By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.


Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.


By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

For optimal efficiency we look at multiple factors

Factor investing insights

Carry fund marks first anniversary with strong returns

26-09-2016 | Insight | Klaas Smits, Martin Martens, PhD, Shengsheng Zhang

The Robeco Global Diversified Carry fund was launched in August 2015 to take advantage of a quantitative investment strategy that searches for yield opportunities in different asset classes. In its first year it has delivered a strong return of 7.35%, resulting in a Sharpe ratio of 1.27. In this question and answer session, portfolio managers Klaas Smits and Shengsheng Zhang from Robeco’s Investment Solutions team explain how the fund works, and outline the reasons behind its success.

Low Volatility in historical perspective: Fund investing since 1774

21-09-2016 | Research | Jan Sytze Mosselaar, Pim van Vliet, PhD

As portfolio managers of Robeco Conservative Equities, we want to place our role into a historical perspective and learn from the history of financial markets, and mutual funds in particular. History teaches us that good ideas do not necessarily guarantee successful funds. Timing is everything. Still, capital protection, high income and low turnover are timeless factors that are still relevant today.

What is factor investing?

15-09-2016 | Insight | David Blitz, PhD, Joop Huij, PhD

Although Factor Investing is rapidly gaining popularity, there are still ongoing debates about this concept. In our view, the key feature of Factor Investing is that asset owners select factors and their weights themselves, rather than leaving this up to their asset managers.

The quality of low-risk credits

14-09-2016 | Research | Frederik Muskens, Jeroen van Zundert, Mark Whirdy, Patrick Houweling, PhD

Recently a new factor was added to the literature: Quality. In credits, we see Quality as a natural extension of pure Low-Risk. All our credit factor models have used Quality since inception, and have expanded its use over the years.

Honey, how much did you say you paid for these low-vol stocks?

12-09-2016 | Research | Maarten Polfliet, Pim van Vliet, PhD

Investors are worried about the high valuations of stocks in general and low-volatility stocks in particular. And so are we! In relative terms, low-volatility stocks have become more expensive during the last two years, but it’s not the first time. It happened first in 2008 and again in 2011.

The profitability of low volatility

08-09-2016 | David Blitz, PhD, Milan Vidojevic

Some people argue that the low risk anomaly can be explained by ‘profitability’, an example of a ‘quality’ factor. In our paper ‘The Profitability of Low Volatility’, we challenge this hypothesis and conclude that the low-risk anomaly is a distinct phenomenon, which cannot be attributed to profitability alone.

“For me, researching investments and speaking about the results is an ideal combination”

06-09-2016 | Insight | Laurens Swinkels

Laurens Swinkels is back at Robeco. With the researcher's return, Robeco is strengthening its Scandinavian sales and account management team and Investment Research department. “I’m going to explain quant investing and the application of research multi-factor investing strategies .”

Factor investing versus sector investing

01-09-2016 | Insight | Milan Vidojevic, Simon Lansdorp

A recent study suggests that sector investing does as well or even better than factor investing in a long-only context. We challenge this conclusion and show that an explicit allocation to well established factors yields better results than allocation to sectors.

Year-to-date: Factor investing needs an active approach

23-08-2016 | Insight

We talked to Mark Voermans, senior portfolio manager at APG Quantitative Equities and an early proponent of factor investing in the Netherlands.

From the field: Systematic investing in M&A: an alternative factor premium

03-08-2016 | David Blitz, PhD

Inspired by the recent surge in M&A activity, Deutsche Bank investigates a strategy which systematically invests in stocks that are the target of a publicly announced M&A deal. They find that the strategy has a good historical performance, and conclude that it may be interesting for investors interested in capturing factor premiums.

Taking smart beta to the Asian market

01-08-2016 | Interview

Jason Hsu is one of the best-known names in smart beta investing, having played a major role in Research Affiliates’ development of its pioneering fundamental indexing approach back in 2005.

From the field: Forensic accounting research

20-07-2016 | David Blitz, PhD

Macquarie applies Benford’s law to identify firms which may be manipulating their accounting data, or perhaps even engaging in outright fraud. According to this law, there is a natural frequency of 1 to 9 occurring as the first digit in a number, with the chance of 1 for instance being around 30%, and the chance of 9 less than 5%.

Multi-factor fund celebrates birthday with outperformance

18-07-2016 | Insight | Patrick Houweling, PhD

“Putting your research to the test is always exciting, and if it then works out well, then that’s very satisfying.” That’s how Patrick Houweling describes celebrating the first anniversary of the Global Multi-Factor Credits fund, with an outperformance chart to go with the birthday cake.

