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from-the-field-175x95px.jpgFROM THE FIELD: Robeco researchers publish many whitepapers based on their own empirical studies. But they also closely follow quantitative research done by others. Head of Quantitative Equities Research David Blitz comments on notable external papers.

From the field: Large-scale factor investing

08-07-2015 | Insight | David Blitz, PhD A study* by MSCI for the Norwegian Ministry of Finance examines how factor investing can be applied to very large portfolios, such as the EUR 700 bln Norwegian reserve fund. Consistent with previous studies by Robeco they recommend allocating to, amongst others, the value, momentum and low-volatility factors.

Although the indices proposed by MSCI to harvest these factors have excellent investability characteristics, they represent low-conviction approaches which only tilt the portfolio slightly towards a given factor. This helps to explain the relatively modest Sharpe ratio improvements reported in the study.

We find that enhanced factor solutions offer much more attractive performance characteristics. Examples of such enhancements are avoiding risks that are not properly rewarded, and preventing going against other proven factors, when focusing on one particular factor.**

* Harvesting Risk Premia for Large Scale Portfolios, MSCI research paper (March 2013)

** Efficient Factor Investing Strategies, Robeco whitepaper (February 2013)
David Blitz

David Blitz, PhD

Head Quantitative Equities Research

“Factor investing, aimed at systematically capturing the value, momentum, low-volatility and other premiums, holds the future.”

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David Blitz, PhD
Head Quantitative Equities Research


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