David Blitz

Robeco Quantitative Investments

Head Quantitative Research

Weena 850

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

63

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Top 78

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147,895

SSRN CITATIONS
Rank 3,570

SSRN RANKINGS

Top 3,570

in Total Papers Citations

359

CROSSREF CITATIONS

137

Scholarly Papers (63)

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

Journal of Portfolio Management, pp. 23-28, Fall 2008
Number of pages: 31 Posted: 07 Aug 2008 Last Revised: 21 Jun 2013
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 15,796 (458)
Citation 4

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GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

Journal of Portfolio Management, pp. 23-28, Fall 2008, ERIM Report Series Reference No. ERS-2008-033-F&A
Number of pages: 34 Posted: 08 Oct 2008 Last Revised: 18 Aug 2010
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,293 (28,843)
Citation 10

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GTAA, value effect, momentum, global asset allocation

2.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23 Posted: 17 Apr 2007
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 13,844 (590)
Citation 9

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alpha, strategic asset allocation, volatility, volatility effect, low risk stocks, CAPM, Fama-French factors, international

3.

The Conservative Formula: Quantitative Investing Made Easy

Number of pages: 21 Posted: 21 Mar 2018
Pim van Vliet and David Blitz
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 8,317 (1,430)
Citation 5

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Quantitative Investing, Factor Investing, Low Volatility, Net Payout, Momentum, Conservative Formula

4.

Beyond Fama-French Factors: Alpha from Short-Term Signals

WP version of Financial Analysts Journal, 2023, 79(4): 96-117. https://doi.org/10.1080/0015198X.2023.2173492
Number of pages: 36 Posted: 01 Jun 2022 Last Revised: 15 Dec 2023
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 6,909 (1,951)
Citation 5

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short-term signals, market frictions, portfolio construction, transaction costs, investments, market efficiency

5.
Downloads 4,947 ( 3,455)
Citation 9

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management
Downloads 4,947 (3,414)
Citation 9

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momentum, time-varying risk, stock-specific returns, residual returns

Residual Momentum

Journal of Empirical Finance, Vol. 18, 2011
Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management

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momentum, time-varying risk, stock-specific returns, residual returns

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Number of pages: 25 Posted: 19 Feb 2009 Last Revised: 17 Jul 2009
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 4,844 (3,538)
Citation 2

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asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Journal of Asset Management, Vol. 12, No. 5, pp. 360-375, 2011
Posted: 10 Oct 2011
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments

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asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return

7.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
Robeco Quantitative Investments, Technische Universität München (TUM), Northern Trust Corporation - Northern Trust Asset Management and Robeco Quantitative Investments
Downloads 4,512 (4,052)
Citation 8

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asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum

8.

When Equity Factors Drop Their Shorts

Financial Analysts Journal, 2020, 76(4): 73–99.
Number of pages: 42 Posted: 26 Nov 2019 Last Revised: 23 Nov 2021
David Blitz, Guido Baltussen and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 4,314 (4,367)
Citation 11

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asset pricing, factor premiums, factor investing, short selling, limits to arbitrage, low volatility, size, value, momentum, profitability, investment, quality

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 4,090 (4,680)
Citation 15

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Journal of Portfolio Management, Forthcoming
Posted: 21 Nov 2013
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

10.

The Idiosyncratic Momentum Anomaly

Number of pages: 60 Posted: 05 Apr 2017 Last Revised: 08 Apr 2020
Robeco Quantitative Investments, Technische Universität München (TUM) and Northern Trust Corporation - Northern Trust Asset Management
Downloads 3,927 (5,095)
Citation 25

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

11.

The Volatility Effect Revisited

The Journal of Portfolio Management, 46(2).
Number of pages: 27 Posted: 26 Aug 2019 Last Revised: 13 Sep 2023
David Blitz, Pim van Vliet and Guido Baltussen
Robeco Quantitative Investments, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 3,705 (5,617)
Citation 35

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low risk, low volatility, low beta, minimum variance, anomaly, factor investing, smart beta, low-volatility investing

12.

The Cross-Section of Factor Returns

Number of pages: 33 Posted: 22 May 2023
David Blitz
Robeco Quantitative Investments
Downloads 3,609 (5,883)
Citation 1

Abstract:

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Factor investing, value, momentum, quality, low risk, low beta, factor timing, factor rotation, anomalies, factor premiums, asset pricing, factor models

13.

How Can Machine Learning Advance Quantitative Asset Management?