Integrating sustainability into factor credit strategies

12-07-2016 | Research | Frederik Muskens, Jeroen van Zundert, Mark Whirdy, Patrick Houweling, PhD

Our factor credit strategies have two main objectives: maximizing the portfolio’s factor exposure and limiting sustainability risks. How do we integrate these two goals?

Defining the Quality factor

11-07-2016 | Insight

Robeco has added Quality to the key list of factors that it follows when constructing factor investing portfolios in equities. But how to define it? There is a disconnect between definitions of the factor ‘quality’ by academics and how it is defined by many in the asset management industry.

Factor Investing with smart beta indices

06-07-2016 | Research | David Blitz, PhD

Smart beta indices are a popular way of implementing a factor investing strategy. However, research suggests that this may not the best way, as the factor exposure provided by popular smart beta strategies varies greatly and they do not unlock the full potential of factor premiums.

Factor investing case studies – the merits of tailor made solutions

06-07-2016 | Insight | Chris Suiker, Graham Elliot, Joop Huij, PhD, Mark van der Kroft

Factor investing – the investment strategy that aims to capture ‘hidden’ returns in financial markets – is rapidly gaining in popularity. However, it is important to follow the right factors, and to be wary of one factor counteracting another, to get the best results. Otherwise, investors might follow generic factor strategies that expose them to risks that are not properly rewarded, resulting in inferior performance.

From the field: Accounting-based anomalies in the bond market

22-06-2016 | David Blitz, PhD

This study examines whether over thirty accounting-based fundamental variables known to be related to future stock returns are also effective for predicting future bond returns. The frequency of significant returns to trading strategies based on these anomalies turns out to be similar for the bond and stock markets.

How to achieve attractive bond returns in a low-yield environment?

21-06-2016 | Insight | Johan Duyvesteyn, PhD, CFA, Kommer van Trigt, Martin Martens, PhD, Olaf Penninga

Actively managing a portfolio’s sensitivity to interest rate movements is crucial for the returns on fixed income portfolios, as they are predominantly driven by changes in government bond yields. To forecast yield changes, Robeco developed a quantitative model in the 1990s, which has proven to have very good predictive power.

Robeco adds fourth factor Quality to its factor investing strategies

15-06-2016 | Insight | David Blitz, PhD, Joop Huij, PhD, Pim van Vliet, PhD, Simon D. Lansdorp

Investors increasingly decide to allocate strategically to factor premiums such as Value, Momentum and Low-Volatility. Robeco is now incorporating a fourth factor, Quality, in the investment process of its factor funds.

Implementing factor strategies in corporate bonds

14-06-2016 | Insight | Patrick Houweling, PhD

Research shows that factor investing strategies work well in corporate bonds, but actually building a portfolio requires greater care due to liquidity issues, Robeco’s quantitative experts argue in a new white paper.

From the field: Do fund flows cause the value and momentum effects?

25-05-2016 | Insight | 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.

Bargain Hunt: looking for value in global equities

10-05-2016 | Insight | Maarten Polfliet

Investors looking for value in global equities have been disappointed in recent years, as ‘expensive defensive’ and growth stocks have held sway in markets. But over the long term, value investing can be shown to outperform growth investing, depending on the economic environment of the time, says Robeco portfolio manager Maarten Polfliet.

Passive Low Vol versus Robeco approach: Interview Pan-European Congress 4 March

25-04-2016 | Interview | Jan Sytze Mosselaar

Today low-volatility investing is gaining a broader acceptance within academic circles and among investors.

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.

Conservative Equities in historical perspective: Investment behavior since 1602

18-04-2016 | Research | Jan Sytze Mosselaar, Pim van Vliet, PhD

Since the birth of the modern stock market in 1602, the pendulum of the investment culture has moved from a return focus to a risk focus and back.

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.

From the field: What’s driving the value premium?

06-04-2016 | Insight | David Blitz, PhD

The academic literature provides two competing theories on what drives the value premium: exposure to risk factors, or mispricing of securities.

Making the most of Momentum

29-03-2016 | Insight | Willem Jellema

There is strong evidence that momentum investing works, even though some critics claim that a stock’s past performance can’t be relied on to predict its future returns, and that momentum strategies can involve high turnover and the risk of a trend reversing.

From the field: Institutional investors cause stock return anomalies?

23-03-2016 | Insight | David Blitz, PhD

This study* shows that institutions typically trade on the wrong side of anomalies. For instance, they tend to buy growth stocks and sell value stocks, thereby going directly against the value anomaly.

