This dataset file contains two volatility-sorted datasets going back to 1929.
Robeco believes that investors can profit from the low-risk effect. For clients all over the world we manage over USD 20 bln in Conservative Equities strategies since 2006. An influential study 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. The low-volatility effect is perhaps the largest anomaly in finance, challenging the basic trade-off between risk and return. Yet it remains one of the least utilized factor premiums in financial markets. With this dataset we give you the opportunity to investigate this fascinating investment concept further.
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.