For professional investors

Guide to low-volatility
investing
FROM THEORY TO PORTFOLIO
 Content

The past and present

The history and basics
Why does low-volatility investing work?
Low-volatility investing today

The strategy
How to avoid the pitfalls of a generic low-vol approach
The construction of a Conservative equities portfolio
Losing less in down markets

The portfolio
How can low-volatility investing be applied in an equity portfolio?
Case Study: Conservative Equity impact on a strategic portfolio

The funds
Robeco Global All Countries Conservative Equities
Robeco European Conservative Equities
Robeco US Conservative Equities
Robeco Emerging Conservative Equities

Investment team

Extra information
Terms and definitions
Recommended articles

Contact details and information

2 • Guide to low-volatility investing

Rotterdam, October 2015

Dear reader,

It gives us great pleasure to present you with this ‘Guide to low-volatility investing’. It describes
the basics of low-volatility investing, provides insight into the volatility effect and shows how
the Robeco Conservative Equities strategies work. This guide introduces the key features of
Robeco’s Conservative Equities and explains how the strategy can be used in a portfolio.

The objective of Robeco’s Conservative Equities strategies is to achieve a long-term full-cycle

performance equal to or greater than the equity market with substantial lower downside risk.

According to the Capital Asset Pricing Model (CAPM) theory, risk and return should go hand
in hand. However, 40 years of empirical studies have proved that the relationship between
risk and return is flat or even negative. Strategies based on this phenomenon are therefore a
promising option for investors.

Robeco was one of the first companies to make research contributions to the academic
debate on low-volatility investing. And we have been a leader in successfully putting the
concept into practice. We launched our first Conservative Equity strategy for developed
markets in 2006 and an emerging markets strategy in 2011.

Currently Robeco manages over EUR 24 billion in quantitative strategies. A significant

proportion of this sum is invested in low volatility strategies: with over EUR 11 billion in
assets under management, Robeco can be considered one of the world’s biggest active low-
volatility equity managers.

We hope this guide will give you an insight into how to achieve your long-term investment
goals and convince you of the benefits of our low-volatility approach.

Portfolio Managers Robeco Conservative Equities

Pim van Vliet Arlette van Ditshuizen Maarten Polfliet Jan Sytse Mosselaar

Guide to low-volatility investing • 3

 The past and present

– Lower-risk stocks actually generate higher returns, which contradicts the

CAPM theory
– Low-volatility investing works because investors are biased towards high-risk
stocks and are willing to overpay for these
– Despite the growing interest in low-volatility investing, total assets under
management for these strategies are estimated to be relatively low

4 • Guide to low-volatility investing

The history and basics of low-volatility investing
Already in the early 1970s, academic research reported Figure 1: Risk-return relationship US, 1931 - 2002
that the risk-return relationship is flat for the US equity
market. 15%

Discovery of the volatility effect

The CAPM (Capital Asset Pricing Model) predicts a positive 12%
relationship between risk and return. In other words, taking
a higher degree of risk should, on average, be rewarded with
a higher level of return. However, the first empirical tests
Return above cash

9%
carried out on the CAPM documented that the risk-return
Low beta High beta
relationship is flatter than the theory predicts. In fact, a study
by Haugen and Heins (1972) showed that low-beta stocks in 6%
the United States outperformed in the period 1929-1971. Risk (beta)

Award-winning research by Robeco confirmed this ‘beta

3%
effect’ for other equity markets and documented a related
‘volatility effect‘: stocks with lower risk (as measured by
beta or volatility) actually generate higher returns, which
0%
contradicts the CAPM theory. Figure 1 shows that stocks
0 0,5 1 1,5 2
with a beta lower than 1 have similar returns. As this Risk (beta)
phenomenon cannot be explained by standard theories like
Market Simple average Compounded average
the CAPM, it is defined as an anomaly (see Figure 1). Other
academic research by Robeco shows that the volatility effect Source: Blitz, David, Eric Falkenstein, and Pim van Vliet (2014), “Explanations for the Volatility Effect: An Overview Based on the
CAPM Assumptions”, Journal of Portfolio Management.
is growing stronger in the European, Japanese and Emerging
equity markets.

A generic low-volatility strategy selects stocks based on the

volatility of past returns. From an investor’s point of view,
such a quantitative strategy offers offers higher risk-adjusted
returns as measured by the Sharpe Ratio. This ratio indicates
the extent to which investors are rewarded for the (absolute)
risk they take. In other words, how much return they receive
per unit of risk they take.

Guide to low-volatility investing • 5

 Why does low-volatility investing work?
Because empirical evidence documents a flat or even – Whenever an asset does not yield the return that
a negative relationship between risk and return, the corresponds with its risk profile, it is considered too
volatility effect in essence challenges the well-known expensive. A rational investor will try to sell this expensive
CAPM model. This model assumes a positive and linear asset to lock in a profit. There is still an incentive to sell,
relationship between risk and return. even if the investor does not hold the asset itself. All
he needs to do is to borrow the assets and sell them
Explanations for this so-called low-risk anomaly1 come short. However, this is not always possible because
from both rational professional investor behavior (market of the market structure (the ability to borrow and sell
structure and regulation) and behavioral finance (irrational short) or regulatory requirements. These constraints
behavior by market participants). These are explained in prevent so-called arbitrageurs (and short-sellers) from
more detail below. re-establishing the fair risk-return relationship when
high-beta stocks become overpriced.
– The goals and incentives of investors, asset managers, – A similar situation occurs when an investor cannot switch
analysts and asset management firms can lead to between the following two types of portfolio: a portfolio
investors overpaying for high-beta stocks. This is due of high-risk stocks and a portfolio of low-risk stocks where
to the fact that in the investment industry ‘the winner leverage is used to increase the risk level to that of the
often takes it all’. This means that based on performance high-risk stock portfolio. The application of leverage is
only the best investors receive inflow. That is why some sometimes not permitted by regulators or is against
are even willing to take unrewarded risks to become the client wishes.
winner. This means they overpay for high-risk assets. This
behavior is confirmed by empirical evidence that shows These factors will persist unless fundamental changes in law,
that mutual funds hold a disproportionally large amount regulations or industry structure occur or the behavior of
of high-beta stocks. market participants changes. Therefore, investors are likely
– From a behavioral perspective market participants are to remain biased towards high-risk stocks, and willing to
known not to behave completely rationally. Usually overpay for them. This disturbs the system of a fair reward
they act on only a fraction of all the available relevant for risk and gives low-volatility investors the opportunity to
information. A well-known example is that high-risk exploit this.
stocks receive a lot of attention from investors, for
example by making headlines in the news, whereas more
boring low-risk stocks don’t.
– Another well-documented aspect is the overconfidence of
active investment managers in their ability to select the
right stocks. This overconfidence leads to a bias towards
more volatile assets.

