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Over 25 years of applied quantitative innovation

Quant research 2016

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.

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?

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.

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.

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