Factor ETFs: Investors should tread carefully

22-03-2016 | Insight

While at Robeco we strongly believe in the benefits of taking a highly active approach to factor investing, there’s no denying that passive factor strategies are growing in popularity among many investors.

From the field: Systematic underestimation of mutual fund alphas

09-03-2016 | Insight | David Blitz, PhD

This study argues that because mutual funds often disappear following poor performance, some funds disappear because of bad luck and not because their true alpha is low.

From the field: Characteristics of different low-volatility strategies

17-02-2016 | David Blitz, PhD

A study* by three Blue Sky pension provider researchers (Bastiaan Pluijmers, Imke Hollander and Ramon Tol) together with Dimitris Melas from MSCI compares the characteristics of nine different low-volatility strategies.

Factor investing needs an active approach

07-01-2016 | Insight

We talked to Mark Voermans, senior portfolio manager at APG Quantitative Equities and an early proponent of factor investing in the Netherlands.

Factor Investing in the Corporate Bond Market

11-12-2015 | Research | Jeroen van Zundert, Patrick Houweling, PhD

We provide empirical evidence that the Size, Low-Risk, Value and Momentum factors have significant risk-adjusted returns in the corporate bond market. By combining these factors in a multi-factor portfolio, drawdowns and tracking error vs. the market are reduced, while the higher return and Sharpe ratio are preserved.

Factor investing – the flipside of following the index

07-12-2015 | Insight | Joop Huij, PhD

Investing in market-cap weighted indexes and factor indexes has serious disadvantages, according to Han Dieperink and Joop Huij. An active approach to factor investing works better.

Is value trapped?

04-12-2015 | Research | David Blitz, PhD

The poor long-term live performance of the first generation of value indices indicates that capturing the value premium is not easy. This does not mean, however, that the value premium is beyond the reach of investors. We argue that a value premium still exists, but that harvesting it requires an approach that is much more sophisticated than simply following a straightforward value index.

Can mutual funds successfully adopt factor investing strategies?

24-11-2015 | Insight | Joop Huij, PhD

To the best of our knowledge, no study has been conducted on the added value of innovative investment strategies that incorporate academic insights. As a result, we do not know how many investment managers have incorporated academic insights or how successful they are. We have researched the topic to fill this gap in the literature.

Emerging markets: the value of strategic allocation

12-11-2015 | Insight | Weili Zhou, CFA, Wilma de Groot, CFA

The added value of allocating to emerging markets (EM) has always been a topic of discussion among equity investors, especially when there was a large difference in performance with developed markets (DM). After a period of market decline, investors sometimes consider to lower the weight of emerging markets in their portfolio. What are the lessons that history can teach us?

Robeco Emerging Conservative Equities: an uncommon but proven combination of 3 factors

12-11-2015 | Insight | Arlette van Ditshuizen

Emerging markets are going through a volatile period, but the defensive investment strategy of Robeco Emerging Conservative Equities is proving its worth by outperforming the index. “Despite its relatively short history, we are very confident about the fund as is demonstrated by its Bronze Morningstar Analyst Rating. The results are more than promising.”

Fama-French 5-factor model: why more is not always better

21-10-2015 | Best read 2015 | David Blitz, PhD, Pim van Vliet, PhD

Fama and French have expanded their original 3-factor model by adding two factors. What do we think of this?

From the field: Investing for the long run

30-09-2015 | Insight | David Blitz, PhD

Ang and Kjaer argue in a paper* that pro-cyclical behavior and misalignments between asset owners and managers negate the long horizon advantages of long-term investors.

Five things about maximizing factor investing performance

07-09-2015 | Insight

For the best results, we look at several factors. Discover the five things regarding factor investing you need to know about.

Balanced exposure to factors in credits

23-07-2015 | Patrick Houweling, PhD

Robeco Global Multi-Factor Credits, launched on June 15, 2015, is an innovative fund offering balanced exposure to the Low-Risk, Value, Momentum and Size factors in the credit market.

The beauty and the beast of value and momentum investing

22-07-2015 | Research | David Blitz, PhD

We usually focus on how to make a good investment strategy even better, but in recent research we looked at how to make it worse.

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.

Ten key questions on factor investing

29-06-2015 | Insight | Joop Huij, PhD

Investors are increasingly becoming aware of the advantages that factor investing has to offer. Joop Huij answers ten questions on the concept and the implementation.

From the field: Factor investing for diversification purposes?

20-05-2015 | David Blitz, PhD

A paper* argues that size, value, momentum and other factor portfolios might be considered as alternative building blocks for strategic asset allocation, because these offer an attractive risk premium and powerful diversification benefits.