1
Van Vliet, Pim (2004), “Downside Risk and Empirical Asset Pricing”, PhD thesis Erasmus School of Economics

6 • Guide to low-volatility investing

Low-volatility investing today
Whereas only ten years ago hardly anyone had Despite the growing interest, we estimate total assets under
heard about low-volatility investing, nowadays many management in low-volatility strategies at around USD 200
professional investors allocate to low-volatility stocks and billion as2. Total assets under management in active low-
many asset managers offer a variety of related products. volatility products amounts to around USD 75 billion in Q2
2014 (Figure 2). Therefore, low-volatility is still in its infancy.
Following the success of active managers, index providers
and passive managers have also jumped on the bandwagon
by introducing low-volatility indices and ETFs. The names Figure 2: AuM of low-volatility products in eVestment Alliance database over time
might vary from minimum volatility to managed volatility,
minimum variance. They all try to exploit the low-volatility 80,000
Asset under Management (in USD millions)

effect in one way or another.

70,000

In response to the popularity of these new products some 60,000

investors have become concerned that low-volatility is
50,000
starting to become an overcrowded trade and that the Global mandates have
the largest AuM
anomaly might disappear. However, there is no empirical 40,000
evidence to support these concerns. Like other well-known 30,000
effects in financial markets (for example, the value and
20,000
momentum effect) the volatility effect can be considered
persistent. 10,000

0
04 04 05 05 06 06 07 07 08 08 09 09 00 00 01 01 02 02 03 03 04
Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1
International Emerging Markets Global/ACWI United States

Source: eVestment Alliance, Citi Research

2
Are low-volatility stocks overcrowded? David Blitz and Pim van Vliet, Robeco Research Paper, November 2014

Guide to low-volatility investing • 7

 The strategy

– Investors should be aware of the potential pitfalls of low-volatility investing

– The Robeco approach successfully avoids these pitfalls

– Significant reduction of losses in down markets ensures capital preservation

8 • Guide to low-volatility investing

How to avoid the pitfalls of a generic low-vol approach
Before investors start investing in low-volatility stocks, These are stocks with low absolute risk, low distress risk and
they should be aware of the potential pitfalls of a generic attractive upside potential. Our prudent and systematic
strategy. The four most common pitfalls are summarized process for selecting stocks and constructing the portfolio
below. leads to a low turnover and enhanced long-term returns.

For each of the pitfalls, Robeco offers a solution and

identifies the most attractive low-volatility stocks.

Pitfalls and solutions of low-volatility investing

Pitfalls of generic approach Robeco approach

1 One-dimensional view of risk Multi-dimensional risk approach

2 High trading costs Robust portfolio-construction process

3 Limited up-capture and valuation risk Valuation and momentum factors in the
stock-selection model

4 Concentration risk Strict concentration limits for region, country,

(sub)sector, size and single stock weights

Source: Robeco

Guide to low-volatility investing • 9

 Pitfall 1 of a generic approach

One-dimensional view of risk Robeco approach

First, a low-volatility portfolio focusing only on past volatility Robeco adopts a multi-dimensional risk approach, which
has a one-dimensional view of risk. also includes forward looking risk measures. The Robeco
An important risk dimension, future expectations, is distress-risk model takes into account how balance sheet
excluded if the analysis relies solely on historical statistical leverage of a company might translate into future distress
risk factors. (e.g. credit rating downgrade or insolvency). The Robeco risk
approach also incorporates other forward-looking financial
information about the firm’s corporate structure.
Based on extensive testing over the period 1991-2009,
Robeco has found that the distress-risk model has strong
predictive power and is an effective indicator of future
financial distress. This predictive power is especially
important to a low-volatility strategy, because one of its
main goals is to preserve equity capital by minimizing losses
in down markets and realizing positive excess returns versus
regular market indices.

Pitfall 2 of a generic approach

High trading costs Robeco approach

Second, a low-volatility strategy can lead to high trading In order to prevent unnecessary trading costs and enhance
costs, because of high turnover. Generic low-volatility returns in the long run, Robeco’s Conservative Equities
managers typically have a turnover rate of more than 50% strategy has a robust portfolio-construction process which
and some in excess of 100%. This high turnover is often is different from most other asset managers. The portfolio-
the result of the optimization method used to construct construction process uses a ranking method. A ranking
portfolios. The optimization method is very sensitive to method is less sensitive to changing inputs and avoids high
assumptions on parameters, especially the correlations turnover. Furthermore, the portfolio-construction process
between individual stocks in the investment universe and incorporates a sell-driven investment discipline. This means
in the portfolio. At first glance, portfolio turnover might that stocks are only sold when they end up in the bottom
look like a relatively minor issue. After all, the impact of a 40% of the ranking. This results in an expected annual
single transaction on net performance is minimal for most one-way turnover of only around 25%. In other words,
stocks. This is not always the case in emerging markets on average a stock is held in the portfolio for four years.
where these costs are relatively high compared to those in
developed markets. But when all the individually modest
costs are bundled together, they can take a big bite out of
net performance. Transaction costs are the silent killer of
performance, making them a major consideration.

10 • Guide to low-volatility investing

Pitfall 3 of a generic approach

Limited up-capture and valuation risk Robeco approach

Due to its focus only on low volatility, a generic strategy In order to enhance the risk-return profile and to mitigate
tends to lag during an up market: this is called limited the valuation risk, Robeco Conservative Equities has added
up-capture. Valuation risk is the risk of overpaying for low- return factors to its stock-selection model. Adding the
volatility stocks because the actual valuation (price relative momentum factor, for example via earnings revisions,
to fundamentals) is ignored. helps to improve up-capture. Adding the valuation factor
mitigates valuation risk. Incorporating these two factors into
Most generic low-volatility strategies do not take valuation a low-volatility strategy enables us to realize our objective of
into account. This can be a risk as during some periods, low- maximizing Sharpe ratios.
volatility stocks can be more expensive. This was for example
the case in the 1940s and 1950s, when people were willing
to pay for stability, which resulted in relatively low returns in
the following years. Also, in the years after the financial crisis
(2008) low-volatility stocks became relatively expensive.

