Pim van Vliet - Academia.edu (original) (raw)

Papers by Pim van Vliet

Research paper thumbnail of The Tortoise Beats the Hare

Research paper thumbnail of All Good Things Come in Threes

John Wiley & Sons, Ltd eBooks, Nov 25, 2016

Research paper thumbnail of Sit Back and Relax

... 1926 Edgar P. Valby is still with Richfield Oil. ... branch office for the Airsupply Company ... more ... 1926 Edgar P. Valby is still with Richfield Oil. ... branch office for the Airsupply Company and worked for ttvo years as Installation Engince~-to Los Angelesi, where lie71I be working on ui~tal~dtlon engineering ... Dinner to he held on furie 15 at the Ambassador Hotel in Los ~Vngeles ...

Research paper thumbnail of Buy Them Cheap and Remember the Trend Is Your Friend

Research paper thumbnail of Global Tactical Sector Allocation: <i>A Quantitative</i><i>Approach</i>

The Journal of Portfolio Management, Oct 31, 2011

Doeswijk and vanVliet examine seven variables for global tactical sector allocation (GTSA) purpos... more Doeswijk and vanVliet examine seven variables for global tactical sector allocation (GTSA) purposes. They construct 10 global sector indices over the extended sample period from 1970 to 2008, enabling them to test previously documented variables on a global basis and to examine whether they continued to work after their publication dates. Doeswijk and van Vliet document significant returns for the following strategies: momentum (1-month and 12–1 month), earnings revisions, and sell-in-May seasonal, also after their publication dates. By contrast, monetary policy and valuation (mean reversion and dividend yield) fail to predict global sector returns. The authors’ out-of-sample tests reveal an average decay in performance of about one-third. A long–short GTSA strategy that combines momentum with seasonal has an annual success ratio of 82% and delivers a compounded annual return of 9.9% after transaction costs. The authors believe that a global sector allocation study with such a long sample period and with such a broad range of variables has not been conducted before.

Research paper thumbnail of Global Tactical Sector Allocation: A Quantitative Approach

Social Science Research Network, 2010

Research paper thumbnail of Spotting Tortoises and Hares

Research paper thumbnail of The Biggest Victory of All

Research paper thumbnail of The Volatility Effect: Lower Risk without Lower Return

RePEc: Research Papers in Economics, Jul 4, 2007

Research paper thumbnail of Jan's Perspective

John Wiley & Sons, Ltd eBooks, Nov 25, 2016

Research paper thumbnail of High Returns from Low Risk

Research paper thumbnail of The Dark Appeal of Risk

Research paper thumbnail of The Opposite of What You're Aiming For

Research paper thumbnail of Will the Paradox Persist

Research paper thumbnail of Sorting Out Downside Beta

Social Science Research Network, 2012

Research paper thumbnail of The Volatility Effect in Emerging Markets

Social Science Research Network, 2012

Research paper thumbnail of Fundamental Indexation: Rebalancing Assumptions and Performance

The Journal of Index Investing, Aug 31, 2010

Abstract: We show that the performance of a fundamental index with annual rebalancing, as propose... more Abstract: We show that the performance of a fundamental index with annual rebalancing, as proposed by Arnott, Hsu and Moore (2005), can be highly sensitive to the subjective choice of when to rebalance. Although performance differences between fundamental indexes ...

Research paper thumbnail of An anatomy of calendar effects

Journal of Asset Management, Jul 5, 2012

This article studies the interaction and profitability of the five most well-established calendar... more This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effect. We find that Halloween and TOM are the strongest and most profitable effects. The equity premium over the sample 1963–2008 is 7.2 per cent if there is a Halloween or TOM effect, and −2.8 per cent in all other cases. An investment strategy based on these two effects gives higher net risk-adjusted returns than a passive buy-and-hold strategy. These findings are robust across different sample periods, market segments and international stock markets.

Research paper thumbnail of Beyond Fama-French Factors: Alpha from Short-Term Signals

Financial Analysts Journal, Apr 13, 2023

Research paper thumbnail of The Volatility Effect in China

Social Science Research Network, 2021

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local Chin... more This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A shares market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama-French style VOL factor is not explained by the Fama-French-Carhart factors, and has the strongest stand-alone performance among all these factors. Our findings are robust across sectors and over time, and consistent with previous empirical evidence for the US and international markets. Moreover, the VOL premium exhibits excellent investability characteristics, as it involves a low turnover and remains strong when applied to only the largest and most liquid stocks. Our results imply that the volatility effect is a highly pervasive phenomenon, and that explanations should be able to account for its presence in highly institutionalized markets, such as the US, but also in the Chinese market where private investors dominate trading.