Pioneers in factor investing

20-04-2015 | Insight | Joop Huij, PhD

In 2014 Robeco went live with its Factor Investing Solutions: tailored solutions based on multiple factors. “Robeco is not the founder of factor investing, but we are among the first to translate the theory into practical investment solutions,” says Robeco’s Head of Factor Investing Research Joop Huij with pride.

Beauty and the beast of low-volatility investing

17-02-2015 | Insight | David Blitz, PhD, Pim van Vliet, PhD, Matthias Hanauer

Usually focusing on how to design the best low-volatility strategy, David Blitz, Matthias Hanauer and Pim van Vliet have set out to construct a very bad low-volatility strategy. Comparing good and bad low-volatility strategies they found very different performance characteristics. Clearly, not all low-volatility stocks are created equal. The results highlight the importance of being selective when investing in low-volatility stocks.

Is rebalancing the source of factor premiums?

12-02-2015 | Research | David Blitz, PhD

Some argue that the mere mechanism of rebalancing increases returns, and that this explains the success of factor investment strategies. Although factor strategies do need rebalancing to maintain their exposures, there are several reasons why it is unlikely that this is their source of added value.

Robeco quant EM equities outperforms generic factor indices

19-01-2015 | Research | David Blitz, PhD, Wilma de Groot, CFA

We have compared the realized performance of our quantitative emerging markets equities (QEME) strategies with the hypothetical performance of recently launched generic factor indices.

Factor investing works

06-01-2015 | Interview

Factor investing is in vogue. Investors are increasingly focusing on factors such as value, low volatility, momentum and small cap. But what do we know about the relevance of factor investing?

How factor investing also works for corporate bonds

11-11-2014 | Insight | Jeroen van Zundert, Patrick Houweling, PhD

Two Robeco researchers have become the first to analyze the effect that factor premiums can have on corporate bond investing.

What drives the value premium?

16-10-2014 | Research | David Blitz, PhD

The empirical evidence for the presence of a value premium in stock markets is overwhelming. But why does this phenomenon exist? A new white paper examines a popular explanation.

How factor investing fits into active vs passive

13-10-2014 | Insight

Factor investing is the talk of the town. But how does it fit into the debate of active versus passive? We interviewed two experts with different perspectives: one working for an index provider while the other represents an active management house.

Factors help asset owners to improve their portfolios


What are the challenges of smart beta and factor investing? Factor strategies will have a profound impact on the way portfolios are constructed, says James Price, Investment Consultant at Towers Watson.

When factors disagree

30-09-2014 | Research | Bart Van der Grient, David Blitz, PhD, Pim van Vliet, PhD

Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. But enhanced factor strategies avoid stocks that are unattractive on other established factors and continue to deliver when generic factor strategies struggle.

The rise of Factor Investing – is it a hype?

25-09-2014 | Insight

Factor Investing is increasingly in the spotlight. Financial magazines run features on it, seminars are organized on the subject, and investors consider adopting its approach. Yet you might wonder: is it just a hype?

Pension Fund Implementation Case

19-09-2014 | Insight

How can factors be useful to implement de-risking programs of pension plans? Alex Neve, Director of equities at Univest talks about the lessons learned. Univest is the investment advisor of all Unilever pension plans.

Factor investing: why implementation is important

19-09-2014 | Insight | David Blitz, PhD, Joop Huij, PhD

Factor investing is becoming more popular. Professional investors are increasingly considering investing strategically in certain parts of the financial market which realize better risk-adjusted returns over longer periods. The question is: “How can investors best implement this strategy?”

Efficiently harvesting the value premium

15-09-2014 | Insight | Maarten Polfliet

Value is one of the oldest factors in the world. Graham and Dodd already laid the intellectual foundation in the 1930s for what would later be called value investing and Basu published the first academic study in 1977 documenting the existence of the value premium.

No room for egos

11-09-2014 | Interview | Peter Ferket

Robeco’s assets under management in Quant Equities recently surpassed the EUR 20bn milestone. On this occasion, we asked Peter Ferket, CIO Equity Rotterdam and closely involved in Robeco Quant Equity since the late 1990s, how he explains the success of quant equity investing and Robeco’s role as a thought leader in this field.

Efficient factor investing strategies - A ‘Sharper’ approach to harvesting factor premiums

27-08-2014 | Research | David Blitz, PhD, Joop Huij, PhD

There is a shift towards allocating to the factor premiums momentum, value and low volatility. However, since common factor indexes are a suboptimal way to harvest factor premiums, this paper shows the improved results of a more sophisticated approach. Factor strategies developed by Robeco lead to higher returns, while lowering the risks, resulting in higher Sharpe ratios.

