Pim van Vliet

Robeco Quantitative Investments

Rotterdam, 3011 AG

Netherlands

  • Robeco Quantitative Investments

SCHOLARLY PAPERS

29

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  • Robeco Quantitative Investments

Scholarly Papers (29)

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1.

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

Downloads 15,201 ( 205)
Citation 16

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 14,110 (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 1,091 (19,504)
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 10,287 (442)
Citation 7

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

3.

Global Factor Premiums

Number of pages: 63 Posted: 06 Feb 2019
Guido Baltussen, Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 8,378 (650)
Citation 5

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Factor premium, Multiple hypothesis testing, P-hacking, Return anomalies, Predictability, Stocks, Bonds, Currencies, Commodities, Value, Momentum, Trend, Carry, Betting-against-beta, Seasonality

4.

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 4,340 (2,034)
Citation 1

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

5.

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Downloads 3,663 ( 2,729)
Citation 2

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 3,663 (2,676)
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

6.

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

Downloads 3,298 ( 3,278)

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 Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 3,298 (3,212)
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
David Blitz, Eric G. Falkenstein and Pim van Vliet
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

7.

An Anatomy of Calendar Effects

Journal of Asset Management 13(4), 2012, pp. 271-286
Number of pages: 24 Posted: 24 Apr 2010 Last Revised: 07 Oct 2012
Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,132 (3,558)

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Calendar effects, Halloween indicator, Holiday effect, January effect, Seasonal patterns, Turn-of-the-month effect, Weekend effect

8.

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 Quantitative Investments, Robeco Asset Management - Quantitative Strategies, VU University Amsterdam - Finance and Robeco Quantitative Investments
Downloads 2,768 (4,420)
Citation 2

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

9.

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 2,494 (5,255)

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

10.

Global Tactical Sector Allocation: A Quantitative Approach

Downloads 1,965 ( 7,853)

Global Tactical Sector Allocation: A Quantitative Approach

Number of pages: 26 Posted: 19 Jan 2011
Ronald Q. Doeswijk and Pim van Vliet
Independent and Robeco Quantitative Investments
Downloads 1,965 (7,686)

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Global Tactical Sector Allocation, Out-of-Sample Predictability, Momentum, Earnings Revisions, Valuation, Fed Policy, Sell In May, Halloween Seasonal

Global Tactical Sector Allocation: A Quantitative Approach

Journal of Portfolio Management, Vol. 38, No. 1, 2011
Posted: 01 Nov 2011
Ronald Q. Doeswijk and Pim van Vliet
Independent and Robeco Quantitative Investments

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Global tactical sector allocation, out-of-sample predictability, momentum, earnings revisions, valuation, Fed policy, Sell in May, Halloween seasonal

11.

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 Quantitative Investments and Robeco Quantitative Investments
Downloads 1,875 (8,482)
Citation 9

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12.

Sorting Out Downside Beta

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Citation 4

Sorting Out Downside Beta

ERIM Report Series Reference No. ERS-2009-006-F&A, 22nd Australasian Finance and Banking Conference 2009
Number of pages: 26 Posted: 17 Mar 2009 Last Revised: 09 Dec 2010
Thierry Post, Pim van Vliet and Simon Lansdorp
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Robeco Quantitative Strategies
Downloads 1,021 (21,518)

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asset pricing, downside risk, semi-variance, lower partial moments, beta

Sorting Out Downside Beta

Number of pages: 28 Posted: 06 Jan 2012 Last Revised: 10 Oct 2012
Thierry Post, Pim van Vliet and Simon Lansdorp
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Robeco Quantitative Strategies
Downloads 764 (32,573)
Citation 6

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Asset pricing, downside beta, CAPM, downside risk, semi-variance

13.

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 Quantitative Investments, Robeco Quantitative Investments and Robeco Asset Management - Quantitative Strategies
Downloads 1,601 (11,016)
Citation 6

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14.

The Volatility Effect in Emerging Markets

Downloads 1,598 ( 11,050)

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 (10,850)
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

15.

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 1,481 (12,416)
Citation 6

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

16.

