David C. Blitz

David C. Blitz
Born (1973-07-24) July 24, 1973 (age 51)
Netherlands
OccupationEconomist
Children3
Academic background
EducationErasmus University Rotterdam
Academic work
DisciplineEconometrics
InstitutionsRobeco

David C. Blitz (born 24 July 1973) is a Dutch econometrician 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 (cum laude) from Erasmus University Rotterdam.[1]

Career

Blitz, chief researcher at Robeco, has spent most of his career on designing and developing the quantitative investment strategies.[2] Blitz serves on the advisory editorial board of the Journal of Portfolio Management.[3] 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 and factor investing challenging the classical Capital Asset Pricing Model and the Fama French factor models.[4] His research on quantitative investing is often quoted in financial media such as Institutional Investor or the Financial times.[5][6] His work on ESG and sin stocks was cited in The Economist in 2017 and by the Financial Times in 2021 and 2022.[7][8][6]

Selected academic publications

David has written many academic papers with practical relevance for investors, with significant contributions to the low-volatility anomaly. His co-authors include Frank Fabozzi, Eric Falkenstein, and Pim van Vliet. Most of his work is published in journals for financial practitioners like the Journal of Portfolio Management. As of 2023 his Google scholar h-index is 13 (Scopus) and 24 (Google).[9][10] His research papers have been downloaded more than 100,000 times making him a top #100 author out of >30,000 authors. His most cited publications are:

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.[17][18] Citation of Excellence Award Issued by Emerald for paper "The Volatility Effect: Lower Risk without Lower Returns" in the Journal of Portfolio Management.

Personal life

David has three children and lives in Barendrecht, The Netherlands. His great-grandfather Carel Blitz was a Dutch violist.[19]

See also

References

  1. ^ "Erasmus University Rotterdam - Benchmarking Benchmarks PhD defense 2011". Retrieved 21 November 2021.
  2. ^ "Robeco Quants". Retrieved 21 November 2021.
  3. ^ "Editorial Board | The Journal of Portfolio Management". jpm.pm-research.com. Retrieved 2021-11-18.
  4. ^ Authers, John (2017-11-27). "Smart beta: what's in a name?". Financial Times. Retrieved 2021-11-18.
  5. ^ "Quants Find No Premium From Small Stocks". Institutional Investor. Retrieved 2023-01-26.
  6. ^ a b "Investors' Chronicle: Oxford Biomedica, Wood Group, Just Eat". Financial Times. 2022-04-22. Retrieved 2023-01-26.
  7. ^ "Ethical investment is booming. But what is it?". The Economist. 2017-09-21. ISSN 0013-0613. Retrieved 2021-11-18.
  8. ^ Masters, Brooke (2021-10-18). "Does it pay to steer clear of sin stocks?". Financial Times. Retrieved 2021-11-18.
  9. ^ "Scopus | Blitz, David C. | Author details". www.scopus.com. Retrieved 2023-01-26.
  10. ^ "Google Scholar". Retrieved 21 November 2021.
  11. ^ Blitz, David C.; Vliet, Pim van (2007-10-31). "The Volatility Effect". The Journal of Portfolio Management. 34 (1): 102–113. doi:10.3905/jpm.2007.698039. ISSN 0095-4918. S2CID 154015248.
  12. ^ Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan; Vliet, Pim van (2018-03-31). "Five Concerns with the Five-Factor Model". The Journal of Portfolio Management. 44 (4): 71–78. doi:10.3905/jpm.2018.44.4.071. ISSN 0095-4918. S2CID 157288530.
  13. ^ Blitz, David; Huij, Joop; Martens, Martin (2011-06-01). "Residual momentum". Journal of Empirical Finance. 18 (3): 506–521. doi:10.1016/j.jempfin.2011.01.003. hdl:1765/22252. ISSN 0927-5398.
  14. ^ Blitz, David C.; Vliet, Pim Van (2008-10-31). "Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes". The Journal of Portfolio Management. 35 (1): 23–38. doi:10.3905/JPM.2008.35.1.23. ISSN 0095-4918. S2CID 53467731.
  15. ^ Blitz, David; Vliet, Pim van (2018-07-31). "The Conservative Formula: Quantitative Investing Made Easy". The Journal of Portfolio Management. 44 (7): 24–38. doi:10.3905/jpm.2018.44.7.024. ISSN 0095-4918.
  16. ^ Blitz, David; Baltussen, Guido; van Vliet, Pim (2020-09-03). "When Equity Factors Drop Their Shorts". Financial Analysts Journal. 76 (4): 73–99. doi:10.1080/0015198x.2020.1779560. hdl:1765/130144. ISSN 0015-198X.
  17. ^ "Announcement Peter L. Bernstein Award Winner 2018 | Portfolio Management Research". www.pm-research.com. Retrieved 2021-11-18.
  18. ^ "An interview with 2018's Peter L. Bernstein Award Winner". Retrieved 21 November 2021.
  19. ^ "Geni | Karel-Calman-Blitz".