Pitfall 4 of a generic approach

Concentration risk Robeco approach

Low-volatility indices and portfolios constructed using the Robeco mitigates concentration risk by having strict
optimization method can heighten the concentration risk. research-based concentration limits for region, country,
The S&P 500 Low-volatility Index is a good example. It (sub-)sector, size and single stock weights. Furthermore,
does not constrain sector weights, which can result in a Robeco combines low-volatility, valuation and momentum,
huge sector concentration. For example, in December 2012 which have low correlations, in its selection model. This
around 60% of this index was invested in only two sectors, leads to a varied stock selection while avoiding excessive
utilities and consumer staples. This means that any sector- sector and country tilts.
specific developments can have a large negative impact on
total performance. Optimized portfolios, which construct
low-volatility portfolios by taking correlations between
stocks into account, are also vulnerable to increased
concentration risk. These portfolios are highly dependent
on input data like correlation estimates, which can result in
extreme portfolio positions.

Guide to low-volatility investing • 11

 The construction of a Robeco Conservative Equity portfolio
The aim of the Robeco Conservative Equities strategy is In order to realize the goal of the Conservative Equities
to realize a long-term full-cycle performance equal to, or strategy, the model not only focusses on the generic low-
greater than, the equity market with substantially lower volatility characteristics of stocks but also takes distress risk,
downside risk. Pure bottom-up stock selection is the sole valuation and momentum factors into account to further
performance driver of the strategy. enhance the portfolio’s risk-return profile. In our approach
we focus first on reducing risk by using a combination of
I. Stock ranking statistical low-risk factors and proprietary distress factors
The starting point is the definition of an investment universe. and secondly on enhancing return by adding customized
Our investment universe is based on the S&P Broad Market valuation and momentum factors to the model (Figure 3).
Index, the MSCI indices and the S&P IFC and FTSE Emerging
Markets Index for emerging markets. Dual listings and stocks The stock-selection model produces a total score for
with data issues are excluded and a liquidity screen based on each stock in the investable universe by combining the
a minimum average trading volume and minimum market outcomes on the different factors (low risk, valuation and
cap. This results in a total investable universe of 3500, momentum).
2000, 1400 and 1000 stocks for Global, US, Emerging and
European Conservative Equities respectively.

Figure 3: Conservative Equities: improved risk-return ratio

Brand portfolio of low-volatility stocks

Return

– Single statistical risk measure

Conservative Equities – Low conviction, large numbers of stocks

Robeco proprietary low-risk factors

– Combination of statistical factors
– Proprietary distress factors

Robeco Conservative Equity

Low Risk factors Low Volatility – Integration of valuation and momentum
factors
– High conviction, higher active share
Risk

Source: Robeco

12 • Guide to low-volatility investing

II. Portfolio construction III. Execution & Monitoring
The next phase consists of model portfolio construction. The The portfolio consists of approximately 150 (European and
model’s results (the stock ranking) are implemented using US Conservative Equities) or 200 (Global, All Countries
a proprietary portfolio-construction algorithm, which uses and Emerging Markets Conservative Equities) positions. It
validated rankings from the stock-selection model to create follows a monthly cycle of ranking the stocks and adjusting
a portfolio. The tool’s objective is to construct the portfolio the portfolio accordingly. The portfolio is continuously
by selecting the highest ranked stocks with low expected monitored between monthly rebalancing dates. Corporate
risk and attractive upside potential. It aims to maximize actions, position limits, foreign currency exposure and
the exposure of the portfolio to the highest ranked stocks. performance are constantly assessed.
Portfolio turnover is regulated by only selling stocks when If it is necessary to take action intra-month for example
they fall into the bottom 40% of the ranked. In the long run due to significant cash inflows or outflows, or to reduce
this approach leads to lower transaction costs and higher unintended risks, an extra portfolio adjustment takes place.
returns. Figure 4 provides an overview of this process. Portfolio managers carefully check all proposed transactions
and the new portfolio as they have final responsibility for
buy-sell decisions.

Figure 4: Portfolio management: A disciplined process to manage client portfolios

Monthly rebalancing process

1) Stock Ranking
1) Stock – Proprietary quantitative stock-selection model
Ranking
2) Portfolio – Qualitative review on stock rankings
Optimization

2) Portfolio Optimization
– Proprietary portfolio-construction algorithm
Client – Determine most efficient instruments
Portfolio
– Check proposed trades

3) Execution and Monitoring

– Order execution by global trading desks
3) Execution
– Continuous monitoring of portfolio
& Monitoring – Portfolio rebalancing aligned with cash flows
Objectives portfolio-management process
> Obtain the highest possible model exposure
> Lower costs by avoiding unnecessary transactions
> Control risks by maintaining a human overview
Source: Robeco

Guide to low-volatility investing • 13

 Losing less in down markets
Capital preservation can be achieved due to significant Figure 5 provides details of the risk-reduction potential in
reduction of losses during down markets. three scenarios: down markets (negative one year rolling
returns), moderate up markets (returns between 0% to 15%)
The main objective of the Robeco Conservative Equities and strong up markets (returns above >15%).
strategy is to achieve a long-term full-cycle performance
equal to, or greater than, the MSCI Index, but with a lower The chart on the right-hand side of Figure 5 shows the ‘hit
degree of volatility. An advantage of Robeco’s low-volatility ratio’ of the Conservative Equity Strategy since its inception.
strategy is that, in a declining market, the stocks in the Investors should be aware that the probabilities indicated
portfolio typically fall less than other stocks. Once the market below for the three scenarios are no guarantee that positive
recovers, low-volatility stocks have less ground to make up. excess returns will always be generated in declining markets.
The preservation of capital compensates for the fact that the
strategy may lag the MSCI Index in a strong
(thematic) up market.

Figure 5: Conservative Equity strategy: Losing less in down markets

MSCI versus Conservative Hit ratio

1Y rolling returns since inception
30% 100%

75%
20%

50%
10%
25%

0% 0%
< 0% 0% to 15% > 15%

-10% Losses are not reduced in all cases: the

graph above shows the probabilities of
positive and negative excess returns for
the three scenarios.
-20%
< 0% 0% to 15% > 15% Positive excess returns
Conservative Equities MSCI Index Negative excess returns

The average return series are based on the net asset values of three funds since inception until December 2014: Robeco Institutional Conservative Equity Fund (October 2006), Robeco
European Conservative Equity (September 2007) and Robeco Emerging Conservative Equities (March 2011), gross of fees. The Robeco Institutional Conservative Equity Fund and Robeco
European Conservative Equity and its reference indices have been unhedged for currency risk since 30 June 2012. The value of your investments may fluctuate. Results obtained in the past
are no guarantee for the future.

