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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
There is more to factor investing than just Fama-French
There is more to factor investing than just Fama-French
The period of 2010-2019 was a lost decade for the five Fama-French factors, leading many to question whether Value was dead and whether Size had ever worked at all.
09-10-2020 | Video
Data sets - the idiosyncratic momentum factor
Data sets - the idiosyncratic momentum factor
A research-driven approach is at the core of everything we do.
23-06-2020 | Data sets
Podcast: Sommige factoren zijn meer gelijk dan andere
Podcast: Sommige factoren zijn meer gelijk dan andere
Is value verloren?
14-05-2020 | Podcast
When markets get tough, quant funds stick with their factors
When markets get tough, quant funds stick with their factors
As rules-based investors, quant investors exploit human reactions to market movements.
19-03-2020 | Video
Residualizing Momentum in China
Residualizing Momentum in China
Previous studies have reported weak results for standard Momentum strategies in China.
02-01-2019 | From the field
The strategic case for emerging markets factor investing
The strategic case for emerging markets factor investing
Factor premiums can be found in stock markets across the world, including emerging markets.
11-10-2018 | Research
Intrinsic Momentum is also important for bonds
Intrinsic Momentum is also important for bonds
Should investors also ‘residualize’ bond momentum?
18-04-2018 | From the field
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
Momentum in futures market
Momentum in futures market
Does momentum investing work with futures?
09-08-2017 | Visie
Using credit information for Quant Equity
Using credit information for Quant Equity
02-08-2017 | Research
The value of multiple momentum signals
The value of multiple momentum signals
The concept of Momentum is not only a basic principle of physics.
18-07-2017 | Research
Core Quant Equity: it's about risk, risk, risk
Core Quant Equity: it's about risk, risk, risk
Risk management plays a central role in our Core Quant strategies.
01-02-2017 | Visie
Finding the right set of strategies
Finding the right set of strategies
Allocation to factors has become increasingly popular in recent years, but practical implementation remains a puzzle for many investors.
30-01-2017 | Uitdagingen bij factorbeleggen
Volatility weighting applied to momentum strategies
Volatility weighting applied to momentum strategies
Volatility weighting is a form of risk management for investment strategies.
13-01-2017 | Research
Dynamic duration management in times of rising yields
Dynamic duration management in times of rising yields
Bond yields have declined to unprecedentedly low levels over the last three decades, resulting in stellar returns but also creating a more challenging outlook for the future.
07-12-2016 | Visie
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
Case studies factorbeleggen – de voordelen van maatwerkoplossingen
Case studies factorbeleggen – de voordelen van maatwerkoplossingen
Factorbeleggen – de beleggingsstrategie die ernaar streeft te profiteren van ‘verborgen’ rendementen op de financiële markten – wint snel aan populariteit.
06-07-2016 | Research
Smartbèta-indices: een efficiënte factorstrategie?
Smartbèta-indices: een efficiënte factorstrategie?
Smartbèta-indices zijn een populaire manier om een factorstrategie te implementeren.
06-07-2016 | Research
Het beste uit Momentum halen
Het beste uit Momentum halen
Er is sterk bewijs dat momentumbeleggen werkt.
29-03-2016 | Visie
Factor Investing in the Corporate Bond Market
Factor Investing in the Corporate Bond Market
We provide empirical evidence that the Size, Low-Risk, Value and Momentum factors have economically meaningful and statistically significant risk-adjusted returns in the corporate bond market.
11-12-2015 | Research
Can mutual funds successfully adopt factor investing strategies?
Can mutual funds successfully adopt factor investing strategies?
To the best of our knowledge, no study has been conducted on the added value of innovative investment strategies that incorporate academic insights.
24-11-2015 | Research
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
The beauty and the beast of value and momentum investing
The beauty and the beast of value and momentum investing
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.
22-07-2015 | Research
Factor investing works
Factor investing works
Factor investing is in vogue.
06-01-2015 | Research
Waarom factorbeleggen ook werkt voor bedrijfsobligaties
Waarom factorbeleggen ook werkt voor bedrijfsobligaties
Twee Robeco-researchers hebben als eersten het effect van factorpremies op bedrijfsobligaties onderzocht.
11-11-2014 | Visie
When factors disagree
When factors disagree
Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums.
30-09-2014 | Research
Robeco’s residual momentum: less risky and more sustainable
Robeco’s residual momentum: less risky and more sustainable
Behavioral explanations of momentum suggest that momentum can be caused by overreaction or underreaction.
25-10-2013 | Visie
The momentum factor: the basics and Robeco’s solution
The momentum factor: the basics and Robeco’s solution
14-03-2013 | Visie
Momentumbeleggen: : de volgende ‘game changer’?
Momentumbeleggen: : de volgende ‘game changer’?
Strategische allocatie naar factorpremies wint terrein onder beleggers.
14-03-2013 | Visie
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