David C. Blitz (born 24 July 1973) is a Dutch

econometrician Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8� ...

and quantitative researcher on financial markets. He is a founding researcher of Robeco Quantitative Investments.

Education

Blitz holds a PhD in Finance and a Master's in

Econometrics Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8� ...

(cum laude) from

Erasmus University Rotterdam Erasmus University Rotterdam (abbreviated as ''EUR'', nl, Erasmus Universiteit Rotterdam ) is a public research university located in Rotterdam, Netherlands. The university is named after Desiderius Erasmus Roterodamus, a 15th-century humani ...

Career

Blitz, chief researcher at

Robeco Robeco is an originally Dutch asset management firm, since 2013 part of Orix, founded in 1929 as the Rotterdamsch Beleggings Consortium (Rotterdam Investment Consortium). As of 2014, the company had €246 billion of assets under management. It ...

, has spent most of his career on designing and developing the quantitative investment strategies. Blitz serves on the advisory editorial board of the

Journal of Portfolio Management ''The Journal of Portfolio Management'' (also known as JPM) is a quarterly academic journal for finance and investing, covering topics such as asset allocation, performance measurement, market trends, risk management, and portfolio optimization ...

. He has published over 25 of articles in peer-reviewed academic journals, such as the Financial Analyst Journal, Journal of Empirical Finance, and European Financial Management. Blitz started his career in the investment industry at Robeco in 1995. He specializes in

low-volatility investing Low-volatility investing is an investment style that buys stocks or securities with low volatility and avoids those with high volatility. This investment style exploits the low-volatility anomaly. According to financial theory risk and return shou ...

and

factor investing Factor investing is an investment approach that involves targeting quantifiable firm characteristics or “factors” that can explain differences in stock returns. Security characteristics that may be included in a factor-based approach include si ...

challenging the classical

Capital Asset Pricing Model In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio. The model takes into ac ...

and the Fama French factor models. His work on ESG and sin stocks was cited in

The Economist ''The Economist'' is a British weekly newspaper printed in demitab format and published digitally. It focuses on current affairs, international business, politics, technology, and culture. Based in London, the newspaper is owned by The Econ ...

in 2017 and by the

Financial Times The ''Financial Times'' (''FT'') is a British daily newspaper printed in broadsheet and published digitally that focuses on business and economic current affairs. Based in London, England, the paper is owned by a Japanese holding company, Nikke ...

in 2021.

Selected academic publications

David has written many

academic An academy (Attic Greek: Ἀκαδήμεια; Koine Greek Ἀκαδημία) is an institution of secondary or tertiary higher learning (and generally also research or honorary membership). The name traces back to Plato's school of philosophy, f ...

papers with practical relevance for investors, with significant contributions to the

low-volatility anomaly In investing and finance, the low-volatility anomaly is the observation that low-volatility stocks have higher returns than high-volatility stocks in most markets studied. This is an example of a stock market anomaly since it contradicts the ce ...

. His co-authors include

Frank Fabozzi Frank J. Fabozzi is an American economist, educator, writer, and investor, currently Professor of Practice at The Johns Hopkins University Carey Business School and a Member of Edhec Risk Institute. He was previously a Professor of Finance at EDH ...

Eric Falkenstein Eric Falkenstein (born 14 August 1965) is an American financial economist and an expert in the field of low-volatility investing. He is an academic researcher, blogger, quant portfolio manager, and book author. Education Falkenstein received h ...

, and

Pim van Vliet Pim van Vliet (born 30 September 1977) is a Dutch fund manager and head of conservative equities at Robeco Asset Management. Education Pim van Vliet holds a PhD in finance and a Master's in Economics (cum laude) from Erasmus University Rotterd ...

. Most of his work is published in journals for financial practitioners like the Journal of Portfolio Management. As of 2021 his

h-index The ''h''-index is an author-level metric that measures both the productivity and citation impact of the publications, initially used for an individual scientist or scholar. The ''h''-index correlates with obvious success indicators such as ...

is 23. His papers have been downloaded around 100,000 times, ranked #118 out of 30,000 top authors. His most cited publications are: * The Volatility Effect: Lower Risk without Lower Returns, Journal of Portfolio Management, 2007. * Five Concerns with the Five-Factor model, Journal of Portfolio Management, 2016. * Residual Momentum, Journal of Empirical Finance, 2011. * Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes, Journal of Portfolio Management, 2008. * The Conservative Formula: Quantitative Investing made easy, Journal of Portfolio Management, 2018 * When Equity Factors Drop Their Shorts, Financial Analyst Journal, 2020.

Recognition and awards

Peter L Bernstein Award 2018 Winner. Issued by Portfolio Management Research Journal Series. Jan 2018. For paper "Are Hedge Funds on the Other Side of the Low-Volatility Trade" in the Journal of Alternative Investments and interviewed by Ronald Kahn. Citation of Excellence Award Issued by Emerald for paper "The Volatility Effect" in Journal of Portfolio Management.

Personal life

David has three children and lives in

Barendrecht Barendrecht () is a town and municipality in the west of the Netherlands, near Rotterdam, South Holland. The municipality had a population of in , and covers an area of of which is water. The municipality of Barendrecht also includes Barendrec ...

, The Netherlands. His great-grandfather Carel Blitz was a Dutch violist.

References