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Book

New: Factor investing – collected Robeco articles (2nd edition)

11-04-2016 | Insight | David Blitz, PhD, Joop Huij, PhD The much anticipated ‘Factor Investing – Collected Robeco articles’ (the 2nd edition) is now available. We’re delighted to present this book on factor investing, which brings together ten articles that Robeco researchers have published over recent years.

The factor investing phenomenon is increasingly moving into the mainstream, with more and more investors allocating to factor-based strategies. At Robeco we’ve long been forceful proponents of the benefits of the evidence-based approach that factor investing involves. We have provided our clients with access to portfolios providing systematic exposure to a range of factor premiums for well over a decade.

But as more investors allocate to factor strategies, they are asking us more questions about the best way to do so. We have responded by performing in-depth research into the questions that matter to our clients, and have set out our most pertinent findings in this book.  The book consists of three parts: strategic allocation to factor premiums, understanding the factor premiums and how to implement factor investing in an efficient way.

In these papers important questions are being answered: is it reasonable to infer from backtests that factor strategies are likely to outperform in the future? And can these strategies be relied on to outperform in real-life situations – when trading costs and restrictions are taken into account? Can mutual funds successfully adopt factor investing strategies? Does factor investing work with credits as well? 

Joop Huij

Joop Huij, PhD

Head of Factor Investing Research

"I am sure that the financial industry will adopt an evidence-based approach to designing the investment process."

Biography

Mr. Huij, Head of Factor Investing Research, is responsible for the coordination of Factor Investing research and development of customized factor investing solutions. He specializes in empirical asset pricing and investment strategies. Mr. Huij also holds a part-time position as Associate Professor (with tenure) of Finance at Rotterdam School of Management. He has published in, among others, the Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Markets, and Financial Analyst Journal. Mr. Huij started his career as a researcher in 2007. He holds a PhD in Finance from Rotterdam School of Management and a Master’s degree in Informatics & Economics (cum laude) from Erasmus University Rotterdam.


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.”

Biography

Mr. Blitz, co-Head of the Quantitative Research department, is responsible for the coordination of all equity-related quantitative research. The key tools which have been developed in this area are our proprietary stock selection models and portfolio optimization algorithms.

As a spin-off of his research, Mr. Blitz has published papers in various peer-reviewed journals, such as the Journal of Empirical Finance, Journal of Portfolio Management and European Financial Management. His areas of interest include quantitative investment strategies and mutual fund performance evaluation.

Mr. Blitz started his career in the investment industry at Robeco in 1995. He holds a PhD in Finance and a Master's degree in Econometrics (cum laude) from Erasmus University Rotterdam and is registered with the Dutch Securities Institute.

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Joop Huij, PhD
Head of Factor Investing Research


Author

David Blitz, PhD
Head Quantitative Equities Research


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