Volatility-sorted decile portfolios and the Conservative vs Speculative portfolios. The portfolios are equally weighted and based on the largest 1,000 US stocks. The conservative formula selects within the 500 lowest volatility stocks, the 100 stocks with highest net payout ratio and positive price momentum. The Conservative Formula is presented in the book 'High Returns from Low Risk: A Remarkable Stock Market Paradox’ and rigorously tested in the article ‘The Conservative Formula: Quantitative Investing made easy’.
Double sorted volatility portfolios and a long-short VOL hedge factor. The VOL factor is value-weighted and based on all US stocks, similar to the Fama-French 2x3 double-sorted portfolios. The portfolio is based on the intersections of two portfolios formed on market equity and three portfolios formed on the past 36-month return volatility. The market equity breakpoint is the median NYSE market equity, and the volatility breakpoints are the 30th and the 70th NYSE percentiles.
Robeco believes that investors can profit from the low-risk effect. For clients all over the world we manage over USD 10 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.
Download the dataImportant information
The contents of this document have not been reviewed by the Securities and Futures Commission ("SFC") in Hong Kong. If you are in any doubt about any of the contents of this document, you should obtain independent professional advice. This document has been distributed by Robeco Hong Kong Limited (‘Robeco’). Robeco is regulated by the SFC in Hong Kong. This document has been prepared on a confidential basis solely for the recipient and is for information purposes only. Any reproduction or distribution of this documentation, in whole or in part, or the disclosure of its contents, without the prior written consent of Robeco, is prohibited. By accepting this documentation, the recipient agrees to the foregoing This document is intended to provide the reader with information on Robeco’s specific capabilities, but does not constitute a recommendation to buy or sell certain securities or investment products. Investment decisions should only be based on the relevant prospectus and on thorough financial, fiscal and legal advice. Please refer to the relevant offering documents for details including the risk factors before making any investment decisions. The contents of this document are based upon sources of information believed to be reliable. This document is not intended for distribution to or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. Investment Involves risks. Historical returns are provided for illustrative purposes only and do not necessarily reflect Robeco’s expectations for the future. The value of your investments may fluctuate. Past performance is no indication of current or future performance.