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Quant chart: Winning by losing less
Quant chart: Winning by losing less
Low-risk investing tends to deliver higher risk-adjusted long-term returns than the market as it tallies wins by losing less in down periods.
21-07-2022 | Visie
Conservatief beleggen doorstaat de tand des tijds
Conservatief beleggen doorstaat de tand des tijds
Conservatief beleggen (ook wel defensief of risicomijdend beleggen) draait om winnen door minder te verliezen.
23-05-2022 | Visie
Shrunk betas can fortify Low-risk portfolios
Shrunk betas can fortify Low-risk portfolios
Research shows that beta forecasts are improved by shrinking correlations more than relative volatilities.
17-02-2022 | Research
Research on pre-1926 database reveals equity factors are ‘eternal’
Research on pre-1926 database reveals equity factors are ‘eternal’
New research reveals that equity factor styles have existed and persisted since the mid-19th century.
21-12-2021 | Research
Low Volatility tart de financiële grondbeginselen van risico en rendement
Low Volatility tart de financiële grondbeginselen van risico en rendement
In tegenstelling tot wat vaak wordt gedacht, leveren risicovollere beleggingen niet per se een hoger rendement op.
12-11-2021 | Visie
Risky CAPE: Is there an alternative?
Risky CAPE: Is there an alternative?
The prospect of rising real yields could accentuate the elevated nature of equity market valuations.
01-11-2021 | Visie
The quant cycle
The quant cycle
Equity factors follow their own sentiment-driven cycle that cannot be explained by traditional business cycle indicators.
19-10-2021 | Research
Some factors are now more equal than others
Some factors are now more equal than others
There is no free lunch when it comes to harvesting factor premiums.
06-10-2021 | 5-jaars vooruitblik
What valuations and interest rates tell us about equity factors
What valuations and interest rates tell us about equity factors
Single and multi-factor equity portfolios are currently very attractively valued and factor premiums persist across interest rate cycles.
04-10-2021 | Visie
Low Volatility investing: now more than ever
Low Volatility investing: now more than ever
Low Volatility strategies can handle changes in the investment landscape.
01-06-2021 | Visie
The Low Volatility effect in China
The Low Volatility effect in China
In our recent study, we uncover the presence of a strong Low Volatility effect in the Chinese A-share market.
19-05-2021 | Visie
ETFs have yet to prove that they can beat active funds
ETFs have yet to prove that they can beat active funds
Exchange-traded funds (ETFs) are commonly regarded as efficient, low-cost alternatives to actively managed mutual funds.
18-02-2021 | Research
Factor investing – going beyond Fama and French
Factor investing – going beyond Fama and French
There is more to factor investing than the standard academic factors, says Head of Quant Research David Blitz.
02-11-2020 | 5-jaars vooruitblik
Wat staat aandelen met laag risico te wachten na ‘geweldig’ decennium?
Wat staat aandelen met laag risico te wachten na ‘geweldig’ decennium?
Het afgelopen decennium was in vele opzichten uitzonderlijk voor aandelenbeleggers.
05-03-2020 | Visie
The volatility effect revisited
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | Research
Guide to low volatility investing
Guide to low volatility investing
This new edition includes recent figures and a new section on income generation.
28-05-2019 | Visie
Looking for defensive European stocks? Follow the guide...
Looking for defensive European stocks? Follow the guide...
In order to thrive, quant strategies do not necessarily have to be black boxes.
28-05-2019 | Visie
‘De voordelen van laagvolatiel beleggen zie je pas achteraf’
‘De voordelen van laagvolatiel beleggen zie je pas achteraf’
In onze nieuwste podcast bespreekt Pim van Vliet, hoofd van Global Conservative Equities, de voordelen van laagvolatiel beleggen.
29-04-2019 | Podcast
Short maturity = laag risico, minder volatiliteit
Short maturity = laag risico, minder volatiliteit
Toenemende volatiliteit en een stijgende rente – niet bepaald een combinatie waar risicomijdende creditbeleggers op zitten te wachten.
23-05-2018 | Visie
Fama-French 5-factor model: five major concerns
Fama-French 5-factor model: five major concerns
In 2015, Nobel prize laureate Eugene Fama and fellow researcher Kenneth French revamped their famous 3-factor model.
27-03-2018 | Research
Low turnover: a virtue of low volatility
Low turnover: a virtue of low volatility
Trading is necessary to follow an active strategy, but excessive trading is linked to human behavior.
24-01-2018 | Research
Investment lessons from the racetrack
Investment lessons from the racetrack
Misperceptions matter.
11-10-2017 | From the field
Vijf zorgen over low volatility index-ETF’s
Vijf zorgen over low volatility index-ETF’s
Aandelenbeleggers die een lage volatiliteit nastreven, kunnen kiezen tussen actieve managers en index-ETF’s.
27-06-2017 | Research
Is the relationship between risk and return positive or negative?
Is the relationship between risk and return positive or negative?
This paper challenges the earlier work of Fu (2009).
16-11-2016 | From the field
What is factor investing?
What is factor investing?
Although Factor Investing is rapidly gaining popularity, there are still ongoing debates about this concept.
15-09-2016 | Visie
The profitability of low volatility
The profitability of low volatility
Some people argue that the low risk anomaly can be explained by ‘profitability’, an example of a ‘quality’ factor.
08-09-2016 | Research
De definitie van de factor Quality
De definitie van de factor Quality
Robeco heeft de factor Quality toegevoegd aan de lijst met factoren die wordt gebruikt bij het opbouwen van aandelenportefeuilles voor zijn factorstrategie.
11-07-2016 | Research
Bewijs lage volatiliteit gaat terug tot 1873
Bewijs lage volatiliteit gaat terug tot 1873
Aangezien er steeds meer nieuwe historische databases beschikbaar komen, zijn er geweldige mogelijkheden om out-of-sample te testen op marktafwijkingen.
15-02-2016 | Visie
Robeco Emerging Conservative Equities: an uncommon but proven combination of 3 factors
Robeco Emerging Conservative Equities: an uncommon but proven combination of 3 factors
Emerging markets are going through a volatile period, but the defensive investment strategy of Robeco Emerging Conservative Equities is proving its worth by outperforming the index.
12-11-2015 | Visie
Is rebalancing the source of factor premiums?
Is rebalancing the source of factor premiums?
Some argue that the mere mechanism of rebalancing increases returns, and that this explains the success of factor investment strategies.
14-08-2015 | Research
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