David C. Blitz

Blitz holds a PhD in Finance and a Master's in Econometrics (cum laude) from Erasmus University Rotterdam.{{Cite web|title=Erasmus University Rotterdam - Benchmarking Benchmarks PhD defense 2011|url=https://www.erim.eur.nl/research/news/detail/1712-benchmarking-benchmarks/|access-date=21 November 2021}}

Blitz, chief researcher at Robeco, has spent most of his career on designing and developing the quantitative investment strategies.{{Cite web|title=Robeco Quants|url=https://www.robeco.com/en/insights/authors/david-blitz.html|access-date=21 November 2021}} Blitz serves on the advisory editorial board of the Journal of Portfolio Management.{{Cite web|title=Editorial Board {{!}} The Journal of Portfolio Management|url=https://jpm.pm-research.com/editorial-board|access-date=2021-11-18|website=jpm.pm-research.com}} 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.{{Cite news|last=Authers|first=John|date=2017-11-27|title=Smart beta: what's in a name?|work=Financial Times|url=https://www.ft.com/content/d1bdabaa-a9f0-11e7-ab66-21cc87a2edde|access-date=2021-11-18}} His research on quantitative investing is often quoted in financial media such as Institutional Investor or the Financial times.{{Cite web |title=Quants Find No Premium From Small Stocks |url=https://www.institutionalinvestor.com/article/b1ncvzj2hycpld/Quants-Find-No-Premium-From-Small-Stocks |access-date=2023-01-26 |website=Institutional Investor |language=en-gb}}{{Cite news |date=2022-04-22 |title=Investors' Chronicle: Oxford Biomedica, Wood Group, Just Eat |work=Financial Times |url=https://www.ft.com/content/306c007f-f764-4821-a0fe-059d19681deb |access-date=2023-01-26}} His work on ESG and sin stocks was cited in The Economist in 2017 and by the Financial Times in 2021 and 2022.{{Cite news|date=2017-09-21|title=Ethical investment is booming. But what is it?|newspaper=The Economist|url=https://www.economist.com/finance-and-economics/2017/09/21/ethical-investment-is-booming-but-what-is-it|access-date=2021-11-18|issn=0013-0613}}{{Cite news|last=Masters|first=Brooke|date=2021-10-18|title=Does it pay to steer clear of sin stocks?|work=Financial Times|url=https://www.ft.com/content/0c73bcb9-415a-42e3-b827-6944bb5b2bde|access-date=2021-11-18}}

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).{{Cite web |title=Scopus {{!}} Blitz, David C. {{!}} Author details |url=https://www.scopus.com/authid/detail.uri?authorId=23017878700 |access-date=2023-01-26 |website=www.scopus.com}}{{Cite web|title=Google Scholar|url=https://scholar.google.nl/citations?user=sD0qHS4AAAAJ&hl=en|access-date=21 November 2021}} 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:

