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Data sets – Volatility-sorted portfolios

Data sets – Volatility-sorted portfolios

22-01-2019 | Data sets

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.

  • Jan de Koning
    Jan
    de Koning
    Portfolio Manager Core Quant Equities
  • Pim  van Vliet, PhD
    Pim
    van Vliet, PhD
    Head of Conservative Equities

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.

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