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Over 25 years of applied quantitative innovation

Quant research 2012

Residual Equity Momentum for Corporate Bonds

17-08-2012 | Research | Daniël Haesen, CFA, Jeroen van Zundert, Patrick Houweling, PhD

Residual Equity Momentum for Corporate Bonds

Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive

01-06-2012 | Research | Pim van Vliet, PhD

An enhanced low-volatility strategy, which also provides exposure to valuation and sentiment factors, can improve returns by up to 6% a year.

On the nature and predictability of corporate bond returns

16-05-2012 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD

Corporate bond returns consist of two distinct components: an interest rate component, which is default-free and anti-cyclical, and a credit spread component, which is default-risky and pro-cyclical.

The mythical risk premium

16-05-2012 | Research | Eric Falkenstein, Ph.D

“The higher the risk, the more deluded the investors,” according to Eric Falkenstein, PhD, speaking at the Robeco 2012 Low-Volatility Investing seminar.

The low-risk anomaly in credits

01-04-2012 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD, Paul Beekhuizen, Peter Kwaak, Renxuan Wang, Sander Bus, Victor Verberk

In this Research Note we show that low-risk credits had superior risk-adjusted excess returns over the past 20 years.1 By selecting low-risk bonds from low-risk issuers, investors would have earned credit-like returns at substantially lower risk.

A proof of the optimality of volatility weighting over time

20-02-2012 | Research | Winfried Hallerbach, PhD

We provide a proof that volatility weighting over time increases the Sharpe or Information Ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher the risk-adjusted performance

Another look at the performance of actively managed equity mutual funds

14-02-2012 | Research | David Blitz, PhD, Joop Huij, PhD

In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds.

Low-volatility investing: a long-term perspective

16-01-2012 | Research | Pim van Vliet, PhD

The volatility effect is present in US stock returns in every decade from 1931-2009. During these decades, low-volatility stocks produced a positive absolute return, with lower risk than the market-capitalization-weighted index.

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