RT Journal Article
SR Electronic
T1 Practical Applications of The Value of Low Volatility
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 3
DO 10.3905/pa.2016.4.2.163
VO 4
IS 2
A1 David Blitz
A1 Howard Moore
YR 2016
UL https://pm-research.com/content/4/2/1.1.abstract
AB The Value of Low Volatility David Blitz David Blitz investigates the low-volatility effect to find out whether it’s just another way to look at value investing, as critics have charged.By breaking down the data into smaller time periods, he found that there is a distinction between how low vol and value stocks behave. “[O]ver the long term, low vol is more value-like two-thirds of the time, but one-third of the time it’s more growth-like,” says Blitz. He finds that the evidence for the low-volatility effect is at least as strong as that for the value effect, or perhaps even stronger.Blitz, who is Head of Quantitative Equity Research at Robeco Asset Management , published his findings, The Value of Low Volatility , in the Spring 2016 issue of The Journal of Portfolio Management .