In a recent research article, Dutch research-focused asset manager Robeco showed why they prefer to lean towards conservative factor strategies. There are some interesting data presented. Robeco helped to construct its dataset of US historical market returns, dividend yields and market capitalisations from 1866 to 1926. This dataset extends the current data from 1926 to the present day. You can read more about how the dataset is constructed here. Conservative factor strategies are interesting to you because: The methodology periodically screens a basket of more resilient stocks during market downturns.The basket of stocks also participates in capturing enough upside. We may then achieve a portfolio with lower volatility while fulfilling more risk-averse investor’s objectives. We may see whether these conservative screenings work over different periods with this wider dataset.
