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Investment insights 2010

Managing high yield public small caps with Robeco’s corporate bond selection model COALA

01-12-2010 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD, Sander Bus

Generating benchmark-like returns is a difficult job in the High Yield corporate bond market. High index turnover and illiquidity, i.e. high bid-ask spreads, are the main reasons why passively tracking a High Yield index comes at significant costs.

Forecasting bond returns using jumps in intraday prices

28-11-2010 | Research | Johan Duyvesteyn, PhD, CFA, Martin Martens, PhD, Siawash Safavi Nic

We build on the work of Wright and Zhou (2009) who show that the average jump mean in bond prices can predict excess bond returns, capturing the countercyclical behaviour of risk premia.

Interesting findings risk vs. return

26-11-2010 | Insight | Pim van Vliet, PhD

Low-risk stocks lead to higher risk adjusted returns. Portfolio manager Pim van Vliet reveals why and how investors can benefit.

The risk premium is practically zero

15-11-2010 | Insight | Eric Falkenstein, Ph.D

The risk premium does not exist and the scope of its failure is wide, says, Eric Falkenstein, Ph.D. and low volatility investing expert.

Improving coverage ratios with less risk

29-10-2010 | Research | Pim van Vliet, PhD

Pension funds can protect funding ratios by making low-risk stocks a part of their equity allocation, says Pim van Vliet, Senior Portfolio Manager, Robeco Low Volatility Equities.

Ten things you should know about minimum volatility investing

01-10-2010 | Insight | Pim van Vliet, PhD

Low-volatility investing is gaining momentum among institutional investors, Pim van Vliet, Senior Portfolio Manager, Robeco Low Volatility Equities, summarizes the strategy’s key points.

Value and Momentum in Frontier Emerging Markets

14-09-2010 | Research | Laurens Swinkels, Wilma de Groot, CFA

Not only do the value and momentum effects exist in frontier markets, these effects are uncorrelated with each other and with similar strategies in developed and emerging markets.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio. Well-known examples are the value, size and momentum strategies, for which return premiums have been documented in US and international stock markets. Market efficiency is also challenged, however, if some simple investment strategy generates a return similar to that of the market, but at a systematically lower level of risk.

Expenses and dividend taxes affect European index fund and ETF returns

25-01-2010 | Research | David Blitz, PhD, Joop Huij, PhD, Laurens Swinkels

European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses.

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