See also: Blitz, David, and Pim van Vliet (2014), “Low-Volatility Investing: Expect the Unexpected”, Robeco research paper.

14 • Guide to low-volatility investing

‘Robeco Conservative
Equity strategies
are based on the
revolutionary idea that
risk and return do not
go hand in hand. This
anomaly forms the basis
of our philosophy’
Portfolio Manager Pim van Vliet

Guide to low-volatility investing • 15

 The portfolio

– The Robeco Conservative Equity strategy not only improves the risk-return
profile, it also offers good opportunities for income generation and capital
preservation
– The Robeco Conservative Equity strategy can be effectively combined with
other strategies in the portfolio
– Including Robeco Conservative Equities helps to improve the risk-return profile
of the total portfolio

16 • Guide to low-volatility investing

How can low-volatility investing be applied to an equity portfolio?
The Robeco Conservative Equity strategy is designed Table 1: Adding Robeco Conservative Equity to a beta 1.0 portfolio
for clients who are interested in capital preservation,
dividend income or diversification. % Invested in Conservative Equity 0% 15% 30% 45% 100%
Return % 4.2 4.8 5.2 5.5 7.3
Investors should also consider how Robeco’s Conservative Volatility % 15.1 14.0 13.5 13.0 10.6
Equity strategy can be applied to an existing portfolio of Tracking error % - 1.4 2.2 2.9 7.2
equity funds. It can be combined with a benchmark-driven
or higher risk investment strategy or combined with high
dividend funds. Table 2: Adding Robeco Conservative Equity to a beta 1.1 portfolio

Combined with benchmark-driven funds % Invested in Conservative Equity 0% 15% 30% 45% 100%
The Conservative Equity strategy can offer diversification Return % 4.5 5.1 5.4 5.7 7.3
benefits when it is combined with a benchmark-driven Volatility % 16.6 15.2 14.6 13.9 10.6
investment strategy (beta close to 1), because it has a less Tracking error % 1.5 0.9 1.5 2.3 7.2
volatile return pattern than many traditional equity funds.
This means the volatility of the combined portfolio will Source: Robeco Performance Measurement. Monthly data from October-06 through December-14, gross of fees, based on net
asset value of Robeco Institutional Conservative Equity Fund. For beta 1.0 portfolio we use the MSCI World and for beta 1.1 we use
go down. However, the tracking error will go up because
110% MSCI World excluding lending costs. For a better comparison, prior to July 2012 the index returns were hedged to the euro.
Conservative Equity has different stocks compared to the The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.
benchmark.

Combined with higher risk funds

The total volatility of an equity portfolio can decrease if you
invest a larger proportion in a Conservative fund. And
investors can therefore make use of the lower risk this
creates, to seek out higher risk investments (beta larger
than 1) in other parts of the portfolio. Consider, for instance,
investments in small caps or thematic investing.

Guide to low-volatility investing • 17

Figure 6: Dividend yield Global Conservative Equities Combined with high dividend funds
Conservative Equity can also offer good opportunities for
6.0% income generation. Low-volatility stocks are generally
characterized by above-average dividend yields. A Robeco
5.0% Conservative Equity fund and a high-dividend fund go
together well, because they offer a clear diversification
4.0% benefit when they are combined.

3.0% The reason is that the stock in both strategies are selected
in different ways. Low-volatility takes low risk as the starting
2.0% point with a high dividend yield as a by-product, while a high
dividend strategy focuses first on dividend yield. Also, high-
1.0% dividend funds typically don’t offer downside protection to
Sept Sept Sept Sept Sept Sept Sept Sept Sept the extent that Conservative Equities does.
2006 2007 2008 2009 2010 2011 2012 2013 2014
Figure 6 shows that the dividend yield of Global Conservative
Conservative Equities MSCI World MSCI World MinVol
Equities is consistently higher than the MSCI World and MSCI
Source: Robeco. World Min Vol.

‘The advantage of the

strategy is that its stocks fall
less in declining markets’
Portfolio manager Jan Sytze Mosselaar

18 • Guide to low-volatility investing

Case study: Conservative Equity impact on a strategic portfolio
by Robeco Investment Research

In this section, we will look into the effects of including Conservative Equities in a diversified
portfolio of equities and bonds. Robeco Investment Research has developed the Strategic Asset
Allocation (SAA) tool in order to analyze the risk and return profile. This enables us to assess the
effects of including assets in a client’s portfolio and test the robustness of the portfolio in various
economic scenarios. Roderick Molenaar Alexander de Roode, PhD
Portfolio & Pensions Research
The effect of Robeco Conservative Equities on your portfolio
Robeco analyzed the impact of Robeco Conservative Equities on a commonly used strategic, diversified portfolio of 60%
equities and 40% bonds. What are the effects of replacing half of the equity portfolio with Robeco Conservative Equities?

Initial strategic portfolio Portfolio including Robeco Conservative Equities

60% MSCI World 30% MSCI World
30% Global Conservative Equites
40% Euro All Strategies Bonds 40% Euro All Strategies Bonds

For this exhibit we use two economic scenarios: the ‘last five years’ and the ‘2015-2019’ scenario. These scenarios are
based on historical and forward-looking regimes, which are published in Robeco’s annual Expected Returns publication.
On the one hand the ‘last five years’ scenario shows the realized historical performance of the portfolios. On the other
hand, we use Robeco’s view on the current market environment to give a forward looking insight to show the future
potential added value of incorporating Conservative equities to the strategic portfolio.

In Figure 7, we show the improvement in the portfolio risk-return profile for both scenarios. In the last five years, which
were characterized by high equity returns (‘last five years’), the portfolio with Robeco Conservative Equity had returns
similar to the market.

In our ‘2015-2019’ scenario we expect a gradual Figure 7: Risk-return plot: Impact of including Conservative Equities in two scenarios
normalization of the world economy, where the
Return

hangovers from the financial crisis eventually lift. 14%

The strengthening economic growth and return of
12%
inflation should create a more favorable environment Last 5 years
for equities than bonds. In our view, the combination 10%
of somewhat stretched valuations and an ongoing
8%
economic recovery will lead to below historical average
returns for major asset classes in the next five years. 6%
2015-2019
4%
As we also expect higher volatility, Conservative Equity
could be an important risk-reduction tool for your 2%
portfolio. Replacing half the equity exposure with Robeco
0%
Conservative Equities is an effective way of reducing total 0% 2% 4% 6% 8% 10% 12% 14%
portfolio risk in both scenarios. We conclude that the Risk
addition of Robeco Conservative Equities to a portfolio Portfolio including Conservative Equities Initial strategic portfolio
will improve the overall risk-return profile.
Source: Robeco. The period 30-6-2010 to 30-6-2015 is used for the ‘last five years’ scenario.

