Los factores de la renta variable siguen su propio ciclo basado en el sentimiento, que no se explica con los indicadores de ciclo económico tradicionales.
19-10-2021
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Investigación
Looking under the bonnet of passive thematic indices
Passive thematic indices effectively trade against quant investors due to their generally negative exposures to factors.
12-10-2021
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Visión
Podcast: Why quant fixed income is a great diversifier
While many quant equity strategies have struggled over the past few years, the performance of quant credits has been robust.
08-10-2021
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Podcast
Some factors are now more equal than others
There is no free lunch when it comes to harvesting factor premiums.
06-10-2021
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Perspectiva a 5 años
What valuations and interest rates tell us about equity factors
Single and multi-factor equity portfolios are currently very attractively valued and factor premiums persist across interest rate cycles.
04-10-2021
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Visión
Are credit factor premiums robust to inflation?
With inflation worries having gained momentum, we investigate how inflation has affected credit factor premiums in the past.
Our simulations show we can do this without materially reducing factor exposures and hence the alpha potential.
29-06-2021
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Visión
Mostrando el camino hacia la alineación de las inversiones con los Acuerdos de París
Ha comenzado la “carrera hacia el cero”.
10-06-2021
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Visión
Podcast: Navigating change and challenge in the asset management industry
It’s never a dull moment in the asset management industry.
04-06-2021
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Podcast
Inversión de baja volatilidad: ahora más que nunca
Las estrategias de baja volatilidad pueden adaptarse a los cambios en el entorno de inversión.
01-06-2021
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Visión
The Low Volatility effect in China
In our recent study, we uncover the presence of a strong Low Volatility effect in the Chinese A-share market.
19-05-2021
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Visión
Spring has sprung for Value investing
Despite the recent rally in cheap stocks, we believe the Value upswing still has a way to go.
12-05-2021
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Visión
The rising tide of Value won’t lift all boats equally
The recent Value upswing has provided renewed hope of a comeback and ideal conditions for deep and consistent exposures to the style.
25-03-2021
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Visión
Data sets – factor investing in corporate bonds
A research-driven approach is at the core of everything we do.
01-03-2021
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Data sets
Spring has to come simply because economic fundamentals require it
How do you perceive the quant equity winter?
26-02-2021
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Entrevista
ETFs have yet to prove that they can beat active funds
Exchange-traded funds (ETFs) are commonly regarded as efficient, low-cost alternatives to actively managed mutual funds.
18-02-2021
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Investigación
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The 2018-2020 quant equity crisis posed an exceptional challenge to quantitative managers due to a rare combination of circumstances.
16-02-2021
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Investigación
What’s up with Momentum?
Momentum had its ‘shot of momentum’ in 2020.
04-02-2021
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Visión
When equity factors drop their shorts
How can you best construct an equity market neutral portfolio using a factor-investing approach?
01-02-2021
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Visión
Debates sobre Factor Investing: Big Data e IA: ¿un nuevo amanecer para la inversión cuantitativa?
El Factor Investing se basa en décadas de estudios empíricos, que son de dominio público.
11-01-2021
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Visión
Data sets - the idiosyncratic momentum factor
A research-driven approach is at the core of everything we do.
31-12-2020
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Data sets
Has Low Volatility lost its mojo?
2020 has been a difficult year for Low Volatility investors and this year’s performance has been truly challenging, amounting to a period of soul searching.
21-12-2020
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Visión
Podcast: Why I believe the quant winter will end
Will value stocks make a comeback in 2021?
17-12-2020
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Podcast
Investors should always strive to understand observed performance
Mathijs van Dijk is Professor of Financial Markets at the Rotterdam School of Management, Erasmus University.
