David Blitz discusses research to improve existing strategies and explains how he designs new ones. “Our mission is to make good strategies even better and to design the next generation.” Head of Equity Research David Blitz has been at the forefront of quant investing since 1995 and is responsible for coordinating all quantitative equity research. Some of the key tools he has helped to develop are proprietary stock selection models and portfolio-optimization algorithms. He has also published numerous papers in peer-reviewed academic journals. Read the interview.
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A good strategy starts with a good design
David Blitz PhD, research, Robeco Asset Management
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A critical eye and patience are crucial in low-volatility investing
The growing interest in low-volatility equity products is of course increasing supply. It should come as no surprise that products with (virtually) the same description may be different. What to watch out for when selecting low-volatility products? Read the full article.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
The beauty and the beast of value and momentum investing
Are all value stocks and all momentum stocks equally attractive? In our research, we found that different types of value and momentum stocks exhibit very different performance characteristics. A value approach which incorporates some momentum and risk considerations tends to outperform a generic approach, but a value approach which intentionally goes against these factors significantly
Low turnover: a virtue of low volatility
Trading is necessary to follow an active strategy, but excessive trading is linked to human behavior. In his new paper just published on SSRN Pim van Vliet looked into why investors trade and how much trading is needed for an effective low-volatility strategy. For potential low-volatility investors the question arises: is turnover a good or
Pioneers in factor investing
In 2014 Robeco went live with its Factor Investing Solutions: tailored solutions based on multiple factors. “Robeco is not the founder of factor investing, but we are among the first to translate the theory into practical investment solutions,” says Robeco’s Head of Factor Investing Research Joop Huij with pride. Read more about Robeco’s approach.mrec4inarticleinline Sponsored
The volatility effect: lower risk without lower return
Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio. Well-known examples are the value, size and momentum strategies, for which return premiums have been documented in US and international stock markets. Market efficiency is also challenged, however, if
Beauty and the beast of low-volatility investing
Usually focusing on how to design the best low-volatility strategy, David Blitz, Matthias Hanauer and Pim van Vliet have set out to construct a very bad low-volatility strategy. Comparing good and bad low-volatility strategies they found very different performance characteristics. Clearly, not all low-volatility stocks are created equal. The results highlight the importance of being
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