David Blitz

Robeco Quantitative Investments

Head Quantitative Research

Weena 850

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 140

SSRN RANKINGS

Top 140

in Total Papers Downloads

77,788

SSRN CITATIONS
Rank 4,406

SSRN RANKINGS

Top 4,406

in Total Papers Citations

114

CROSSREF CITATIONS

135

Scholarly Papers (38)

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 14,100 (225)
Citation 3

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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 1,090 (19,480)
Citation 8

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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 10,275 (442)
Citation 7

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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 4,319 (2,047)
Citation 1

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

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 3,660 (2,671)
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

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 3,295 (3,211)
Citation 11

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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

6.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Strategies, VU University Amsterdam - Finance and Robeco Quantitative Investments
Downloads 2,759 (4,431)
Citation 2

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

7.
Downloads 2,607 ( 4,866)
Citation 5

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 Erasmus University Rotterdam (EUR)
Downloads 2,607 (4,768)
Citation 5

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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 Erasmus University Rotterdam (EUR)

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

8.

The Idiosyncratic Momentum Anomaly

Number of pages: 50 Posted: 05 Apr 2017 Last Revised: 10 Jan 2018
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Strategies and VU University Amsterdam - Finance
Downloads 2,564 (5,015)
Citation 9

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

9.
Downloads 2,501 ( 5,222)
Citation 1

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 Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 2,501 (5,120)
Citation 1

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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 Quantitative Strategies and Erasmus University - Rotterdam School of Management

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

10.

When Equity Factors Drop Their Shorts

Number of pages: 30 Posted: 26 Nov 2019
David Blitz, Guido Baltussen and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 2,461 (5,365)

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

11.
Downloads 2,127 ( 6,817)
Citation 8

Strategic Allocation to Premiums in the Equity Market

Number of pages: 19 Posted: 25 Oct 2011
David Blitz
Robeco Quantitative Investments
Downloads 2,127 (6,682)
Citation 8

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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

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 1,960 (7,695)
Citation 1

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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, Vol. 18, Issue 4, pp. 649-662, 2012
Number of pages: 14 Posted: 23 Aug 2012
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
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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

13.

Factor Investing: Long-Only versus Long-Short

Number of pages: 19 Posted: 29 Mar 2014
Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,870 (8,507)
Citation 9

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14.

Factor Investing Revisited

Journal of Index Investing, Forthcoming
Number of pages: 22 Posted: 03 Jul 2015
David Blitz
Robeco Quantitative Investments
Downloads 1,751 (9,473)

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

15.

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 Asset Management - Quantitative Strategies
Downloads 1,601 (10,989)
Citation 6

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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 1,598 (10,816)
Citation 26

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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

17.
Downloads 1,504 ( 12,082)
Citation 4

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 1,287 (15,139)
Citation 4

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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 217 (145,596)

Abstract:

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

18.

The Volatility Effect Revisited

Number of pages: 27 Posted: 26 Aug 2019
David Blitz, Pim van Vliet and Guido Baltussen
Robeco Quantitative Investments, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,469 (12,617)
Citation 6

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

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 1,409 (13,165)
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

20.

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 VU University Amsterdam - Finance
Downloads 1,309 (15,051)
Citation 3

Abstract:

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

21.

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 1,257 (16,027)
Citation 1

Abstract:

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factor investing, smart beta

22.
Downloads 1,168 ( 17,912)
Citation 2

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 1,168 (17,579)
Citation 2

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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

23.

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 Asset Management - Quantitative Strategies and Robeco Quantitative Investments
Downloads 987 (22,978)

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

24.

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 958 (24,067)

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

25.

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 924 (25,282)
Citation 4

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

26.

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 VU University Amsterdam - Finance
Downloads 919 (25,491)
Citation 2

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

27.

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 916 (25,614)
Citation 1

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

28.

The Value of Low Volatility

Journal of Portfolio Management, Forthcoming
Number of pages: 17 Posted: 10 Feb 2016
David Blitz
Robeco Quantitative Investments
Downloads 889 (26,724)
Citation 1

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low volatility, low beta, betting against beta, value

29.

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

Number of pages: 16 Posted: 14 May 2008
David Blitz
Robeco Quantitative Investments
Downloads 799 (31,046)
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

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 787 (31,229)
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

31.

The Performance of Exchange-Traded Funds

Number of pages: 21 Posted: 06 Oct 2019
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and VU University Amsterdam - Finance
Downloads 742 (34,411)

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

32.

Media Attention and the Volatility Effect

Number of pages: 15 Posted: 21 Jun 2019 Last Revised: 16 Oct 2019
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Investing, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 449 (66,191)
Citation 1

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

33.
Downloads 444 ( 66,729)
Citation 6

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 444 (66,059)
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, Vol. 20, Issue 4, pp. 770-801, 2014
Number of pages: 32 Posted: 16 Sep 2014
David Blitz
Robeco Quantitative Investments
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Citation 1
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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

34.

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, Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 255 (124,456)

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

35.

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 64 (366,616)

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Divestment; Exclusion; Responsible Investing; Sin Stocks; Sustainability

36.

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

Number of pages: 23
David Blitz
Robeco Quantitative Investments
Downloads 1

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

37.

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 EDHEC Business School

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

38.

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

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Risk budgeting, tracking error, risk management