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Insights

Settling the Size matter in equities
Settling the Size matter in equities
The equity Size premium has failed to materialize since its discovery, almost forty years ago.
23-09-2020 | Research
Defining Quality: separating the wheat from the chaff
Defining Quality: separating the wheat from the chaff
Quality is a commonly accepted equity factor.
18-06-2020 | Research
Now more than ever, it’s time to think outside the Fama-French factor box
Now more than ever, it’s time to think outside the Fama-French factor box
2010-2019 was a lost decade for the Fama-French factors.
28-04-2020 | Research
How to navigate the equity ‘factor zoo’
How to navigate the equity ‘factor zoo’
The number of equity factors reported in the academic literature has exploded.
27-03-2020 | Research
The volatility effect revisited
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | Research
Short positions do not add value to factor investing strategies
Short positions do not add value to factor investing strategies
Common wisdom among academics and investors has it that factors are best harvested using both long and short positions.
09-12-2019 | Research
Media spotlight does not drive the Volatility effect in equities
Media spotlight does not drive the Volatility effect in equities
Investors’ appetite for stocks frequently mentioned in the news is often raised to explain the Volatility effect.
26-06-2019 | Research
The characteristics of factor investing
The characteristics of factor investing
To make the most of factor investing, understanding how factors work and interact is key.
14-06-2019 | Research
Robeco publishes a new book of collected articles on quant investing in EMs
Robeco publishes a new book of collected articles on quant investing in EMs
Our new publication ‘A quant approach to emerging markets investing – Collected Robeco articles’ is now available.
29-04-2019 | Research
The long-run value of Conservative Equities
The long-run value of Conservative Equities
Should low volatility investing just be about minimizing volatility?
01-03-2019 | Research
Factor outperformance for more than two centuries
Factor outperformance for more than two centuries
To be considered relevant, a factor must first and foremost be backed by ample empirical evidence.
12-02-2019 | Research
Crash testing the Fama-French factor model in emerging stock markets
Crash testing the Fama-French factor model in emerging stock markets
Factor investing works in emerging stock markets, as well as in developed markets.
10-12-2018 | Research
Lessons from our 2018 ‘Super Quant’ internships
Lessons from our 2018 ‘Super Quant’ internships
Top-notch investment strategies require top-notch research.
05-12-2018 | Research
Thought smart beta indices had unlimited capacity? Think again!
Thought smart beta indices had unlimited capacity? Think again!
Following smart beta indices is a popular way to implement factor investing.
06-11-2018 | Research
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
Robeco publishes a new book of collected articles on Quant Allocation
Robeco publishes a new book of collected articles on Quant Allocation
Our new publication ‘Quant Allocation – Collected Robeco articles’ is now available.
31-05-2018 | Research
Quantitative investing with a simple formula
Quantitative investing with a simple formula
Quantitative investing should be easy to understand.
09-05-2018 | Research
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
No place for Liquidity in our set of relevant equity factors
No place for Liquidity in our set of relevant equity factors
A number of academic studies suggest that illiquid stocks should outperform liquid stocks to compensate for higher risk.
28-02-2018 | 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
Are low-volatility stocks becoming expensive?
Are low-volatility stocks becoming expensive?
Due to uncertainty in financial markets, low-volatility stocks are in high demand.
04-01-2018 | Research
Risk Parity versus Mean-Variance: It’s all in the Views
Risk Parity versus Mean-Variance: It’s all in the Views
27-11-2017 | Research
Uncovering Trend Rules
Uncovering Trend Rules
This research paper, published in the Fall 2017 issue of the Journal of Alternative Investments, uncovers the return-weighting schemes implied by conventional price-moving averages, which are widely-used indicators in technical analysis.
30-09-2017 | Research
If you have said A, you must also say B: calculating diversified asset returns
If you have said A, you must also say B: calculating diversified asset returns
Evaluating assets based on their returns, individually, is one thing.
10-08-2017 | Research
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
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 | Research
Five concerns with low volatility index ETFs
Five concerns with low volatility index ETFs
Equity investors have a choice between active low volatility managers and low volatility index ETFs.
27-06-2017 | Research
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
New Enhanced Index fund: a global equity fund with tax benefits
New Enhanced Index fund: a global equity fund with tax benefits
Robeco has introduced a new version of the Enhanced Indexing fund for developed markets, which has been tax-optimized for Dutch retail investors.
13-12-2016 | Research
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