Number of pages: 21 Posted: 10 Jan 2023
Robeco Quantitative Investments, Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Asset Management
Downloads 3,517 (6,150)

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machine learning, asset management, portfolio management, factor investing

14.
Downloads 3,081 ( 7,572)

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Sustainable Index Solutions and Erasmus University - Rotterdam School of Management
Downloads 3,081 (7,444)
Citation 2

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

Short-Term Residual Reversal

Journal of Financial Markets, Forthcoming
Posted: 26 Oct 2012
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Sustainable Index Solutions and Erasmus University - Rotterdam School of Management

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

15.

Factor Investing: Long-Only versus Long-Short

Number of pages: 19 Posted: 29 Mar 2014
Erasmus University - Rotterdam School of Management, Robeco Sustainable Index Solutions, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 3,053 (7,688)
Citation 13

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16.

The Quant Cycle

Number of pages: 27 Posted: 28 Sep 2021
David Blitz
Robeco Quantitative Investments
Downloads 2,946 (8,150)
Citation 2

Abstract:

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asset pricing, factor models, business cycle, value, momentum, low volatility, quality, behavioral finance

17.

The Term Structure of Machine Learning Alpha

Number of pages: 40 Posted: 18 Jun 2023 Last Revised: 19 Jul 2023
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,888 (8,377)
Citation 2

Abstract:

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machine learning, asset pricing, factor investing, alpha, investment strategies, trading costs

18.

Resurrecting the Value Premium

Number of pages: 27 Posted: 05 Oct 2020 Last Revised: 23 Oct 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 2,431 (11,010)
Citation 13

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Value Premium, Value Investing, Value Factor, HML, Factor Investing, Factor Premia, Smart Beta, Asset Pricing, Market Efficiency, Crowding

Strategic Allocation to Premiums in the Equity Market

Number of pages: 19 Posted: 25 Oct 2011
David Blitz
Robeco Quantitative Investments
Downloads 2,342 (11,489)
Citation 11

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strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management

Strategic Allocation to Premiums in the Equity Market

Journal of Index Investing, Vol. 2, No. 4, pp. 42-49, 2012
Posted: 14 Mar 2012
David Blitz
Robeco Quantitative Investments

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strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management

20.

Factor Performance 2010-2019: A Lost Decade?

Number of pages: 14 Posted: 20 Apr 2020
David Blitz
Robeco Quantitative Investments
Downloads 2,242 (12,569)
Citation 7

Abstract:

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factor investing, factor premiums, smart beta, value, momentum, quality, low risk, low volatility, asset pricing, market efficiency, Fama-French model

21.

Reversing the Trend of Short-Term Reversal

Number of pages: 19 Posted: 16 Oct 2023
Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,217 (12,858)

Abstract:

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Asset pricing, short-term reversal, momentum, factor investing, market efficiency, liquidity

22.

Factor Investing Revisited

Journal of Index Investing, Forthcoming
Number of pages: 22 Posted: 03 Jul 2015
David Blitz
Robeco Quantitative Investments
Downloads 2,211 (12,849)

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factor investing, smart beta, value, momentum, low volatility

The Performance of European Index Funds and Exchange-Traded Funds

ERIM Report Series Reference
Number of pages: 31 Posted: 26 Jul 2009 Last Revised: 18 May 2010
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 2,180 (12,876)
Citation 2

Abstract:

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passive investing, index fund, ETF, dividend taxes, performance evaluation

The Performance of European Index Funds and Exchange-Traded Funds

European Financial Management, Forthcoming
Posted: 14 Feb 2011
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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passive investing, index fund, ETF, dividend taxes, performance evaluation

24.

The Characteristics of Factor Investing

Number of pages: 27 Posted: 27 Jul 2018 Last Revised: 27 Oct 2018
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Northern Trust Corporation - Northern Trust Asset Management
Downloads 2,149 (13,475)
Citation 9

Abstract:

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factor investing, smart beta, factor premiums, size, value, momentum, quality, low-volatility

25.
Downloads 1,955 (15,571)
Citation 29

The Volatility Effect in Emerging Markets

Number of pages: 31 Posted: 06 May 2012 Last Revised: 18 Dec 2012
David Blitz, Juan Pang and Pim van Vliet
Robeco Quantitative Investments, APG asset Management and Robeco Quantitative Investments
Downloads 1,955 (15,301)
Citation 29

Abstract:

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volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility

The Volatility Effect in Emerging Markets

Emerging Markets Review, Vol. 16, pp. 31-45, 2013
Posted: 14 Apr 2013 Last Revised: 21 Jun 2013
David Blitz, Juan Pang and Pim van Vliet
Robeco Quantitative Investments, APG asset Management and Robeco Quantitative Investments

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volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility

26.

