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David Blitz

Robeco Asset Management - Quantitative Strategies

Weena 850

Rotterdam, 3014 DA

Netherlands

  • Robeco Asset Management - Quantitative Strategies

SCHOLARLY PAPERS

30

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53,630

CITATIONS
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Top 8,572

in Total Papers Citations

53

Scholarly Papers (30)

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1.

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

Downloads 13,753 ( 181)
Citation 8

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 12,819 (196)
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 934 (19,155)
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 (509)
Citation 19

Abstract:

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

3.

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Downloads 3,282 ( 2,405)

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 3,282 (2,351)

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

4.

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

Downloads 2,374 ( 4,255)

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
David Blitz, Eric G. Falkenstein and Pim van Vliet
Robeco Asset Management - Quantitative Strategies, Pine River Capital Management and Robeco Asset Management - Quantitative Strategies
Downloads 2,374 (4,170)

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
David Blitz, Eric G. Falkenstein and Pim van Vliet
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.

Short-Term Residual Reversal

Downloads 2,155 ( 5,026)
Citation 1

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 2,155 (4,921)
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
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
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.

Strategic Allocation to Premiums in the Equity Market

Downloads 1,922 ( 6,085)
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 1,922 (5,950)
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

7.

The Performance of European Index Funds and Exchange-Traded Funds

Downloads 1,811 ( 6,774)
Citation 2

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,811 (6,624)
Citation 2

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 2
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Abstract:

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 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

8.

Residual Momentum

Downloads 1,613 ( 8,230)
Citation 3

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 1,613 (8,070)
Citation 3

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

9.

Fundamental Indexation: An Active Value Strategy in Disguise

Downloads 1,358 ( 10,887)
Citation 8

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 Asset Management - Quantitative Strategies and Erasmus University Rotterdam (EUR)
Downloads 1,358 (10,676)
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
David Blitz and Laurens Swinkels
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

10.

The Volatility Effect in Emerging Markets

Downloads 1,343 ( 11,103)
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 1,343 (10,882)
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
Pim van Vliet, David Blitz and Bart van der Grient
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 1,052 (10,448)
Citation 1

Abstract:

12.

Strategic Allocation to Commodity Factor Premiums

Downloads 939 ( 19,318)

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 939 (18,953)

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 (20,470)

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
David Blitz, Bart van der Grient and Pim van Vliet
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 746 (21,552)
Citation 2

Abstract:

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

15.

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

Downloads 731 ( 27,801)
Citation 1

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 731 (27,345)
Citation 1

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 (26,959)
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 (24,019)
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
Joop Huij, Simon Lansdorp, David Blitz and Pim van Vliet
Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 655 (12,632)

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 (12,289)

Abstract:

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

20.

Agency-Based Asset Pricing and the Beta Anomaly

Downloads 408 ( 59,095)

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 408 (58,534)

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
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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.

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

Number of pages: 18 Posted: 29 Aug 2017
David Blitz, Winfried G. Hallerbach, Laurens Swinkels and Pim van Vliet
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) and Robeco Asset Management - Quantitative Strategies
Downloads 0 (284,117)

Abstract:

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

22.

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 Asset Management - Quantitative Strategies and EDHEC Business School

Abstract:

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

23.

The Idiosyncratic Momentum Anomaly

Number of pages: 44 Posted: 05 Apr 2017
David Blitz, Matthias X. Hanauer and Milan Vidojevic
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and VU University Amsterdam, Finance
Downloads 0 (12,069)

Abstract:

asset pricing, idiosyncratic momentum, momentum crashes, risk management

24.

Are Exchange-Traded Funds Harvesting Factor Premiums?

Number of pages: 19 Posted: 07 Feb 2017 Last Revised: 20 Sep 2017
David Blitz
Robeco Asset Management - Quantitative Strategies
Downloads 0 (19,347)

Abstract:

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

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 Asset Management - Quantitative Strategies
Downloads 0 (29,466)

Abstract:

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

26.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
David Blitz, Matthias X. Hanauer, Milan Vidojevic and Pim van Vliet
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies, VU University Amsterdam, Finance and Robeco Asset Management - Quantitative Strategies
Downloads 0 (10,284)

Abstract:

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

27.

The Profitability of Low Volatility

Number of pages: 22 Posted: 19 Jul 2016 Last Revised: 24 Jul 2017
David Blitz and Milan Vidojevic
Robeco Asset Management - Quantitative Strategies and VU University Amsterdam, Finance
Downloads 0 (30,147)

Abstract:

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

28.

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 (18,888)

Abstract:

factor investing, smart beta

29.

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 (29,078)

Abstract:

low volatility, low beta, betting against beta, value

30.

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

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