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Over 25 years of applied quantitative innovation

Quant research 2013

How to combine factors in the duration model?

26-07-2013 | Research | Johan Duyvesteyn, PhD, CFA, Martin Martens, PhD, Olaf Penninga

The duration model combines multiple factors. The model is used to predict government bond returns and fully determines the active positions in the funds Robeco Lux-o-rente, Robeco Flex-o-rente and Robeco Emerging Lux-o-rente.The performance of the model is continuously monitored and analyzed to strive for further enhancements. This whitepaper discusses the impact of an enhanced approach on the balance and the robustness of the model.

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

Surprising results of lower volatility equities in emerging markets

01-05-2013 | Research | David Blitz, PhD, Pim van Vliet, PhD

Emerging markets have become increasingly important to equity investors due to their fast growing economies. But what is the relationship between risk and return in these markets? Answer: it is flat or even negative. Empirical results show that the volatility effect - long-term equity returns at distinctly lower downside risk - is significant, robust and distinct.

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