Are low-volatility stocks becoming expensive?

25-07-2014 | Insight | Pim van Vliet, PhD

Low-volatility stocks are in high demand. According to Pim van Vliet, portfolio manager of Conservative Equities, a generic low-volatility strategy is getting more expensive. An enhanced approach is necessary to prevent buying too expensive stocks.

‘There are clear benefits in combining separate quant and fundamental strategies’

27-06-2014 | Insight

APG states that combining separate quantitative and fundamental strategies has clear benefits. We talked to Ronald van Dijk, APG’s head of developed market equities.

How Smart is 'Smart Beta' Investing?

05-06-2014 | Research | David Blitz, PhD

Investors increasingly embrace “smart beta” investing, by which we mean passively following an index in which stock weights are not proportional to their market capitalizations, but based on some alternative weighting scheme. Examples include fundamentally-weighted indices and minimum-volatility indices. In this whitepaper we first take a critical look at the pros and cons of smart beta investing in general. After this we successively discuss the most popular types of smart indices that have been introduced in recent years.

The dark side of passive investing

06-05-2014 | Insight | David Blitz, PhD

Passive investing has become increasingly popular. Despite its undeniable appeal, there are also some considerations which should make investors think again about the desirability of a passive approach.

Investment portfolios: take a look under the hood

22-04-2014 | Insight | David Blitz, PhD, Joop Huij, PhD

You would not be pleased if you thought you had the right exposures to factors that drive expected returns, but it turns out you actually have precisely the opposite tilts. This is happening quite often though. Quantitative researcher Joop Huij and head of equity research David Blitz argue that institutional investors should be careful when assessing asset managers.

Factor investing and its implementation: ‘All roads lead to Rome’

10-02-2014 | Interview

Interest in factor investing - investing in systematic sources of return - is rapidly increasing. But how are pension funds incorporating factor investing into their portfolios and investment processes?

‘Factor investing will unleash a revolution’

06-02-2014 | Interview

A revolution in investment management is about to happen due to factor investing, says Professor Andrew Ang. Factor benchmarks to assess investment managers will contribute hugely to this change.

Robeco’s residual momentum: less risky and more sustainable

25-10-2013 | Insight | Simon D. Lansdorp, Willem Jellema

Behavioral explanations of momentum suggest that momentum can be caused by overreaction or underreaction. The latter, which turns out to be less risky and more sustainable, is exploited in Robeco’s quantitative models.

Momentum from underreaction: less risky and more sustainable

25-10-2013 | Insight | Simon D. Lansdorp, Willem Jellema

What is the best approach to factor investing?

03-09-2013 | Insight | Joop Huij, PhD

Factor investing is gaining ground. In a special whitepaper “an introduction to factor investing” Robeco explains what it is and how to set up your investment portfolios accordingly.

Strategic Allocation to Commodity Factor Premiums

18-07-2013 | Research | David Blitz, PhD, Wilma de Groot, CFA

Commodities have become less popular for investors. They are wondering if the traditional arguments for investing in commodities – like diversification- still apply. This paper explores a better way to invest: by setting up a commodity factor portfolio

The momentum factor: the basics and Robeco’s solution

14-03-2013 | Insight | Willem Jellema

Momentum investing: the next game changer?

14-03-2013 | Insight | Willem Jellema

Investors are increasingly allocating strategically to factor premiums. But momentum has—so far—missed the party, thanks to its associated challenges. Willem Jellema looks at new ways to capture the momentum premium while eliminating the drawbacks.

Factor investing: from theory to practice

21-11-2012 | Insight | David Blitz, PhD

The theoretical returns of factors such as value, low-volatility and momentum are well documented. But how do you translate them into workable strategies? In this interview, David Blitz, Robeco’s Head of Quantitative Equities Research, explains how investor portfolios can benefit from factor investing.

The added value of factor investing

16-11-2012 | Insight | Tom Steenkamp

In this video, Investment Solutions’ Tom Steenkamp discusses Robeco research showing that the traditional small-cap, value, low-volatility and momentum factors not only improve equity portfolio efficiency but also work for credit and commodity portfolios.

Strategic allocations to factor premiums: the next big thing?

10-07-2012 | Insight | David Blitz, PhD

“Why limit yourself to the equity premium,” asks David Blitz, Head, Robeco Quantitative Equity Research, “when there are systematic factor strategies that outperform market-cap-weighted benchmarks?” Recent research from Robeco looks at how to translate the theory of factor premium investing into practice.

Share this page:

Expert in this field

Joop Huij, PhD
Head of Factor Investing Research

Factor investing strategies

Stay informed

85 years in asset management