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Insights

Factor investing: limited overcrowding risk
Factor investing: limited overcrowding risk
A key concern often voiced by factor investing and smart beta sceptics is the possible risk of overcrowding.
03-07-2017 | Interview
Ten misconceptions about smart beta investing
Ten misconceptions about smart beta investing
This paper* attempts to debunk no fewer than ten myths about smart beta.
07-06-2017 | From the field
Hedging climate risk
Hedging climate risk
The carbon footprint of a passive equity portfolio can be reduced by 50% without sacrificing returns.
17-05-2017 | From the field
The siren song of factor timing
The siren song of factor timing
Timing when to enter and exit factors seems to be the holy grail of quant investing.
26-04-2017 | From the field
Smart beta is no monkey business
Smart beta is no monkey business
It has been argued that all smart beta strategies generate positive exposure to value and small-cap stocks in much the same way as randomly generated portfolio strategies do.
05-04-2017 | From the field
The smart beta ETF vogue is no threat to factor investing
The smart beta ETF vogue is no threat to factor investing
The success of smart beta ETFs has raised concerns over a possible ‘overcrowding’ of factor strategies.
29-03-2017 | Research
Uncovering the 7 steps to ESG integration
Uncovering the 7 steps to ESG integration
Download the paper
Decomposing fundamental indexation?
Decomposing fundamental indexation?
Previous studies have shown that the value added by fundamental indexation strategies is entirely driven by their implicit exposure to the classic value premium.
22-03-2017 | From the field
Is smart beta performance driven by rising valuations?
Is smart beta performance driven by rising valuations?
Rob Arnott, argues that the good recent performance of many smart beta strategies has mainly been driven by rising valuations.
08-03-2017 | From the field
Active weight instead of active share?
Active weight instead of active share?
A 2015 study* argues that a simplified measure of activeness, termed active weight, is even more effective than active share.
21-02-2017 | From the field
Deactivating and reactivating active share
Deactivating and reactivating active share
A 2015 study challenged the usefulness of active share.
08-02-2017 | From the field
The virtue of patience
The virtue of patience
In a previous study, Cremers showed that high active share funds beat the market on average, while low active share funds (closet indexers) do not.
25-01-2017 | From the field
Hedge fund bets show Low Volatility is still far from overcrowded
Hedge fund bets show Low Volatility is still far from overcrowded
Thorough analysis of hedge fund data shows that, despite their flexible approach to investing, these funds tend to bet strongly against the low-volatility anomaly.
17-01-2017 | Research
The rise of Factor Investing,  is it just a hype?
The rise of Factor Investing, is it just a hype?
Watch the video
Harvesting the value premium
Harvesting the value premium
This paper* compares classic and new smart-beta indices that are designed to capture the value premium.
11-01-2017 | From the field
The case for the size premium
The case for the size premium
This AQR working paper argues that the size effect does, in fact, exist.
16-12-2016 | From the field
The case against the size premium
The case against the size premium
This Research Affiliates research note argues that the size premium does not exist.
14-12-2016 | From the field
Robeco Quarterly December 2016
Robeco Quarterly December 2016
Download the second edition of Robeco Quarterly, our 40-page magazine for professional investors, focusing on quant investing, sustainability investing and research.
01-12-2016 | Magazine
A long-term perspective
A long-term perspective
The 2015 edition of the Global Investment Returns Yearbook published by Credit Suisse contained several interesting long-term analyses.
30-11-2016 | From the field
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
Not only high-volatility stocks underperform
Not only high-volatility stocks underperform
One of the explanations for the low-volatility anomaly is that stocks with lottery-like characteristics (a small chance of experiencing a large positive payoff) are overpriced.
02-11-2016 | 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 | Insight
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
Year-to-date: Low-volatility evidence dating back to 1873
Year-to-date: Low-volatility evidence dating back to 1873
As new historical databases are opening up, there are great opportunities for out-of-sample tests of market anomalies.
15-08-2016 | Insight
Systematic investing in M&A: an alternative factor premium
Systematic investing in M&A: an alternative factor premium
Inspired by the recent surge in M&A activity, Deutsche Bank investigates a strategy which systematically invests in stocks that are the target of a publicly announced M&A deal.
03-08-2016 | From the field
Forensic accounting research
Forensic accounting research
Macquarie applies Benford’s law to identify firms which may be manipulating their accounting data, or perhaps even engaging in outright fraud.
20-07-2016 | From the field
Factor Investing with smart beta indices
Factor Investing with smart beta indices
Smart beta indices are a popular way of implementing a factor investing strategy.
06-07-2016 | Research
Accounting-based anomalies in the bond market
Accounting-based anomalies in the bond market
22-06-2016 | From the field
Robeco adds fourth factor Quality to its factor investing strategies
Robeco adds fourth factor Quality to its factor investing strategies
Investors increasingly decide to allocate strategically to factor premiums such as Value, Momentum and Low-Volatility.
15-06-2016 | Insight
A critical perspective on ETFs
A critical perspective on ETFs
ETFs are rapidly gaining popularity, but do they ultimately benefit private investors?
08-06-2016 | From the field
Do fund flows cause the value and momentum effects?
Do fund flows cause the value and momentum effects?
In this study the authors argue that the value and momentum effects may be the result of fund flows.
05-05-2016 | From the field
Smart beta = Dumb beta + Smart Marketing?
Smart beta = Dumb beta + Smart Marketing?
20-04-2016 | From the field