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L’effet volatilité revisité
L’effet volatilité revisité
La faible volatilité est devenue un style d’investissement populaire ces dix dernières années.
06-01-2020 | Recherche
Data sets – historical returns of the market portfolio
Data sets – historical returns of the market portfolio
A research-driven approach is at the core of everything we do.
06-01-2020 | Data sets
Mesurer le risque de crédit avec la Duration Times Spread (DTS)
Mesurer le risque de crédit avec la Duration Times Spread (DTS)
Mesurer le risque avec exactitude est difficile pour les investisseurs en crédits.
10-12-2019 | Vision
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 | Vision
Duration Times Spread: a measure of spread exposure in credit portfolios
Duration Times Spread: a measure of spread exposure in credit portfolios
Duration Times Spread (DTS) is the market standard method for measuring the credit volatility of a corporate bond.
22-06-2019 | Recherche
Les caractéristiques de l’investissement factoriel
Les caractéristiques de l’investissement factoriel
Pour bénéficier au mieux de l’investissement factoriel, il est essentiel de comprendre comment les facteurs fonctionnent et interagissent.
14-06-2019 | Recherche
Hedge funds and the low volatility trade
Hedge funds and the low volatility trade
The low volatility anomaly has long been used by Robeco’s quant funds to generate higher returns at lower risk.
30-08-2018 | Recherche
Une formule simple pour l’investissement quantitatif
Une formule simple pour l’investissement quantitatif
L’investissement quantitatif devrait être facile à comprendre.
09-05-2018 | Recherche
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 | Recherche
La stabilité du portefeuille : une vertu de la faible volatilité
La stabilité du portefeuille : une vertu de la faible volatilité
Les transactions sont nécessaires pour poursuivre une stratégie de gestion active.
24-01-2018 | Recherche
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 | Recherche
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 | Recherche
Research reveals why sin stocks outperform
Research reveals why sin stocks outperform
sin stocks’ outperformance has finally been unraveled.
11-09-2017 | Recherche
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 | Recherche
Investissement factoriel: le risque de surconcentration reste limité
Investissement factoriel: le risque de surconcentration reste limité
Le risque de surconcentration est l’une des principales préoccupations des investisseurs peu convaincus par l’investissement factoriel et le smart bêta.
03-07-2017 | Recherche
Volatility weighting applied to momentum strategies
Volatility weighting applied to momentum strategies
Volatility weighting is a form of risk management for investment strategies.
13-01-2017 | Recherche
Factor Investing with smart beta indices
Factor Investing with smart beta indices
Smart beta indices are a popular way of implementing a factor investing strategy.
06-07-2016 | Recherche
The Value of Low Volatility
The Value of Low Volatility
The evidence for the existence of a distinct Low Volatility effect is mounting.
15-05-2016 | Recherche
Can mutual funds successfully adopt factor investing strategies?
Can mutual funds successfully adopt factor investing strategies?
To the best of our knowledge, no study has been conducted on the added value of innovative investment strategies that incorporate academic insights.
24-11-2015 | Recherche
Forecasting sovereign default risk with Merton’s model
Forecasting sovereign default risk with Merton’s model
We provide an extensive empirical study into the Gray, Merton, and Bodie (2007) structural model for sovereigns.
15-10-2015 | Recherche
Factor investing revisited
Factor investing revisited
Does strategic allocation to well-know factors really work?
15-09-2015 | Recherche
Is rebalancing the source of factor premiums?
Is rebalancing the source of factor premiums?
Some argue that the mere mechanism of rebalancing increases returns, and that this explains the success of factor investment strategies.
14-08-2015 | Recherche
Emerging government bond market timing
Emerging government bond market timing
Research shows factors can help predict bonds returns in developed markets.
15-01-2015 | Recherche
The Dark Side of Passive Investing
The Dark Side of Passive Investing
Passive investing ranks among the most successful innovations of modern finance.
15-11-2014 | Recherche
On the expected performance of market timing strategies
On the expected performance of market timing strategies
We derive expressions for the information ratio (IR) that can be expected from directional market-timing strategies.
14-11-2014 | Recherche
Strategic Allocation to Commodity Factor Premiums
Strategic Allocation to Commodity Factor Premiums
Commodities have become less popular for investors.
30-09-2014 | Recherche
Why is there a volatility effect?
Why is there a volatility effect?
Robeco’s David Blitz, Pim van Vliet and author Eric Falkenstein publish their paper ‘Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions’.
30-04-2014 | Recherche
Ibbotson’s default premium: Risky data
Ibbotson’s default premium: Risky data
The default premium calculated in Ibbotson’s dataset is widely used in empirical research.
14-06-2013 | Recherche
On the performance of fixed income exchange-traded funds
On the performance of fixed income exchange-traded funds
Are fixed income exchange-traded funds (ETFs) really able to track their benchmarks?
15-06-2012 | Recherche
Strategic allocation to premiums in the equity market
Strategic allocation to premiums in the equity market
Investors typically include equities in their asset allocation to earn the expected equity premium.
15-04-2012 | Recherche
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