Empirical Tests of the Mean-Semivariance CAPM

Number of pages: 32 Posted: 21 Jun 2004
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 1,429 (13,159)
Citation 2

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Asset pricing, downside risk, conditional tests, CAPM, non-linear kernels, asymmetry, semi-variance, lower partial moments

17.

Downside Risk and Asset Pricing

ERIM Report Series Reference No. ERS-2004-018-F&A, Journal of Banking and Finance, Vol. 30, No. 3, pp. 823-849, March 2006
Number of pages: 36 Posted: 17 Feb 2004
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 1,072 (20,370)
Citation 1

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stock market efficiency, asset pricing, SSD, lower partial moments, downside risk

18.

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 Quantitative Investments, Robeco Asset Management - Quantitative Strategies and Robeco Quantitative Investments
Downloads 987 (23,039)

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

19.

Risk Aversion and Skewness Preference: A Comment

ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19 Posted: 23 Feb 2006
Thierry Post, Pim van Vliet and Haim Levy
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 935 (24,924)
Citation 4

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asset pricing, risk aversion, skewness preference, representative investor, three-moment model

20.

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 917 (25,642)
Citation 1

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

21.

Do Multiple Factors Help or Hurt?

Number of pages: 23 Posted: 25 Aug 2004
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 864 (27,904)
Citation 1

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Fama-French factors, Carhart factor, SMB, HML, WML, efficiency tests

22.

Low Volatility Needs Little Trading

Number of pages: 19 Posted: 01 Jun 2015 Last Revised: 26 Apr 2017
Pim van Vliet
Robeco Quantitative Investments
Downloads 816 (30,243)
Citation 1

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low-volatility investing, meta-study, turnover, risk-reduction, overconfidence

23.

Conditional Downside Risk and the CAPM

ERIM Report Series Reference No. ERS-2004-048-F&A
Number of pages: 34 Posted: 26 Aug 2006
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 550 (51,203)

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Downside risk, conditional downside risk, CAPM, non-linear kernel, asymmetry, semi-variance, lower partial moments

24.

Portfolio Return Characteristics of Different Industries

Downloads 537 ( 52,810)

Portfolio Return Characteristics of Different Industries

ERIM Report Series Reference No. ERS-2003-014-F&A
Number of pages: 16 Posted: 27 May 2003
I. Pouchkarev, J. Spronk and Pim van Vliet
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Erasmus Research Institute of Management (ERIM) and Robeco Quantitative Investments
Downloads 537 (52,183)

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portfolio management, investments, stock markets, sector index, performance evaluation

Portfolio Return Characteristics of Different Industries

MODERN CONCEPTS OF THE THEORY OF THE FIRM, G. Fandel, U. Backes-Gellner, M. Schlueter, J.E. Staufenbiel, eds., Springer-Verlag, Berlin, Heidelberg 2004
Posted: 23 Feb 2004
I. Pouchkarev, J. Spronk and Pim van Vliet
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Erasmus Research Institute of Management (ERIM) and Robeco Quantitative Investments

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Portfolio Management, Investments, Stock Markets, Sector Index, Performance Evaluation

25.

Downside Risk Aversion, Fixed Income Exposure, and the Value Premium Puzzle

Journal of Banking and Finance, Vol. 36, No. 12, 2012
Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 22 Jun 2013
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 536 (52,943)

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downside risk, semi-variance, interest rates, fixed income, value premium, asset pricing, behavioral finance, bond returns

26.

Media Attention and the Volatility Effect

Number of pages: 15 Posted: 21 Jun 2019 Last Revised: 16 Oct 2019
David Blitz, Rob Huisman, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Investing, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 451 (65,688)
Citation 1

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

27.

Violations of Cpt in Mixed Gambles

Management Science, Vol. 52, No. 8, pp. 1288-1290
Number of pages: 17 Posted: 27 Feb 2004
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 258 (123,246)

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Cumulative prospect theory, expected utility, mixed gambles, probability weighting, stochastic dominance

28.

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
David Blitz, Winfried G. Hallerbach, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 255 (124,725)

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

29.

Low Volatility Needs Little Trading

Number of pages: 19 Posted: 01 Jun 2015
Pim van Vliet
Robeco Quantitative Investments
Downloads 24 (517,877)
Citation 2

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low-volatility investing, meta-study, turnover, risk-reduction, overconfidence