Guide to low-volatility investing • 19

 The funds

– Stock selection that ensures low absolute and distress risk and offers attractive
returns
– Distinctive active approach based on award-winning research

– Prudent systematic investment process with low turnover

– Proven track record since 2006 with lower volatility and enhanced returns

– Experienced team committed to quantitative investing

20 • Guide to low-volatility investing

The low-risk anomaly is exploited by Robeco’s highly
successfull Conservative Equities strategy. The strategy
can be applied in developed markets as well as emerging
markets.

The product range consists of:

Global Developed Global All Country European US Emerging Markets

(Institutional)*
Legal status Dutch Inst. Fund* Lux SICAV, UCITS IV Lux SICAV, UCITS IV Lux SICAV, UCITS IV Lux SCIAV, UCITS IV
Inception date September 2006 December 2011 August 2007 December 2013 February 2011
Source: Robeco 2015

* This fund is only available for institutional investors and not for wholesale distributors. Since 17 September 2015 a Global Developed Equities Fund has been
available for professional investors in the wholesale distribution.

Proven track record since 2006 with lower Absolute risk is part of the strategy
volatility and enhanced returns Robeco’s Conservative approach does not look at relative
Robeco Global Conservative Equities was launched in 2006. risk, but at absolute downside risk. Over the period since
Although the strategy does not refer to a benchmark in its inception, our Conservative Equity Funds have had a
investment process, its aim is to achieve a long-term full- historical volatility lower than that of the reference indexes,
cycle performance equal to, or greater than, global equity while they have outperformed the index in terms of market
markets with substantial lower downside risk. returns. For institutional investors, such as pension funds,
this lower downside risk is interesting, because it can help to
Faster recovery by limiting losses stabilize funding ratios or free up risk budget.
In order to capitalize effectively on the low-risk anomaly, a
long-term investment approach is required. The advantage Factors that improve the risk-return profile
of Robeco’s low-volatility strategy is that, in a declining Stock selection is not only based on volatility, but also on low
market, the stocks involved typically fall less than other distress risk and valuation- and momentum-driven factors.
stocks. Once the market recovers, low-volatility stocks have This balanced approach distinguishes Robeco from other
less ground to make up to recover and start yielding positive providers who only focus on historical data. The combination
returns again. This compensates for the fact that the strategy of losing less in down markets and capturing a reasonable
may lag the MSCI Index in a strong up market. The main rate of return in up markets enables Robeco Conservative
objective of the funds is to achieve a long-term full-cycle Equity to achieve a long-term full-cycle equity market
performance equal to, or greater than, the MSCI Index, but performance with a lower level of volatility
with a lower degree of volatility.

Guide to low-volatility investing • 21

Robeco Global All Countries Conservative Equities

Characteristics

– Invests in low-volatility stocks in both developed and emerging markets

– MSCI All Country World Index is the reference index
– Proven track record since 2011 with lower volatility and enhanced returns

Track record
Robeco Global AC Conservative Equities started in December 2011. Its aim is to achieve a long
term full cycle performance equal to or greater than global markets with substantial lower
downside risk. In the period January 2012 to September 2015, the fund posted an average
gross return in EUR of 14.6%, against a return of 13.5% for the MSCI AC (All Country) World.
The strategy does not apply a benchmark in its investment process. The MSCI All Country

Figure 8: Global All Countries Conservative is losing less in down markets and keeping track in up markets since inception

20% 20%
Volatility reduction
Min-Max: 9-24%
15% Average: 16%

15%
10%

5% 10%

0%

5%
-5%

-10% 0%
2012 2013 2014 2015 Dec-12 Dec-13 Dec-14

Global AC Conservative Equities MSCI World AC

Left-hand graph: We use monthly return series based on the net asset value in EUR of Robeco Global All Countries Conservative Equities from January 20012-June 2015, gross of fees. The
fund and reference index have been unhedged for currency risk since 30 June 2012.. Right-hand graph: Rolling 260 days annualized volatility, daily data in EUR, gross of fees, based on net
asset value of Robeco Global All Countries Conservative Equities. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.

World Index is therefore presented as a reference. Moreover, the fund achieved this return
with significantly lower risk – the volatility of Robeco Global AC Conservative Equities over this
period was 9.0%, compared with 9.3% for the reference index.

22 • Guide to low-volatility investing

Figure 8, the left hand graph, shows the returns of Robeco Global AC Conservative Equities
compared with the reference index on a quarterly basis. The third quarter of 2015 shows the
effectiveness of the Conservative equity strategy in reducing losses in strong down markets.

Figure 8, the right hand graph, shows just that volatility was reduced through time. During
the entire period since inception, the volatility of Global AC Conservative Equities was lower.
This graph gives the rolling 260-day volatility of Robeco Global AC Conservative Equities
(blue) compared with that of the MSCI Robeco Global AC Conservative Equities (red).

Table 3: Track record Robeco Global All Countries Conservative Equities (in EUR)

Return Volatility Return/volatility

30-09-2015 1 year 3 year Inception 3 year Inception 3 year Inception
Global AC Conservative Equities 13.4% 13.1% 14.6% 9.4% 9.0% 1.39 1.62
MSCI AC World 5.6% 12.1% 13.5% 9.6% 9.3% 1.26 1.45
MSCI AC World MinVol 13.3% 11.6% 12.6% 10.5% 9.8% 1.10 1.28

30-09-2015 YTD 2014 2013 2012

Global AC Conservative Equities 6.1% 23.9% 11.5% 13.7%
MSCI AC World 0.8% 18.6% 17.5% 14.3%
MSCI AC World MinVol 6.1% 21.1% 11.9% 8.4%

Source: Robeco Performance Measurement. Monthly data since inception September-07, gross of fees, based on net asset value of Robeco European Conservative Equity Fund. The fund and
reference indices have been unhedged for currency risk since 30 June 2012. The value of your investments may fluctu-ate. Results obtained in the past are no guarantee for the future. MSCI
Minimum Volatility base currency for optimization is EUR. Inception date of this index is June 2011, prior index data based on backfilled results as provided by MSCI.

