italyit

Approfondimenti

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
Solvency regulations and low-risk investing: comparing the Nordics with the Netherlands
Solvency regulations and low-risk investing: comparing the Nordics with the Netherlands
Pension regulations in the Nordic countries and the Netherlands are similar to insurance regulation in the European Union.
11-02-2020 | Visione
Le esclusioni potrebbero semplicemente trasferire i problemi
Le esclusioni potrebbero semplicemente trasferire i problemi
Le esclusioni funzionano?
03-02-2020 | Ricerca
The volatility effect revisited
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | Ricerca
Duration Times Spread: measuring credit risk
Duration Times Spread: measuring credit risk
Accurately measuring credit risk is a significant challenge for credit investors.
10-12-2019 | Ricerca
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 | Visione
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 | Ricerca
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 | Ricerca
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 | Ricerca
Quantitative investing with a simple formula
Quantitative investing with a simple formula
Quantitative investing should be easy to understand.
09-05-2018 | Ricerca
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 | Ricerca
Low turnover: a virtue of low volatility
Low turnover: a virtue of low volatility
Trading is necessary to follow an active strategy, but excessive trading is linked to human behavior.
24-01-2018 | Ricerca
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 | Ricerca
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 | Ricerca
Research reveals why sin stocks outperform
Research reveals why sin stocks outperform
sin stocks’ outperformance has finally been unraveled.
11-09-2017 | Ricerca
Factor investing: limited overcrowding risk
Factor investing: limited overcrowding risk
A key concern often voiced by factor investing and smart beta sceptics is the possible risk of overcrowding.
03-07-2017 | Ricerca
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 | Ricerca
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 | Ricerca
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 | Ricerca
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 | Ricerca
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 | Ricerca
Factor investing revisited
Factor investing revisited
Does strategic allocation to well-know factors really work?
15-09-2015 | Ricerca
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 | Ricerca
Emerging government bond market timing
Emerging government bond market timing
Research shows factors can help predict bonds returns in developed markets.
15-01-2015 | Ricerca
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 | Ricerca
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 | Ricerca
Strategic Allocation to Commodity Factor Premiums
Strategic Allocation to Commodity Factor Premiums
Commodities have become less popular for investors.
30-09-2014 | Ricerca
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 | Ricerca
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 | Ricerca
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 | Ricerca
Logo

Disclaimer

Confermo di essere un cliente professionale

Le informazioni e le opinioni contenute in questa sezione del Sito cui sta accedendo sono destinate esclusivamente a Clienti Professionali come definiti dal Regolamento Consob n. 16190 del 29 ottobre 2007 (articolo 26 e Allegato 3) e dalla Direttiva CE n. 2004/39 (Allegato II), e sono concepite ad uso esclusivo di tali categorie di soggetti. Ne è vietata la divulgazione, anche solo parziale.

Al fine di accedere a tale sezione riservata, si prega di confermare di essere un  Cliente Professionale, declinando Robeco qualsivoglia responsabilità in caso di accesso effettuato da una persona che non sia un cliente professionale.

In ogni caso, le informazioni e le opinioni ivi contenute non costituiscono un'offerta o una sollecitazione all'investimento e non costituiscono una raccomandazione o consiglio, anche di carattere fiscale, o un'offerta, finalizzate all'investimento, e non devono in alcun caso essere interpretate come tali.

Prima di  ogni investimento, per una descrizione dettagliata delle caratteristiche, dei rischi e degli oneri connessi, si raccomanda di esaminare il Prospetto, i KIIDs delle classi autorizzate per la commercializzazione in Italia, la relazione annuale o semestrale e lo Statuto, disponibili sul presente Sito o presso i collocatori.
L’investimento in prodotti finanziari è soggetto a fluttuazioni, con conseguente variazione al rialzo o al ribasso dei prezzi, ed è possibile che non si riesca a recuperare l'importo originariamente investito.

Rifiuto