%0 Journal Article %A David Blitz %A Pim van Vliet %T Practical Applications of The Conservative Formula: Quantitative Investing Made Easy %D 2019 %R 10.3905/pa.6.3.306 %J Practical Applications %P 1-7 %V 6 %N 3 %X >In The Conservative Formula: Quantitative Investing Made Easy, authors David Blitz and Pim van Vliet, both of Robeco in the Netherlands, present a formula for stock selection that has lower risk than the overall stock market but gives superior performance. They call their approach the “conservative formula.” They analyzed long-run performance anomalies in the stock market—what are usually called “factors”—and propose a stock-selection method that captures the anomalies that are most likely to be of use to long-only investors limited to liquid stocks.They present the formula itself, test it with historical data for the US stock market from 1929 through 2016, and compare it with competing investing approaches. They test their formula in the US midcap market and in markets overseas. They also compare the formula with a range of single-, double- and triple-factor portfolios to understand performance differences and to measure the extent to which their formula incorporates return premia associated with those factors. They find that this formula has historically outperformed a diversified market portfolio in the period 1929–2016, and that the formula delivers similar results in other markets.TOPICS: Portfolio theory, risk management %U https://pa.pm-research.com/content/iijpracapp/6/3/1.12.full.pdf