Research paper thumbnail of The Tortoise Beats the Hare

Research paper thumbnail of All Good Things Come in Threes

John Wiley & Sons, Ltd eBooks, Nov 25, 2016

Research paper thumbnail of Sit Back and Relax

... 1926 Edgar P. Valby is still with Richfield Oil. ... branch office for the Airsupply Company ... more ... 1926 Edgar P. Valby is still with Richfield Oil. ... branch office for the Airsupply Company and worked for ttvo years as Installation Engince~-to Los Angelesi, where lie71I be working on ui~tal~dtlon engineering ... Dinner to he held on furie 15 at the Ambassador Hotel in Los ~Vngeles ...

Research paper thumbnail of Buy Them Cheap and Remember the Trend Is Your Friend

Research paper thumbnail of Global Tactical Sector Allocation: <i>A Quantitative</i><i>Approach</i>

The Journal of Portfolio Management, Oct 31, 2011

Doeswijk and vanVliet examine seven variables for global tactical sector allocation (GTSA) purpos... more Doeswijk and vanVliet examine seven variables for global tactical sector allocation (GTSA) purposes. They construct 10 global sector indices over the extended sample period from 1970 to 2008, enabling them to test previously documented variables on a global basis and to examine whether they continued to work after their publication dates. Doeswijk and van Vliet document significant returns for the following strategies: momentum (1-month and 12–1 month), earnings revisions, and sell-in-May seasonal, also after their publication dates. By contrast, monetary policy and valuation (mean reversion and dividend yield) fail to predict global sector returns. The authors’ out-of-sample tests reveal an average decay in performance of about one-third. A long–short GTSA strategy that combines momentum with seasonal has an annual success ratio of 82% and delivers a compounded annual return of 9.9% after transaction costs. The authors believe that a global sector allocation study with such a long sample period and with such a broad range of variables has not been conducted before.

Research paper thumbnail of Global Tactical Sector Allocation: A Quantitative Approach

Social Science Research Network, 2010

Research paper thumbnail of Spotting Tortoises and Hares

Research paper thumbnail of The Biggest Victory of All

Research paper thumbnail of The Volatility Effect: Lower Risk without Lower Return

RePEc: Research Papers in Economics, Jul 4, 2007

Research paper thumbnail of Jan's Perspective

John Wiley & Sons, Ltd eBooks, Nov 25, 2016

Research paper thumbnail of High Returns from Low Risk

Research paper thumbnail of The Dark Appeal of Risk

Research paper thumbnail of The Opposite of What You're Aiming For

Research paper thumbnail of Will the Paradox Persist

Research paper thumbnail of Sorting Out Downside Beta

Social Science Research Network, 2012

Research paper thumbnail of The Volatility Effect in Emerging Markets

Social Science Research Network, 2012

Research paper thumbnail of Fundamental Indexation: Rebalancing Assumptions and Performance

The Journal of Index Investing, Aug 31, 2010

Abstract: We show that the performance of a fundamental index with annual rebalancing, as propose... more Abstract: We show that the performance of a fundamental index with annual rebalancing, as proposed by Arnott, Hsu and Moore (2005), can be highly sensitive to the subjective choice of when to rebalance. Although performance differences between fundamental indexes ...

Research paper thumbnail of An anatomy of calendar effects

Journal of Asset Management, Jul 5, 2012

This article studies the interaction and profitability of the five most well-established calendar... more This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effect. We find that Halloween and TOM are the strongest and most profitable effects. The equity premium over the sample 1963–2008 is 7.2 per cent if there is a Halloween or TOM effect, and −2.8 per cent in all other cases. An investment strategy based on these two effects gives higher net risk-adjusted returns than a passive buy-and-hold strategy. These findings are robust across different sample periods, market segments and international stock markets.

Research paper thumbnail of Beyond Fama-French Factors: Alpha from Short-Term Signals

Financial Analysts Journal, Apr 13, 2023

Research paper thumbnail of The Volatility Effect in China

Social Science Research Network, 2021

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local Chin... more This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A shares market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama-French style VOL factor is not explained by the Fama-French-Carhart factors, and has the strongest stand-alone performance among all these factors. Our findings are robust across sectors and over time, and consistent with previous empirical evidence for the US and international markets. Moreover, the VOL premium exhibits excellent investability characteristics, as it involves a low turnover and remains strong when applied to only the largest and most liquid stocks. Our results imply that the volatility effect is a highly pervasive phenomenon, and that explanations should be able to account for its presence in highly institutionalized markets, such as the US, but also in the Chinese market where private investors dominate trading.