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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
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.
20-11-2019 | Investigación
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
Inversión sostenible: construyendo un futuro con rentabilidades potentes
Inversión sostenible: construyendo un futuro con rentabilidades potentes
Descubra el poder de la IS
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
Escapar del laberinto de los espejos
Escapar del laberinto de los espejos
Saber más ...
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
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
Size and Value in China
Size and Value in China
Factor investing in A-share markets?
06-12-2018 | From the field
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 | Investigación
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 | Investigación
Using crowdsourced employer reviews to select stocks
Using crowdsourced employer reviews to select stocks
Can crowdsourced data help investors take better decisions?
28-09-2018 | From the field
La inversión pasiva y la sostenibilidad son incompatibles
La inversión pasiva y la sostenibilidad son incompatibles
La inversión sostenible implica tomar decisiones de gestión activa, por lo que no puede realizarse de forma puramente pasiva, según los especialistas cuantitativos de Robeco.
18-09-2018 | Visión
Fama-French 5-factor model: why more is not always better
Fama-French 5-factor model: why more is not always better
Fama and French have expanded their original 3-factor model by adding two factors.
15-09-2018 | Visión
Selecting managers based on their past performance
Selecting managers based on their past performance
Is past performance of any use for investors?
28-08-2018 | From the field
Volatility lessons
Volatility lessons
In this paper Eugene Fama and Kenneth French look at the importance of volatility over longer investment horizons.
01-08-2018 | From the field
The value of visibility
The value of visibility
This paper analyzes the relation between firm visibility and stock returns.
04-07-2018 | From the field
Big data e IA plantean multitud de retos para los inversores cuantitativos
Big data e IA plantean multitud de retos para los inversores cuantitativos
La llegada de las tecnologías de big data e inteligencia artificial (IA) está sacudiendo los mismos cimientos del sector financiero.
03-07-2018 | Visión
The misguided beliefs of financial advisors
The misguided beliefs of financial advisors
Financial advice for private investors has been criticized to be costly or of low quality.
06-06-2018 | From the field