low Vol versus Robeco approach: Interview Pan-European Congress 4 March

Passive Low Vol versus Robeco approach: Interview Pan-European Congress 4 March

25-04-2016 | Video

Today low-volatility investing is gaining a broader acceptance within academic circles and among investors.

  • Jan Sytze  Mosselaar
    Jan Sytze
    Mosselaar
    CFA, Director, Portfolio Manager

Robeco has extensively researched this stock market anomaly and has successfully exploited these insights for our clients since 2006.

In this video interview, Jan Sytze Mosselaar, portfolio manager quantitative equities at Robeco, explains why he prefers ranking stocks based on several factors over using a mean-variance optimization process.

  • Mosselaar also explains why he attached most importance to factors such as value and momentum in his process of ranking stocks.
  • Trading costs are a large cost component for many funds, and especially for funds that follow an index.
    However, the low-volatility strategies manage to bring down turnover significantly, reducing costs for investors.
    Mosselaar explains why fund outflows can actually be instrumental in this.
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