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Value investing

From the field: A long-term perspective

30-11-2016 | David Blitz, PhD

The 2015 edition of the Global Investment Returns Yearbook contained several interesting long-term analyses. One chapter documents the existence of value and momentum effects for US and UK industry returns since 1900. This is yet another confirmation of the seemingly universal presence of these two effects.

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.

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.

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: 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.

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.

Five reasons why value will be back with a vengeance

24-03-2016 | Insight | Mark Donovan, David Pyle

Value investors have had a rough ride over the past 18 months, but the tide may now be turning due to five major catalysts, says US fund manager Mark Donovan.

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.

Unlocking global opportunities in equities

12-01-2016 | Interview

In a recent webinar, Funds Europe spoke to Chris Hart, portfolio manager of the Robeco Boston Partners Global Premium Equities Fund, about how he seeks to tap into global opportunities from a value and growth perspective.

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.

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.

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: Value and momentum profits declining?

24-06-2015 | Insight | David Blitz, PhD

A paper argues that many popular return anomalies have materially diminished in strength and significance over time. Are value and momentum profits declining?

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.

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.

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.

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Expert in this field

Maarten Polfliet
Senior Portfolio Manager


Value strategy