Fund data Robeco Global All Countries Conservative Equities

Category Developed Markets
Established in Luxemburg
Currency EUR
Tradability Daily
Date of inception December 2011
Availability AT, BE, FR, DE, HK, LU, NL, SG, ES, CH, GB
Morningstar (31-09-15)
Benchmark MSCI All Country World Index (Total Return) (EUR)
Annual dividend no
ISIN-code LU0705782398
Source: Robeco Performance Measurement

Guide to low-volatility investing • 23

Robeco European Conservative Equities

Characteristics

– Invests in low-volatility stocks in European markets

– MSCI Europe Index is the reference index
– Proven track record since 2007 with lower volatility and enhanced returns

Track record
Robeco European Conservative Equities (D-shares) started in January 2008. Its aim is to
achieve a long term full cycle performance equal to or greater than European markets with
substantial lower downside risk. In the period January 2008 to September 2015, the fund
posted an average gross return in EUR of 5.9%, against a return in EUR of 1.7% for the MSCI
Europe. The strategy does not apply a benchmark in its investment process. The MSCI Europe

Figure 9: European Conservative is losing less in down markets and keeping track in up markets since inception

25% 40%
Volatility reduction
20% Min-Max: 13-36%
Average: 25.5%
15%
30%
10%

5%
20%
0%

-5%

-10% 10%

-15%

-20% 0%
2008 2009 2010 2011 2012 2013 2014 2015 09- 09- 09- 09- 09- 09- 09- 09-
2008 2009 2010 2011 2012 2013 2014 2015

European Conservative Equities MSCI World

Left-hand graph: We use monthly return series based on the net asset value in EUR of Robeco European Conservative Equity from September 2007-December 2014, gross of fees. The fund
and reference index ahave been unhedged for currency risk since 30 June 2012. Right-hand graph: Rolling 260 days annualized volatility, daily data in EUR, gross of fees, based on net asset
value of Robeco European Conservative Equities Fund. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.

Index is therefore presented as a reference. Moreover, the fund achieved this return with
significantly lower risk – the volatility of Robeco European Conservative Equities over this
period was 11.8%, compared with 16.3% for the reference index. Low-volatility strategies are
generally known to significantly reduce losses in most bear markets and low-volatility stocks
perform in line to better during years of moderate returns. It is generally the case that low-
volatility stocks lag in strong thematic bull markets.

24 • Guide to low-volatility investing

Figure 9, the left hand graph, shows the returns of Robeco European Conservative Equities
compared with the reference index on a quarterly basis. The third and fourth quarters of
2008, the third quarter of 2011 and also the third quarter of 2015 show the effectiveness of
the Conservative equity strategy in reducing losses in strong down markets.

Figure 9, the right hand graph, shows just that volatility was reduced through time. During
the entire period since inception, the volatility of European Conservative Equities was lower
than the volatility of the reference index. This graph gives the rolling 260-day volatility of
Robeco European Conservative Equities (blue) compared with that of the MSCI Europe (red).

Table 4: Track record Robeco European Conservative Equities (in EUR)

Return Volatility Return/volatility

30-09-2015 1 year 3 year Inception 3 year Inception 3 year Inception
European Conservative Equities 10.8% 14.5% 5.9% 9.9% 11.8% 1.46 0.50
MSCI Europe 2.6% 11.2% 1.7% 11.3% 16.3% 0.99 0.10
MSCI Europe MinVol 10.7% 13.7% 4.1% 9.9% 12.1% 1.38 0.34

30-09-2015 YTD 2014 2013 2012 2011 2010 2009

European Conservative Equities 8.2% 13.4% 20.0% 15.6% -1.6% 10.6% 19.0%
MSCI Europe 2.8% 6.8% 19.8% 15.6% -9.3% 6.4% 27.6%
MSCI Europe MinVol 7.9% 15.2% 16.5% 12.0% 3.1% 8.7% 20.3%

Source: Robeco Performance Measurement. Monthly data since inception September-07, gross of fees, based on net asset value of Robeco European Conservative Equity Fund. The fund and
reference indices have been unhedged for currency risk since 30 June 2012. The value of your investments may fluctu-ate. Results obtained in the past are no guarantee for the future. MSCI
Minimum Volatility base currency for optimization is EUR. Inception date of this index is June 2011, prior index data based on backfilled results as provided by MSCI.

Fund data Robeco European Conservative Equities D-shares

Category Developed Markets
Established in Luxemburg
Currency EUR
Tradability Daily
Date of inception 25-01-2008
Availability AT, BE, CL, FI, FR, DE, IE, LU, NL, NO, ES, CH, GB
Morningstar (31-09-15)
Benchmark MSCI Europe Index (Net Return) (EUR)
Annual dividend no
ISIN-code LU0339661307
Source: Robeco Performance Measurement

Guide to low-volatility investing • 25

Robeco US Conservative Equities

Characteristics

– Invests in equity markets in the US and Canada

– MSCI North America Index is the reference index
– Track record since 2013 with lower volatility and enhanced returns

Track record
Robeco US Conservative Equities (D-shares) started in March 2014. Its aim is to achieve a
long term full cycle performance equal to or greater than US and Canadian markets with
substantial lower downside risk.
In the period March 2014 to September 2015, the fund posted an average gross return (in
EUR) of 19.8%, against a return of 17.3% for the MSCI North America Index. The strategy

Figure 10: US Conservative Equities is losing less in down markets and keeping track in up markets since inception

10% 25%
Volatility reduction
8% Min-Max: 13-36%
Average: 26%
6% 20%

4%

2% 15%

0%

-2% 10%

-4%

-6% 5%

-8%

-10% 0%
2014 2015 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15

US Conservative Equities MSCI North America CGF NACE MSCI NA

Left-hand graph: We use monthly return series based on the net asset value in EUR of Robeco European Conservative Equity from September 2007-December 2014, gross of fees. The fund
and reference index have been unhedged for currency risk since 30 June 2012. Right-hand graph: Rolling 260 days annualized volatility, daily data in EUR, gross of fees, based on net asset
value of Robeco European Conservative Equities Fund. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.

does not apply a benchmark in its investment process. The MSCI North America Index is
therefore presented as a reference. Moreover, the fund achieved this return with significantly
lower risk - the volatility of Robeco US Conservative Equities over this period was 10.66%,
compared with 12.03% for the reference index. Low-volatility strategies are generally known
to significantly reduce losses in most bear markets and low-volatility stocks perform in line to
better during years of moderate returns. It is generally the case that low-volatility stocks lag

26 • Guide to low-volatility investing

in strong thematic bull markets. Figure 10, the left hand graph, shows the returns of Robeco
US Conservative Equities compared with the reference index on a quarterly basis. The third
quarter of 2015 shows the effectiveness of the Conservative equity strategy in reducing losses
in strong down markets (-2.24% for the fund vs -7.5% for the index).

