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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: Smart beta = Dumb beta + Smart Marketing?

20-04-2016 | David Blitz, PhD In his witty style, James Montier takes a critical look at recently popular investment concepts such as smart beta, risk parity and real assets*. We actually agree a lot with what he is saying. For instance, we agree that smart beta is merely providing exposure to classic factor premiums. That is what we have been saying all along.

Moreover, we also agree that it is important to never ignore the price you actually pay for a security. That is why we have included valuation factors in our low-volatility and momentum factor products from the outset. We recommend Montier’s piece as a sobering and entertaining read!

* Montier, “No Silver Bullets in Investing”, GMO white paper, December 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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