David C. Blitz
David C. Blitz 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 from Erasmus University Rotterdam.Career
Blitz, chief researcher at Robeco, 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. 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. His research on quantitative investing is often quoted in financial media such as Institutional Investor or the Financial times. His work on ESG and sin stocks was cited in The Economist in 2017 and by the Financial Times in 2021 and 2022.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 and 24. 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:- , Journal of Portfolio Management, 2007.
- , Journal of Portfolio Management, 2016.
- , Journal of Empirical Finance, 2011.
- , Journal of Portfolio Management, 2008.
- , Journal of Portfolio Management, 2018
- , Financial Analyst Journal, 2020.
Recognition and awards