Figure 10, the right hand graph, shows just that volatility was reduced through time. During
the entire period since inception, the volatility of Robeco US Conservative Equities was lower
than the volatility of the reference index. This graph gives the rolling 260-day volatility of
Robeco US Conservative Equities (blue) compared with that of the MSCI North America
Index(red).

Table 5: Track record Robeco US Conservative Equities (in EUR)

Return Volatility Return/volatility

30-09-2015 1 Year Inception 1 Year Inception 1 Year Inception
US Conservative Equities 14.95% 19.75% 12.34% 10.66% 1.21 1.85
MSCI NA 10.03% 17.30% 13.87% 12.03% 0.72 1.44
MSCI NA MinVol 15.60% 19.97% 13.74% 11.60% 1.14 1.72

30-09-2015 YTD
US Conservative Equities 4.63%
MSCI North America 1.36%
MSCI NA MinVol 4.47%

Source: Robeco Performance Measurement. Monthly data since inception April-14, gross of fees, based on net asset value of Robeco US Conservative Equities I EUR. All figures in EUR. The
value of your investments may fluctuate. Results obtained in the past are no guarantee for the future. MSCI Minimum Volatility base currency for optimization is EUR.

Fund data Robeco US Conservative Equities D-shares

Category Developed Markets
Established in Luxemburg
Currency EUR
Tradability Daily
Date of inception December 2013
Availability BE, FR, DE, LU, ES, CH
Benchmark MSCI North America Index (Total Return) (EUR)
Annual dividend no
ISIN-code LU1045434567
Source: Robeco Performance Measurement

Guide to low-volatility investing • 27

Robeco Emerging Conservative Equities

Characteristics

– Invests in emerging markets such as Taiwan, South Africa and Malaysia

– Proven track record since 2011 with lower volatility and enhanced returns
– Benefits from higher-than-average dividend yields within emerging markets
– MSCI Emerging Markets Index is the reference index

Track record
Robeco Emerging Conservative Equities (D-shares) started in February 2011. Its aim is to
achieve a long term full cycle performance equal to or greater than emerging markets with
substantial lower downside risk. In the period February 2008 to September 2015, the fund
posted an average gross return in EUR of 8.0%, against a return in EUR of -0.1% for the

Figure 11: Emerging Conservative is losing less in down markets and keeping track in up markets

20% 30%
Volatility reduction
15% Min-Max: 10-34%
Average: 19%

10%

20%
5%

0%

-5%
10%
-10%

-15%

-20% 0%
2011 2012 2013 2014 2015 feb. feb. feb. feb.
2012 2013 2014 2015

Emerging Conservative Equities MSCI Emerging Markets

Left-hand graph: We use monthly return series based on the net asset value in EUR of Robeco Emerging Conservative Equities from January 2011-March 2015, gross of fees. The fund and
reference index have been unhedged for currency risk since 30 June 2012. Right-hand graph: Rolling 260 days annualized volatility, daily data in EUR, gross of fees, based on net asset value
of Robeco Emerging Conservative Equities. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.

MSCI Europe. The strategy does not apply a benchmark in its investment process. The MSCI
Emerging Markets Index is therefore presented as a reference. Moreover, the fund achieved
this return with significantly lower risk – the volatility of Robeco Emerging Conservative
Equities over this period was 11.5%, compared with 14.7% for the reference index. Low-
volatility strategies are generally known to significantly reduce losses in most bear markets
and low-volatility stocks perform in line to better during years of moderate returns. It is
generally the case that low-volatility stocks lag in strong thematic bull markets. But this fund

28 • Guide to low-volatility investing

sometimes performed better in up markets than the index, as shown in the Figure.
Figure 11, the left hand graph, shows the returns of Robeco Emerging Conservative Equities
compared with the reference index on a quarterly basis. The third quarter of 2011 and the
second quarter of 2013 show the effectiveness of the Conservative equity strategy in reducing
losses in strong down markets. Another example of limiting loss is more recently the third
quarter of 2015 (-14.5% for the fund vs -18.0% for the index).
Figure 11, the right hand graph, shows just that volatility was reduced through time. During
the entire period since inception, the volatility of Emerging Conservative Equities was lower
than the volatility of the reference index. This graph gives the rolling 260-day volatility of
Robeco European Conservative Equities (blue) compared with that of the MSCI Europe (red).

Table 6: Track record Robeco Emerging Conservative Equities (in EUR)

Return Volatility Return/volatility

30-09-2015 1 year 3 year Inception 3 year Inception 3 year Inception
Emerging Conservative Equities -3.9% 4.0% 8.0% 11.8% 11.5% 0.34 0.69
MSCI Emerging Markets -8.7% -0.7% -0.1% 13.1% 14.7% -0.05 0.00
MSCI Emerging MinVol -3.8% 2.3% 6.3% 11.8% 11.8% 0.19 0.54

30-09-2015 YTD 2014 2013 2012

Emerging Conservative Equities -4.1% 16.4% -1.8% 22.7%
MSCI Emerging Markets -8.4% 11.4% -6.8% 16.4%
MSCI Emerging MinVol -4.6% 15.1% -4.4% 20.4%

Source: Robeco Performance Measurement. Monthly data since inception March 2011, gross of fees, based on net asset value of Robeco Emerging Conservative Equities Fund. All figures in
EUR. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future. MSCI minimum volatility base currency for optimization is USD. Annualized
(for periods longer than one year).

Fund data Robeco Emerging Conservative Equities D share & B share

Category Emerging Markets
Established in Luxemburg
Currency EUR
Tradability Daily
Date of inception 14-02-2011
Morningstar (31-09-15)
Benchmark MSCI Emerging Markets Index (Net Return) (EUR)
Annual dividend goal 5%
ISIN-code D share LUO582533245
B share LUO582532197 (distributing)
Source: Robeco Performance Measurement

Guide to low-volatility investing • 29

 Investment team

Robeco’s Low-Volatility strategies are managed by an experienced team of investment

professionals within an organization that is fully committed to quantitative investing.
It brings together a portfolio-management team and a research team focusing on
quantitative research and model development.