Is the Relation between Volatility and Expected Stock Returns Positive, Flat or Negative?

Number of pages: 25 Posted: 08 Jul 2011
Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,955 (15,571)
Citation 7

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27.

Betting Against Quant: Examining the Factor Exposures of Thematic Indices

Number of pages: 16 Posted: 09 Aug 2021
David Blitz
Robeco Quantitative Investments
Downloads 1,890 (16,423)
Citation 1

Abstract:

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Thematic indices, asset pricing, factor exposures, value, growth, profitability, quant investing

28.
Downloads 1,884 (16,510)
Citation 6

Are Exchange-Traded Funds Harvesting Factor Premiums?

Number of pages: 19 Posted: 07 Feb 2017 Last Revised: 20 Sep 2017
David Blitz
Robeco Quantitative Investments
Downloads 1,471 (23,858)
Citation 5

Abstract:

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factor investing, factor premiums, smart beta, exchange-traded funds, ETFs, value, momentum, low-volatility, overcrowding, factor crowding

Are Exchange-Traded Funds Harvesting Factor Premiums?

Journal of Investment Consulting, Vol. 18, no. 1, 2017
Number of pages: 9 Posted: 02 Feb 2018
David Blitz
Robeco Quantitative Investments
Downloads 413 (130,175)
Citation 1

Abstract:

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factor investing, factor premiums, smart beta, exchange-traded funds, ETFs, value, momentum, low-volatility, overcrowding, factor crowding

Strategic Allocation to Commodity Factor Premiums

Number of pages: 26 Posted: 17 May 2013 Last Revised: 27 May 2014
David Blitz and Wilma de Groot
Robeco Quantitative Investments and Robeco Asset Management
Downloads 1,646 (20,062)
Citation 8

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

Strategic Allocation to Commodity Factor Premiums

Journal of Alternative Investments, Forthcoming
Posted: 27 May 2014
David Blitz and Wilma de Groot
Robeco Quantitative Investments and Robeco Asset Management

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

30.

The Quant Crisis of 2018-2020: Cornered by Big Growth

Journal of Portfolio Management, Forthcoming
Number of pages: 26 Posted: 18 Feb 2021
David Blitz
Robeco Quantitative Investments
Downloads 1,570 (21,930)

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quant crisis, value premium, factor investing, factor premia, smart beta

Fundamental Indexation: An Active Value Strategy in Disguise

Number of pages: 7 Posted: 29 Jul 2008 Last Revised: 15 Dec 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,547 (22,081)
Citation 5

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

Fundamental Indexation: An Active Value Strategy in Disguise

Journal of Asset Management, Vol. 9, No. 4, pp. 264-269, November 2007
Posted: 02 Nov 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

32.

Settling the Size Matter

Number of pages: 18 Posted: 09 Sep 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 1,543 (22,563)
Citation 7

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33.

Factor Investing with Smart Beta Indices

Number of pages: 13 Posted: 29 Apr 2016 Last Revised: 04 Aug 2016
David Blitz
Robeco Quantitative Investments
Downloads 1,481 (23,985)
Citation 4

Abstract:

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factor investing, smart beta

34.

The Performance of Exchange-Traded Funds

Number of pages: 21 Posted: 06 Oct 2019
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Northern Trust Corporation - Northern Trust Asset Management
Downloads 1,313 (28,677)

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mutual fund performance, exchange-traded funds, ETFs, smart beta, factor investing, factor premiums, active versus passive, market efficiency

35.

Fundamental Indexation: Rebalancing Assumptions and Performance

Journal of Index Investing, Vol. 1, No. 2, pp. 82-88, 2010
Number of pages: 15 Posted: 25 Mar 2010 Last Revised: 30 Sep 2010
Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,310 (28,746)
Citation 1

Abstract:

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing

36.

The Profitability of Low Volatility

Number of pages: 22 Posted: 19 Jul 2016 Last Revised: 24 Jul 2017
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Northern Trust Corporation - Northern Trust Asset Management
Downloads 1,167 (34,014)
Citation 4

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low volatility, low beta, profitability, betting against beta, 5-factor model

37.

Is Exclusion Effective?

Forthcoming, Journal of Portfolio Management
Number of pages: 10 Posted: 10 Feb 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,157 (34,406)
Citation 12

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Divestment; Exclusion; Responsible Investing; Sin Stocks; Sustainability

38.

