Last Updated: 3/24/2023
Pim van Vliet Portfolio Strategy Explanation Video
In investing, you typically need to take more risk to get more return. There is one major exception to this in the factor investing world, though. Low volatility stocks have been proven to outperform their high volatility counterparts, and do so with less risk. Pim van Vliet is the head of Conservative Equities at Robeco Asset Management. His research into conservative factor investing led to the creation of this strategy and the publication of the book "High Returns From Low Risk: A Remarkable Stock Market Paradox". Van Vliet holds a PhD in Financial and Business Economics from Erasmus University Rotterdam.
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Since 2009, this portfolio has returned 343.0%, underperforming the market by 30.2% using its optimal quarterly rebalancing period and 10 stock portfolio size.
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Validea used the investment strategy outlined in the book High Returns From Low Risk written by Pim van Vliet to create our Multi-Factor Investor portfolio.
Van Vliet's strategy starts by selecting the 1000 largest stocks based on market cap. It then reduces that group further by eliminating the 500 most volatile stocks using standard deviation. The remaining stocks are sorted based on their net payout yield (which looks for firms with high dividends that are also buying back their stock), and their intermediate term momentum (using 12-month momentum excluding the most recent month). The end result is a group of low volatility stocks that are focused on returning capital to shareholders and have been performing well relative to the market.