David Blitz

Robeco Asset Management - Quantitative Strategies

Weena 850

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 229

SSRN RANKINGS

Top 229

in Total Papers Downloads

46,644

CITATIONS
Rank 8,869

SSRN RANKINGS

Top 8,869

in Total Papers Citations

50

Scholarly Papers (26)

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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 12,226 (192)
Citation 8

Abstract:

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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 898 (18,475)
Citation 8

Abstract:

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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 5,915 (525)
Citation 19

Abstract:

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

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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 3,159 (2,250)

Abstract:

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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies

Abstract:

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 Asset Management - Quantitative Strategies, Pine River Capital Management and Robeco Asset Management - Quantitative Strategies
Downloads 2,238 (4,114)

Abstract:

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 Asset Management - Quantitative Strategies, Pine River Capital Management and Robeco Asset Management - Quantitative Strategies

Abstract:

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

5.
Downloads 1,996 ( 5,155)
Citation 1

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 1,996 (5,037)
Citation 1

Abstract:

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management

Abstract:

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

6.
Downloads 1,833 ( 5,928)
Citation 1

Strategic Allocation to Premiums in the Equity Market

Number of pages: 19 Posted: 25 Oct 2011
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 1,833 (5,799)
Citation 1

Abstract:

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 Asset Management - Quantitative Strategies

Abstract:

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
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,718 (6,526)
Citation 1

Abstract:

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
Downloads 0
Citation 1

Abstract:

The Performance of European Index Funds and Exchange-Traded Funds

European Financial Management, Forthcoming
Posted: 14 Feb 2011
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Abstract:

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

Fundamental Indexation: An Active Value Strategy in Disguise

Number of pages: 7 Posted: 29 Jul 2008 Last Revised: 15 Dec 2008
Robeco Asset Management - Quantitative Strategies and Erasmus University Rotterdam (EUR)
Downloads 1,328 (10,044)
Citation 8

Abstract:

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
Robeco Asset Management - Quantitative Strategies and Erasmus University Rotterdam (EUR)

Abstract:

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

9.
Downloads 1,327 ( 10,298)
Citation 2

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,327 (10,082)
Citation 2

Abstract:

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Abstract:

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

10.
Downloads 1,268 ( 11,098)
Citation 4

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 Asset Management - Quantitative Strategies, Shell Asset Management Company and Robeco Asset Management - Quantitative Strategies
Downloads 1,268 (10,854)
Citation 4

Abstract:

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 Asset Management - Quantitative Strategies, Shell Asset Management Company and Robeco Asset Management - Quantitative Strategies

Abstract:

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

11.

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

Number of pages: 25 Posted: 08 Jul 2011
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 1,052 (10,514)
Citation 1

Abstract:

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 Asset Management - Quantitative Strategies and Robeco Asset Management
Downloads 847 (20,123)

Abstract:

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 Asset Management - Quantitative Strategies and Robeco Asset Management

Abstract:

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

13.

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 Asset Management - Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 808 (19,762)

Abstract:

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

14.

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 Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 746 (20,953)
Citation 2

Abstract:

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

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 Asset Management - Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 707 (26,175)

Abstract:

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 Asset Management - Quantitative Strategies and Erasmus University - Rotterdam School of Management

Abstract:

Exchange-traded funds, Performance evaluation, Tracking error

16.

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

Number of pages: 16 Posted: 14 May 2008
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 685 (25,319)
Citation 1

Abstract:

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

17.

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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 674 (23,838)
Citation 2

Abstract:

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

18.

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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 655 (15,447)

Abstract:

19.

Factor Investing Revisited

Journal of Index Investing, Forthcoming
Number of pages: 22 Posted: 03 Jul 2015
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 607 (14,256)

Abstract:

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

Agency-Based Asset Pricing and the Beta Anomaly

Number of pages: 51 Posted: 29 May 2012 Last Revised: 20 Dec 2012
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 392 (56,611)

Abstract:

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 Asset Management - Quantitative Strategies
Downloads 0

Abstract:

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 Asset Management - Quantitative Strategies

Abstract:

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

21.

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

Number of pages: 18 Posted: 13 Jan 2017
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 0 (274,355)

Abstract:

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

22.

Five Concerns with the Five-Factor Model

Number of pages: 15 Posted: 05 Nov 2016
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies, VU University Amsterdam, Finance and Robeco Asset Management - Quantitative Strategies
Downloads 0 (18,380)

Abstract:

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

23.

The Profitability of Low Volatility

Number of pages: 22 Posted: 19 Jul 2016 Last Revised: 13 Oct 2016
David Blitz and Milan Vidojevic
Robeco Asset Management - Quantitative Strategies and VU University Amsterdam, Finance
Downloads 0 (40,833)

Abstract:

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

24.

Factor Investing with Smart Beta Indices

Number of pages: 13 Posted: 29 Apr 2016 Last Revised: 04 Aug 2016
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 0 (28,783)

Abstract:

factor investing, smart beta

25.

The Value of Low Volatility

Journal of Portfolio Management, Forthcoming
Number of pages: 17 Posted: 10 Feb 2016
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 0 (33,165)

Abstract:

low volatility, low beta, betting against beta, value

26.

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 Asset Management - Quantitative Strategies and AEGON Group

Abstract:

Risk budgeting, tracking error, risk management