Portfolio Management

Michael Strating Pim van Vliet, PhD

Head of Quantitative Equities Low Volatility
25 years’ experience 15 years’ experience

Tim Dröge Arlette van Ditshuizen

Emerging Markets Low Volatility
16 years’ experience 18 years’ experience

Wilma de Groot, CFA Jan Sytze Mosselaar, CFA

Emerging Markets Low Volatility
14 years’ experience 11 years’ experience

Machiel Zwanenburg Maarten Polfliet, CEFA

Developed Markets Value, Low Volatility
16 years’ experience 16 years’ experience

Rob van Bommel Willem Jellema, CFA

Factor Investing Momentum, Factor Investing
25 years’ experience 14 years’ experience

30 • Guide to low-volatility investing

Robeco: a long history in quantitative equity investing

1994 2001 2002 2006 2008 2011 2012 2013 2014

Stock Selection Stock Selection Core Conservative Active Conservative Momentum Value Factor
Model Global Model Global Global Markets Emerging Emerging Global Global Investing
Markets Emerging Markets & Core Emerging Markets Markets Markets Markets Solutions
Markets Markets

Client Portfolio Management

Mike McCune, CFA Frank Wirds, CFA

Region focus: Americas Region focus: Asia-Pacific
20 years’ experience 9 years’ experience

Jan de Koning, CAIA, CFA Bernhard Breloer, PhD

Region focus: Europe Region focus: Germany/Switzerland
8 years’ experience 6 years’ experience

Research

David Blitz, PhD Joop Huij, PhD

Head of Selection Research Head Factor Investing Research
20 years’ experience 13 years’ experience

Weili Zhou, CFA Simon Lansdorp, PhD

Selection Research Factor Investing Research
13 years’ experience 7 years’ experience

Bart van der Grient Matthias Hanauer, PhD, CFA

Selection Research Selection Research
8 years’ experience 6 years’ experience

Jornt Beetstra, CFA Tom Naaijkens

Data Management Region focus: Asia-Pacific
17 years’ experience 18 years’ experience

Guide to low-volatility investing • 31

 Extra information

Terms and definitions

Anomaly Passive investing

This is a phenomenon that cannot be explained by Passive investing is following a (market-weighted) index
standard theories. In the case of investing, these are often without deviating from it to achieve market-like returns.
divergences from the CAPM*, which assumes that investors Investors thus obtain the index returns (beta) adjusted for
are rational and that there is a linear correlation between costs.
risk and return.
Premium
Capital Asset Pricing Model (CAPM) Reward or extra return for taking risk or exposure to factors.
The Capital Asset Pricing Model (CAPM) is the product of
a financial investment theory that reflects the relationship Risk factor
between risk and expected return. The model assumes a In factor investing, the term ‘factor premium’ can be
linear relationship. replaced with ‘risk factor’ or ‘risk premium’, on the supposi-
tion that a factor premium represents compensation for
Diversification higher risk.
Exposing the portfolio to a variety of factors improves
diversification. The aim of diversifying according to Sharpe ratio
underlying factors is to make the portfolio more robust. The Sharpe ratio describes the extent to which an
investment offers compensation for extra risk
Downside risk
Downside risk in financial terms is the chance of an Unrewarded risk
unexpected and undesirable event occurring that will impair Higher risk that is not rewarded with higher returns.
the value of an investment.
Robeco Conservative Equity strategies
Efficient (advanced) approach Robeco applies factor investing via different strategies, such
An investment approach that uses smart rules for stock as the Developed and Emerging Quant strategies, and also
selection and portfolio construction. The aim of this is to uses it for the return portfolio of professional parties.
increase returns and to lower both risks and costs.

32 • Guide to low-volatility investing

Recommended articles Collected Robeco Articles

– Risk and the Rate of Return on Financial Assets: Some Old Over recent years, Robeco’s researchers have written several
Wine in New Bottles, articles on low-volatility investing and these have been
Robert A. Haugen and A. James Heins, Journal of collected into a book. This 2015 limited edition of Robeco’s
Financial and Quantitative Analysis Fall 1972. book on the volatility effect contains 24 separate articles
divided into five parts and offers the most extensive overview
– The volatility effect: lower risk without lower return of research on the volatility effect available today.
David Blitz and Pim van Vliet, Journal of Portfolio
Management, Fall 2007, pp. 102-113 Low-volatility investing is a perfect example of how we put
our investment beliefs into practice and this is also reflected
– Enhancing a low-volatility strategy is particularly helpful in the structure of this book.
when generic low volatility is expensive
Pim van Vliet, Robeco Research Paper, June 2012 The book first focusses on the anomaly and possible
explanations for it. It then discusses how low-volatility
– How distress risk improves low-volatility strategies: lessons investing fits into a strategic portfolio and gives insights into
learned since 2006 efficient implementation.
Joop Huij, Pim van Vliet, Weili Zhou and Wilma de Groot,
Robeco Research Paper, February 2012 Finally, the book responds to questions that have been
raised on the strategy. We hope you will find inspiration and
– The volatility effect in emerging markets new insights in this book of articles.
David Blitz, Juan Pang and Pim van Vliet, Emerging
Markets Review, April 2012, pp 31-45

– Are low-volatility stocks overcrowded?

David Blitz and Pim van Vliet, Robeco Research Paper, This book is intended for
June 2014 professional investors and can be
requested from Robeco at
www.robeco.com/lowvolatility or
www.robeco.com/conservative

Guide to low-volatility investing • 33

 Contact
For further information about low-volatity investing and the
Robeco Conservative Equity approach, please ask your contact
person or get in touch via www.robeco.com/contact.

Robeco contact details

Robeco
Coolsingel 120
3011 AG Rotterdam
Netherlands
T +31 10 224 1 224
I www.robeco.com

More information
If you have any questions, ideas for additional research
topics or would like more information on Robeco Conservative
Equity Strategy, please contact us or visit
www.robeco.com/lowvolatility or www.robeco.com/conservative

Follow us
Linkedin.com/company/robeco
Twitter @robeco

Important Information
This statement is intended for professional investors. Robeco Institutional Asset Management B.V. has a license as manager of
UCITS and AIFs from the Netherlands Authority for the Financial Markets in Amsterdam. This document is intended to provide
general information on Robeco’s specific capabilities, but does not constitute a recommendation or an advice to buy or sell
certain securities or investment products. The prospectus and the Key Investor Information Document for the Robeco Funds
can all be obtained free of charge at www.robeco.com.

34 • Guide to low-volatility investing

‘Our advanced
Conservative
approach improves
the risk-return
profile by limiting
unrewarded risk and
increasing returns’

Portfolio Manager Arlette van Ditshuizen

Guide to low-volatility investing • 35

1125_E-10'15