Expected Stock Returns When Interest Rates Are Low

Number of pages: 19 Posted: 28 Mar 2022
David Blitz
Robeco Quantitative Investments
Downloads 1,090 (37,472)

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Equity risk premium, expected stock returns, risk-free return, CAPE, asset allocation

39.

Another Look at the Performance of Actively Managed Equity Mutual Funds

Number of pages: 43 Posted: 14 Feb 2012 Last Revised: 05 Feb 2013
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 1,090 (37,472)
Citation 1

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mutual fund performance, active versus passive, persistence, index funds, momentum

40.
Downloads 1,088 (37,582)

Shrinking Beta

Number of pages: 24 Posted: 23 Feb 2022
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR), Robeco Asset Management and Robeco Quantitative Investments
Downloads 1,088 (37,005)

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Beta, Correlation, Investing, Low-risk, Shrinkage, Volatility

Shrinking beta

Journal of Risk, Vol. 24, No. 6, 2022
Number of pages: 20 Posted: 02 Sep 2022
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR), Robeco Asset Management and Robeco Quantitative Investments
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beta, correlation, investing, low risk, shrinkage, volatility

41.

The Value of Low Volatility

Journal of Portfolio Management, Forthcoming
Number of pages: 17 Posted: 10 Feb 2016
David Blitz
Robeco Quantitative Investments
Downloads 1,072 (38,390)
Citation 3

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low volatility, low beta, betting against beta, value

42.

Benchmarking Low-Volatility Strategies

Journal of Index Investing, Vol. 2, No. 1, pp. 44-49, 2011
Number of pages: 13 Posted: 28 Jun 2011
Pim van Vliet and David Blitz
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,065 (38,855)
Citation 1

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benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha

43.

Are Hedge Funds on the Other Side of the Low-Volatility Trade?

Number of pages: 20 Posted: 13 Jan 2017 Last Revised: 27 May 2017
David Blitz
Robeco Quantitative Investments
Downloads 1,055 (39,248)
Citation 5

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Low-Volatility Anomaly, Low-Beta Anomaly, Betting against Beta, Limits to Arbitrage, Hedge Funds, Factor Investing

44.

130/30 Investing: Just Another Hype or Here to Stay?

Number of pages: 16 Posted: 14 May 2008
David Blitz
Robeco Quantitative Investments
Downloads 994 (42,754)
Citation 1

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Portfolio Management, Portfolio Construction, 130/30, Short-Extension, Alpha-Extension, Enhanced Active Strategies, Long-Only Constraint, Short Positions, Alpha, Beta, Equity Strategies, Hedge Fund Strategies, Alternative Investments, Hedge Fund Strategies

45.

3D Investing: Jointly Optimizing Return, Risk, and Sustainability

Forthcoming in Financial Analysts Journal
Number of pages: 26 Posted: 20 Dec 2023 Last Revised: 27 Mar 2024
David Blitz, Mike Chen, Clint Howard and Harald Lohre
Robeco Quantitative Investments, Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 970 (44,219)
Citation 1

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sustainable investing, portfolio optimization, carbon footprint, sustainable development goals (SDG), ESG, factor investing

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Number of pages: 29 Posted: 10 Feb 2011 Last Revised: 13 Jan 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 896 (48,639)
Citation 5

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passive investing, index fund, ETF, emerging markets, performance evaluation, dividend taxes, tracking error

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Emerging Markets Review, Vol. 13, pp. 149-158, 2012
Posted: 06 Mar 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management

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Exchange-traded funds, Performance evaluation, Tracking error

47.

Does Excluding Sin Stocks Cost Performance?

Number of pages: 26 Posted: 05 May 2021 Last Revised: 28 Jun 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 802 (57,480)
Citation 5

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Sin Stocks, Exclusion, Divestment, Environmental Social and Governance (ESG), Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Carbon Intensity, Paris-Aligned Investing, Climate Risk, Sustainable investing, Asset Pricing, Factor Investing

48.

Macro Risk of Low-Volatility Portfolios

Number of pages: 18 Posted: 23 Sep 2022
David Blitz
Robeco Quantitative Investments
Downloads 782 (59,449)

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low-volatility investing, macro risk, Covid pandemic, climate risk, factor investing, quant investing

49.

Media Attention and the Volatility Effect

Number of pages: 15 Posted: 21 Jun 2019 Last Revised: 16 Oct 2019
Robeco Quantitative Investments, Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 740 (64,010)
Citation 1

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Alpha, Attention, Big Data, Investing, Media, News, Volatility

50.

Who owns tobacco stocks?

Number of pages: 42 Posted: 10 May 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 642 (76,722)
Citation 6

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Divestment, Environmental Social and Governance (ESG), Exclusion, Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Sustainable investing, Tobacco

51.

