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.
Investors should always strive to understand observed performance
Mathijs van Dijk is Professor of Financial Markets at the Rotterdam School of Management, Erasmus University.
02-12-2020
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Entrevista
Quant solutions must look beyond the most conventional factors
Quant strategies have come under pressure over the past two years.
24-11-2020
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Entrevista
Long read: Why I am more bullish than ever on quant
Following more than two years of quant strategies generally underperforming sharply, investors are questioning whether quantitative investing is still viable.
11-11-2020
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Columna
Alinear las estrategias de crédito multifactor con los ODS
Presentamos la última innovación en nuestro enfoque de inversión sostenible.
03-11-2020
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Visión
Factor investing – going beyond Fama and French
There is more to factor investing than the standard academic factors, says Head of Quant Research David Blitz.
02-11-2020
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Perspectiva a 5 años
Restoring the battered Value factor in equities
The recent dreadful performance of the academic Value equity factor has been a blow for many investors.
There is more to factor investing than just Fama-French
The period of 2010-2019 was a lost decade for the five Fama-French factors, leading many to question whether Value was dead and whether Size had ever worked at all.
09-10-2020
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Vídeo
Settling the Size matter in equities
The equity Size premium has failed to materialize since its discovery, almost forty years ago.
23-09-2020
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Investigación
Will Value survive the quant winter?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020
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Visión
Factor investing debates: Should sustainability be considered a factor?
Factor investing and sustainability can make a good combination.
20-07-2020
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Visión
New study reveals: you can predict when interest rates will rise
Over the past decades, many empirical studies have examined the predictability of interest rates, so far with mixed results.
30-06-2020
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Visión
Factor investing debates: Should you time your factor exposures?
The debate on whether investors should tactically time their factor exposures is almost as old as the discovery of factors.
22-06-2020
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Visión
Defining Quality: separating the wheat from the chaff
Quality is a commonly accepted equity factor.
18-06-2020
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Investigación
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
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From the field
Solving the sustainable investment dilemma
Combining quant and sustainable investing efficiently requires expertise.
25-05-2020
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Entrevista
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020
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From the field
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020
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Podcast
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.
