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Research highlights

Better decisions with Country Sustainability Ranking
The financial crisis that erupted in 2008 underlined the need to look beyond credit ratings and the classic set of fundamental data. It prompted us to develop a process for analyzing sustainability on a country level, and resulted in our Country Sustainability Ranking (CSR). A few years ago we started to compile, calculate and analyze the relevant data. The primary aim of such ranking scores is to provide the kind of information that will contribute to enhancing our investment decisions. This article is the first in a series to be published on CSR. Managing FX Risk in low-volatility strategies
This short research note examines currency-risk management for low-volatility portfolios. We find that currency risk can be an important risk factor and that, in general, strategically hedging foreign currency exposures helps to minimize long-term portfolio volatility. Exceptions to this rule, however, are base currencies that tend to depreciate during falling markets. Quant Quarterly
This issue contains articles on the valuation of low-volatility equities and a book review of ‘The Missing Risk Premium’. It also shows a better way to harvest factor premiums.

Strategic Allocation to commodity Factor Premiums
Investors may wonder whether the traditional arguments for investing in commodities still apply, as the return, diversification and inflation-hedging potential of commodities appears to have declined. In this study we find that a commodity factor portfolio consisting of the momentum, carry and low-volatility factor premiums exhibits a significantly better risk-adjusted performance than a conventional commodity portfolio.
Explanations for the Volatility Effect: An Overview based on the CAPM assumptions
Together with American low-volatility guru, Eric Falkenstein, we have written a new paper that deals with the explanations given for the low-volatility anomaly. We identify and categorize around a dozen distinct explanations that have been put forward in various streams of literature. Many of these explanations relate to rational investor behavior, which may explain why the low-volatility anomaly has been so persistent over time.
Integrated risk-management philosophy
Integrated risk management is a key element of our investment philosophy for quantitatively managed equity portfolios. In this note we explain what integrated risk management entails and how it is applied in our investment process.

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Contact

Marjolein van der Valk
Manager Consultant Relations
+31 102243148
m.van.der.valk@robeco.nl

mcdermott_50x48px.jpgJayne Rogers 
Senior Vice President Asia Pacific
+85 237197521
j.rogers@robeco.com