• [https://jpm.pm-research.com/content/34/1/102 The Volatility Effect: Lower Risk without Lower Returns], Journal of Portfolio Management, 2007.{{Cite journal|last1=Blitz|first1=David C.|last2=Vliet|first2=Pim van|date=2007-10-31|title=The Volatility Effect|url=https://jpm.pm-research.com/content/34/1/102|journal=The Journal of Portfolio Management|language=en|volume=34|issue=1|pages=102–113|doi=10.3905/jpm.2007.698039|s2cid=154015248 |issn=0095-4918}}
• [https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2862317 Five Concerns with the Five-Factor model], Journal of Portfolio Management, 2016.{{Cite journal|last1=Blitz|first1=David|last2=Hanauer|first2=Matthias X.|last3=Vidojevic|first3=Milan|last4=Vliet|first4=Pim van|date=2018-03-31|title=Five Concerns with the Five-Factor Model|url=https://jpm.pm-research.com/content/44/4/71|journal=The Journal of Portfolio Management|language=en|volume=44|issue=4|pages=71–78|doi=10.3905/jpm.2018.44.4.071|s2cid=157288530 |issn=0095-4918}}
• [https://www.sciencedirect.com/science/article/abs/pii/S0927539811000041 Residual Momentum], Journal of Empirical Finance, 2011.{{Cite journal|last1=Blitz|first1=David|last2=Huij|first2=Joop|last3=Martens|first3=Martin|date=2011-06-01|title=Residual momentum|url=http://dx.doi.org/10.1016/j.jempfin.2011.01.003|journal=Journal of Empirical Finance|volume=18|issue=3|pages=506–521|doi=10.1016/j.jempfin.2011.01.003|issn=0927-5398|hdl=1765/22252|hdl-access=free}}
• [https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1079975 Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes], Journal of Portfolio Management, 2008.{{Cite journal|last1=Blitz|first1=David C.|last2=Vliet|first2=Pim Van|date=2008-10-31|title=Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes|url=https://jpm.pm-research.com/content/35/1/23|journal=The Journal of Portfolio Management|language=en|volume=35|issue=1|pages=23–38|doi=10.3905/JPM.2008.35.1.23|s2cid=53467731 |issn=0095-4918}}
• [https://jpm.pm-research.com/content/44/7/24 The Conservative Formula: Quantitative Investing made easy], Journal of Portfolio Management, 2018{{Cite journal|last1=Blitz|first1=David|last2=Vliet|first2=Pim van|date=2018-07-31|title=The Conservative Formula: Quantitative Investing Made Easy|url=https://jpm.pm-research.com/content/44/7/24|journal=The Journal of Portfolio Management|language=en|volume=44|issue=7|pages=24–38|doi=10.3905/jpm.2018.44.7.024|issn=0095-4918}}
• [https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3493305 When Equity Factors Drop Their Shorts], Financial Analyst Journal, 2020.{{Cite journal|last1=Blitz|first1=David|last2=Baltussen|first2=Guido|last3=van Vliet|first3=Pim|date=2020-09-03|title=When Equity Factors Drop Their Shorts|journal=Financial Analysts Journal|volume=76|issue=4|pages=73–99|doi=10.1080/0015198x.2020.1779560|issn=0015-198X|doi-access=free|hdl=1765/130144|hdl-access=free}}

Peter L Bernstein Award 2018 Winner. Issued by Portfolio Management Research Journal Series. Jan 2018. For paper "[https://jai.pm-research.com/content/21/1/17 Are Hedge Funds on the Other Side of the Low-Volatility Trade]" in the Journal of Alternative Investments and interviewed by Ronald Kahn.{{Cite web|title=Announcement Peter L. Bernstein Award Winner 2018 {{!}} Portfolio Management Research|url=https://www.pm-research.com/plb-winner-2018#:~:text=David%20Blitz%20has%20been%20named,The%20Journal%20of%20Alternative%20Investments.|access-date=2021-11-18|website=www.pm-research.com}}{{Cite web|title=An interview with 2018's Peter L. Bernstein Award Winner|url=https://jai.pm-research.com/content/21/Supplement/1|access-date=21 November 2021}} Citation of Excellence Award Issued by Emerald for paper "[https://jpm.pm-research.com/content/34/1/102 The Volatility Effect: Lower Risk without Lower Returns]" in the Journal of Portfolio Management.

David has three children and lives in Barendrecht, The Netherlands. His great-grandfather Carel Blitz was a Dutch violist.{{Cite web|title=Geni {{!}} Karel-Calman-Blitz|url=https://www.geni.com/people/Karel-Calman-Blitz/6000000017513382226}}

• Low-volatility investing
• Momentum investing
• Factor investing

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• [https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=113731 SSRN author page]
• [https://www.linkedin.com/in/david-blitz-57547218/ LinkedIn page]

{{DEFAULTSORT:Blitz, David C.}}

Category:Dutch econometricians

Category:21st-century Dutch economists

Category:1974 births

Category:Living people