More about factor investing
Factor investing, which advocates looking beyond traditional asset classifications and allocating to factor premiums such as size, value, momentum and low volatility, is taking ground. Institutional investors are increasingly allocating strategically to factor premiums.
Numerous studies in the stream of literature on empirical asset pricing have shown that stocks with certain factor characteristics deliver superior risk-adjusted returns. Examples of such factor premiums include the value effect, the momentum effect, and the low-volatility effect.
Since 2005, Robeco has concentrated on analyzing, evaluating and designing various factor strategies. We found it is of crucial importance to understand the source of a factor premium. Furthermore, we identified and solved key issues with efficient implementation. They include removing unrewarded risks and limiting unnecessary turnover.
We used our findings to efficiently implement factor strategies. Since 2006 Robeco manages Conservative Equity strategies to capture the low-volatility premium for equities. At the beginning of 2012, we introduced Robeco Conservative Credits as our low-volatility solution for credit markets. As of August 2012, we also offer Robeco Momentum Equities as our solution to efficiently harvest the momentum factor. Finally, in December 2013 we introduced Robeco Value Equities to efficiently harvest the value factor.