Pim van Vliet – A Detailed Dive into Low Volatility Investing (S6E10)

07/03/23 • 68 min

Today I speak with Pim van Vliet, Head of Conservative Equities at Robeco.

It will come as no surprise, to those who know Pim’s work, that we spend the majority of this conversation talking about conservative investing. Specifically, we discuss the low volatility anomaly. But rather than rehash the usual high level talking points, I wanted to dig into the more practical considerations.

For example, how are low volatility and low beta different? How do selection and allocation effects contribute to low volatility investing? Are low volatility and quality actually different anomalies? And how should we think about the influence of currency in a global low volatility portfolio?

While Pim has nearly three dozen research publications to his name, he provides the balanced perspective of a practitioner, acknowledging the practical limitations to managing money in the real world.

Please enjoy my conversation with Pim van Vliet.

Today I speak with Pim van Vliet, Head of Conservative Equities at Robeco.

Please enjoy my conversation with Pim van Vliet.

Previous Episode

Asif Noor – Modern Systematic Macro (S6E9)

In this episode I speak with Asif Noor, Portfolio Manager at Aspect Capital where he oversees the firm’s Multi-Strategy Program.

Asif has spent the last 25 years of his career developing systematic macro strategies, giving him a depth and breadth of experience to understand what it takes to remain competitive in the space.

While a handful of low frequency signals may have been sufficient a few decades ago, today Aspect’s Multi-Strategy Program incorporates hundreds of alpha forecasts ranging from intraday to several months. But this evolution also brings new challenges, which we discuss at length in this episode. For example, how are new alphas introduced and old alphas sunset? How do you unify alphas of different magnitudes and convictions? Or, how do you manage risk across so many signals?

This conversation is chalk full of the practical, real world experiences of running a multi-strategy program.

Please enjoy my conversation with Asif Noor.

Next Episode

Return Stacked® Bonds & Managed Futures ETF

In this episode, Corey Hoffstein, CIO of Newfound Research, Rodrigo Gordillo, President of ReSolve Global* and Adam Butler, CIO of ReSolve Global, delve into the concept of return stacking and introduce the innovative RSBT Return StackedTM Bonds & Managed Futures ETF.

This podcast is essential for investors, financial advisors, and anyone interested in learning more about return stacking, the RSBT ETF, and the potential benefits of combining bonds and managed futures for portfolio diversification and risk management. Don't miss out on this insightful conversation to deepen your understanding of these innovative investment strategies and their potential impact on today's complex financial markets.

They cover a wide range of topics, including:

• The motivation behind the return stacking concept and its relevance in today's market environment

• The history of institutional leverage and diversification in retail portfolios

• The advantages of using return stacked strategies for portfolio construction and risk management

• The role of bonds and managed futures in building a robust, diversified investment portfolio

• The importance of low correlation between asset classes for effective diversification

• The mechanics of combining bond exposure with a managed futures overlay in the RSBT ETF, including the use of cash collateral and Treasury Futures

• The benefits of using ETFs as capital-efficient building blocks for return stacking

• The potential for a family of return stacked ETF products to address various investor needs and preferences

• The significance of managed futures as a "third leg of the stool" for managing inflation and mitigating market risks

• The challenges and opportunities related to implementing managed futures strategies and managing leverage in retail portfolios

• The goal of matching the RSBT ETF's bond strategy to core US fixed income, such as the Bloomberg US Core Aggregate Bond Index, and adjusting duration accordingly

Flirting with Models - Pim van Vliet – A Detailed Dive into Low Volatility Investing (S6E10)

Transcript

Corey Hoffstein: 00:00

321 Let's go

Corey Hoffstein: 00:07

Hello and welcome everyone. I'm Corey Hoffstein. And this is flirting with models the podcast that pulls back the curtain to discover the human factor behind the quantitative strategy.

Narrator: 00:19

Corey Hoffstein Is the co founder and chief investment officer of new found research due to industry regulations he will not discuss any of new fo