spaines

Visión de mercado

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
Sustainable investing in equilibrium
Sustainable investing in equilibrium
This is a theoretical paper which investigates what happens if some investors care about ESG, while others do not, or care less.
10-06-2020 | From the field
Value ain’t dead
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Podcast: Some factors are more equal than others
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | Podcast
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 | Investigación
Appraising home bias exposure
Appraising home bias exposure
The home market bias is one of the clearest examples of behavioral biases among investors.
22-04-2020 | From the field
Cómo orientarse en el “zoo de los factores”
Cómo orientarse en el “zoo de los factores”
El número de factores identificados en la literatura académica se ha disparado.
27-03-2020 | Investigación
A review of 20 years of academic literature on mutual funds
A review of 20 years of academic literature on mutual funds
How skilled are asset managers?
19-03-2020 | From the field
Adjusting the Value factor for intangibles
Adjusting the Value factor for intangibles
The standard academic definition for the Value factor is the ratio of book-value-to market-value (B/M).
19-02-2020 | From the field
Transferir el problema a otros a través de las exclusiones
Transferir el problema a otros a través de las exclusiones
¿Las exclusiones funcionan?
03-02-2020 | Investigación
Is shared analyst coverage the source of all spillover effects?
Is shared analyst coverage the source of all spillover effects?
A wide range of spillover effects has been documented in the academic literature.
22-01-2020 | From the field
Una nueva perspectiva sobre el efecto de la volatilidad
Una nueva perspectiva sobre el efecto de la volatilidad
A lo largo de la última década, el estilo de inversión de baja volatilidad ha ganado mucha popularidad.
06-01-2020 | Investigación
Index investing: passive in name only
Index investing: passive in name only
Not all index-based products are alike.
18-12-2019 | From the field
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 | Investigación
A Low-Risk anomaly also in the crowdlending market
A Low-Risk anomaly also in the crowdlending market
The existence of a low-risk anomaly has been firmly established for stocks and corporate bonds.
27-11-2019 | From the field
Los ETF siguen sin demostrar que pueden superar a los fondos activos
Los ETF siguen sin demostrar que pueden superar a los fondos activos
La opinión generalizada es que los fondos cotizado (ETF) constituyen una alternativa barata y atractiva a los fondos de inversión de gestión activa.
07-10-2019 | Investigación
CO2 emissions and the pricing of climate risk
CO2 emissions and the pricing of climate risk
Does lower sustainability mean lower returns?
23-09-2019 | From the field
The active world of passive investing
The active world of passive investing
Thought exchange-traded funds (ETFs) were passive?
11-09-2019 | From the field
Robeco’s Blitz wins award for low volatility article
Robeco’s Blitz wins award for low volatility article
Robeco’s Head of Quant Research has won a prestigious award for an article on hedge funds and the low volatility anomaly.
04-09-2019 | Visión
Short-term factor momentum
Short-term factor momentum
The evidence for the existence of various factor premiums is strong.
21-08-2019 | From the field
A backtesting protocol in the era of machine learning
A backtesting protocol in the era of machine learning
Is machine learning really a game changer for finance?
08-08-2019 | From the field
Seasonal patterns in individual stock returns
Seasonal patterns in individual stock returns
New insights on monthly stock return patterns.
10-07-2019 | From the field
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 | Investigación
Good shepherds do not succumb to herding behavior
Good shepherds do not succumb to herding behavior
Thought crowds were wise?
19-06-2019 | From the field
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 | Investigación
Do mutual funds with good sustainability scores attract more assets?
Do mutual funds with good sustainability scores attract more assets?
In March of 2016, Morningstar first published sustainability ratings (globes), for over 20,000 mutual funds.
08-05-2019 | From the field
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 | Investigación
Are mutual funds on the other side of the low volatility trade?
Are mutual funds on the other side of the low volatility trade?
This new research helps to explain the existence of the low volatility anomaly.
03-04-2019 | From the field
It’s not about active or passive, but about costs
It’s not about active or passive, but about costs
What if costs were the real issue in the heated active versus passive debate?
06-03-2019 | From the field
Low risk in China
Low risk in China
Does low-risk investing work with A-shares?
13-02-2019 | From the field