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 | Column
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 | 5ヵ年アウトルック
Restoring the battered Value factor in equities
The recent dreadful performance of the academic Value equity factor has been a blow for many investors.
20-10-2020 | インサイト
Low-risk stocks behave like bonds
Low-risk stocks are very bond-like.
13-10-2020 | リサーチ
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 | ビデオ
Settling the Size matter in equities
The equity Size premium has failed to materialize since its discovery, almost forty years ago.
23-09-2020 | リサーチ
Data sets - the idiosyncratic momentum factor
A research-driven approach is at the core of everything we do.
23-06-2020 | Data sets
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 | From the field
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | ポッドキャスト
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.
28-04-2020 | リサーチ
Appraising home bias exposure
The home market bias is one of the clearest examples of behavioral biases among investors.
22-04-2020 | From the field
How to navigate the equity ‘factor zoo’
The number of equity factors reported in the academic literature has exploded.
27-03-2020 | リサーチ
A review of 20 years of academic literature on mutual funds
How skilled are asset managers?
19-03-2020 | From the field
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
Exclusions may simply be transferring a problem
Do exclusions work?
03-02-2020 | リサーチ
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | リサーチ
Index investing: passive in name only
Not all index-based products are alike.
18-12-2019 | From the field
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 | リサーチ
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
ETFs have yet to prove that they can beat active funds
Conventional wisdom has it that exchange-traded funds (ETFs) are an attractive, low-cost alternative to actively managed mutual funds.
07-10-2019 | リサーチ
The active world of passive investing
Thought exchange-traded funds (ETFs) were passive?
11-09-2019 | From the field
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 | インサイト
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
Is machine learning really a game changer for finance?
08-08-2019 | From the field
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 | リサーチ
Good shepherds do not succumb to herding behavior
Thought crowds were wise?
19-06-2019 | From the field
The characteristics of factor investing
To make the most of factor investing, understanding how factors work and interact is key.
14-06-2019 | リサーチ
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
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