Does Sustainable Investing Deprive Unsustainable Firms from Fresh Capital?

Number of pages: 23 Posted: 23 Dec 2020
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 537 (96,293)

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Sustainable investing, Socially Responsible Investing (SRI), Environmental Social and Governance (ESG), Sustainable Development Goals (SDGs), Exclusion, Divestment; Issuance; Capital flows

52.

The Volatility Effect in China

Journal of Asset Management, Forthcoming
Number of pages: 20 Posted: 19 Jan 2021 Last Revised: 16 Apr 2021
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 512 (101,848)

Abstract:

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China A shares, low risk, low volatility, low beta, minimum variance, anomaly, value, size, momentum, profitability, investments, smart beta, low-volatility investing

53.

Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation

Geneva Papers on Risk and Insurance - Issues and Practice, Forthcoming
Number of pages: 20 Posted: 29 Aug 2017 Last Revised: 16 Apr 2018
Robeco Quantitative Investments, Fintelligence CCT, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 506 (103,325)
Citation 1

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Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II

54.
Downloads 490 (107,485)
Citation 3

Agency-Based Asset Pricing and the Beta Anomaly

Number of pages: 51 Posted: 29 May 2012 Last Revised: 20 Dec 2012
David Blitz
Robeco Quantitative Investments
Downloads 490 (106,297)
Citation 2

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asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management

Agency-Based Asset Pricing and the Beta Anomaly

European Financial Management, Forthcoming
Posted: 16 Jan 2014
David Blitz
Robeco Quantitative Investments

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asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management

55.

Carbon-Tax-Adjusted Value

Number of pages: 23 Posted: 03 Dec 2021
David Blitz and Tobias Hoogteijling
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 455 (117,347)
Citation 1

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Carbon tax, efficient frontier, value investing, value premium, decarbonization, sustainable investing, ESG

56.

The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead of Short-Term Bills

Number of pages: 23 Posted: 25 Feb 2020
David Blitz
Robeco Quantitative Investments
Downloads 398 (137,013)
Citation 5

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asset pricing, risk-free asset, CAPM, equity beta, bond beta

57.

Betting Against Oil: The Implications of Divesting from Fossil Fuel Stocks

Number of pages: 19 Posted: 06 Dec 2021 Last Revised: 07 Jan 2022
David Blitz
Robeco Quantitative Investments
Downloads 380 (144,338)

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Fossil fuel, divestment, exclusion, sustainable investing, ESG, oil, asset pricing

58.

Do Tobacco Share Owners Finance the Tobacco Business?

Number of pages: 24 Posted: 28 May 2020 Last Revised: 07 Aug 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 311 (179,381)
Citation 1

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Cost-of-capital, ESG investing, Portfolio management, Sin stocks, Sustainability, Tobacco

59.

Mind the Gap: Efficiently Replacing Sustainability Exclusions

Number of pages: 13 Posted: 14 Nov 2023
David Blitz, Maarten Jansen and Nick Mutsaers
Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 149 (357,561)

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Sustainable investing, carbon footprint, SDG, Sustainable Development Goals, factor investing, quant investing, risk management, portfolio management, ESG

60.

The Factor and Sustainability Characteristics of Share Issuance

Number of pages: 16 Posted: 02 Nov 2023
David Blitz
Robeco Quantitative Investments
Downloads 89 (520,494)

Abstract:

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Factor investing, sustainable investing, quant investing, issuance, sustainability, ESG, cost of capital

61.

Factor Zoo (.zip)

The Journal of Portfolio Management, Quantitative Special Issue 2024, 50 (3) 11-31 DOI: 10.3905/jpm.2023.1.561
Posted: 15 Nov 2023 Last Revised: 16 Apr 2024
Lancaster University - Department of Accounting and Finance, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments

Abstract:

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Factor zoo, factor model, factor investing, alpha, GRS test

62.

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Journal of Portfolio Management, Vol. 44, No. 1, 2017
Posted: 10 Aug 2017
David Blitz and Frank J. Fabozzi
Robeco Quantitative Investments and Johns Hopkins University

Abstract:

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sin stocks, vice, quality, profitability, investment, asset pricing, 5-factor model

63.

Tracking Error Allocation

Journal of Portfolio Management, Vol. 27, No. 4, pp. 19-25, 2001
Posted: 20 Jul 2010
David Blitz and Jouke Hottinga
Robeco Quantitative Investments and AEGON Group

Abstract:

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Risk budgeting, tracking error, risk management