Middle East & Africa
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
It’s not about active or passive, but about costs
What if costs were the real issue in the heated active versus passive debate?
06-03-2019 | From the field
Low risk in China
Does low-risk investing work with A-shares?
13-02-2019 | From the field
Size and Value in China
Factor investing in A-share markets?
06-12-2018 | From the field
Lessons from our 2018 ‘Super Quant’ internships
Top-notch investment strategies require top-notch research.
05-12-2018 | リサーチ
Thought smart beta indices had unlimited capacity? Think again!
Following smart beta indices is a popular way to implement factor investing.
06-11-2018 | リサーチ
In this paper Eugene Fama and Kenneth French look at the importance of volatility over longer investment horizons.
01-08-2018 | From the field
Big data & AI pose challenges for quant investors
The advent of big data and artificial intelligence (AI) has emerged as a major game-changer for the financial industry.
03-07-2018 | インサイト
Transitioning from procyclical to countercyclical behavior
Are large institutional investors pro- or countercyclical?
02-05-2018 | From the field
Failing to capture factor premiums because of poor timing
Looking for an explanation to the value effect?
04-04-2018 | From the field
Here’s the proof: benchmarking contributes to the low-volatility anomaly
Benchmark followers amplify the low volatility effect.
07-03-2018 | From the field
No place for Liquidity in our set of relevant equity factors
A number of academic studies suggest that illiquid stocks should outperform liquid stocks to compensate for higher risk.
28-02-2018 | リサーチ
26-02-2018 | インサイト
Tweaking a popular low volatility index
Investment solutions based on popular smart beta indices have enjoyed tremendous success.
14-02-2018 | From the field
Quant research at Robeco: From theory to practice
David Blitz explains why quantitative research is so important for Robeco and the investment solutions it creates.
06-02-2018 | ビデオ
Why ETFs can be more expensive than you think
The recent rise of passive and smart beta strategies has resulted mainly from the success of ETFs.
24-01-2018 | From the field
Anomalies remain strong in international equity markets after publication
One oft-heard concern on factor investing is that factors could be arbitraged away.
03-01-2018 | From the field
28-12-2017 | Column
Next time, ask your fund manager what kind of car they drive
Tell me what car you drive and I will tell you who you are.
13-12-2017 | From the field
Institutional asset managers add value... by using factors
Are factors the future of active asset management?
22-11-2017 | From the field
Solvency II encourages risk-seeking behavior
Solvency II regulation should prevent insurance companies from going bankrupt.
02-10-2017 | リサーチ
Research reveals why sin stocks outperform
sin stocks’ outperformance has finally been unraveled.
11-09-2017 | リサーチ
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 | リサーチ
Ten misconceptions about smart beta investing
This paper* attempts to debunk no fewer than ten myths about smart beta.
07-06-2017 | From the field
The siren song of factor timing
Timing when to enter and exit factors seems to be the holy grail of quant investing.
26-04-2017 | From the field
Smart beta is no monkey business
It has been argued that all smart beta strategies generate positive exposure to value and small-cap stocks in much the same way as randomly generated portfolio strategies do.
05-04-2017 | From the field
The smart beta ETF vogue is no threat to factor investing
The success of smart beta ETFs has raised concerns over a possible ‘overcrowding’ of factor strategies.
29-03-2017 | リサーチ
Decomposing fundamental indexation?
Previous studies have shown that the value added by fundamental indexation strategies is entirely driven by their implicit exposure to the classic value premium.
22-03-2017 | From the field
Is smart beta performance driven by rising valuations?
Rob Arnott, argues that the good recent performance of many smart beta strategies has mainly been driven by rising valuations.
08-03-2017 | From the field