A research-driven approach is at the core of everything we do. By offering data sets, we give investors the opportunity to conduct their own analyses.
This data set was used for the book 'High Returns from Low Risk: A Remarkable Stock Market Paradox’ by Pim van Vliet and Jan de Koning. Their book combines the latest research with stock market data going back to 1929 to prove that investing in low-risk stocks paradoxically generates higher returns than high-risk stocks.
Robeco has been a pioneer in low risk investing. Groundbreaking research by Van Vliet and David Blitz published in the Journal of Portfolio Management in 2007 presented international evidence to show that stocks with low volatility earn high risk-adjusted returns, also indicating that equity investors overpay for risky stocks.
The low-volatility effect is perhaps the largest anomaly in finance, challenging the basic trade-off between risk and return, as it shows that higher risk does not necessarily lead to higher returns. Yet it remains one of the least utilized factor premiums in financial markets.
We have been managing low-risk strategies (Conservative Equities) since 2006 for various clients from all over the world and have demonstrated that investors can capture at least market like returns with high income and significant less downside risk. Today we manage over USD 20 bln in Conservative Equities strategies and with this dataset we give you the opportunity to investigate this concept as well.
This data set is constructed at the end of each month and includes NYSE, AMEX, and NASDAQ stocks. The largest 1,000 stocks priced above USD 1 are included, based on total market capitalization. Total return volatility is measured over 36 months. Rebalancing takes place at the end of each quarter. The 10 volatility-sorted portfolios each contain 100 stocks and are equally weighted and include all sectors. The Conservative Formula consists of the 100 most attractive stocks based on volatility, net payout yield and momentum.
This report is not available for users from countries where the offering of foreign financial services is not permitted, such as US Persons.
Your details are not shared with third parties. This information is exclusively intended for professional investors. All requests are checked.
Please read this important information before proceeding further. It contains legal and regulatory notices relevant to the information contained on this website.
The information contained in the Website is NOT FOR RETAIL CLIENTS - The information contained in the Website is solely intended for professional investors, defined as investors which (1) qualify as professional clients within the meaning of the Markets in Financial Instruments Directive (MiFID), (2) have requested to be treated as professional clients within the meaning of the MiFID or (3) are authorized to receive such information under any other applicable laws. The value of the investments may fluctuate. Past performance is no guarantee of future results. Investors may not get back the amount originally invested. Neither Robeco Institutional Asset Management B.V. nor any of its affiliates guarantees the performance or the future returns of any investments. If the currency in which the past performance is displayed differs from the currency of the country in which you reside, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency.
In the UK, Robeco Institutional Asset Management B.V. (“ROBECO”) only markets its funds to institutional clients and professional investors. Private investors seeking information about ROBECO should visit our corporate website www.robeco.com or contact their financial adviser. ROBECO will not be liable for any damages or losses suffered by private investors accessing these areas.
In the UK, ROBECO Funds has marketing approval for the funds listed on this website, all of which are UCITS funds. ROBECO is authorized by the AFM and subject to limited regulation by the Financial Conduct Authority. Details about the extent of our regulation by the Financial Conduct Authority are available from us on request.
Many of the protections provided by the United Kingdom regulatory framework may not apply to investments in ROBECO Funds, including access to the Financial Services Compensation Scheme and the Financial Ombudsman Service. No representation, warranty or undertaking is given as to the accuracy or completeness of the information on this website.
If you are not an institutional client or professional investor you should therefore not proceed. By proceeding please note that we will be treating you as a professional client for regulatory purposes and you agree to be bound by our terms and conditions.