When equity factors drop their shorts
How can you best construct an equity market neutral portfolio using a factor-investing approach?
01-02-2021 | インサイト
Data sets – Volatility-sorted portfolios
This dataset file contains two volatility-sorted datasets going back to 1929.
31-12-2020 | 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.
21-12-2020 | インサイト
Quant solutions must look beyond the most conventional factors
Quant strategies have come under pressure over the past two years.
24-11-2020 | インタビュー
Will Value survive the quant winter?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020 | インサイト
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | ポッドキャスト
Equity styles and the Spanish flu
Covid-19 first appeared at the start of December 2019.
02-04-2020 | インサイト
When markets get tough, quant funds stick with their factors
As rules-based investors, quant investors exploit human reactions to market movements.
19-03-2020 | ビデオ
After a ‘terrific’ decade, what’s next for low-risk stocks?
The decade of 2010 to 2019 was an exceptional one for equity investors, in many ways.
05-03-2020 | インサイト
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | リサーチ
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
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
Strong hands needed to unlock the potential of factor investing
The average investor is not good at timing.
19-06-2019 | インサイト
Guide to low volatility investing
This new edition includes recent figures and a new section on income generation.
28-05-2019 | インサイト
Factor outperformance for more than two centuries
To be considered relevant, a factor must first and foremost be backed by ample empirical evidence.
12-02-2019 | リサーチ
Fama-French 5-factor model: why more is not always better
Fama and French have expanded their original 3-factor model by adding two factors.
15-09-2018 | インサイト
Risky CAPE ratios? Keep calm and reduce downside risk
High CAPE ratio levels do not signify an imminent end to the bull market.
27-07-2018 | インサイト
Quantitative investing with a simple formula
Quantitative investing should be easy to understand.
09-05-2018 | リサーチ
High dividend investing: buy them stable & strong
Stock price fluctuations tend to monopolize investors’ attention, on a daily basis.
24-04-2018 | インサイト
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 | リサーチ
Are low-volatility stocks becoming expensive?
Due to uncertainty in financial markets, low-volatility stocks are in high demand.
04-01-2018 | リサーチ
Investment lessons from the racetrack
11-10-2017 | 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
Chinese A-shares: does taking risk pay off?
Is risk rewarded on the Chinese A-share market?
27-07-2017 | リサーチ
The Risk-Return Paradox of Low-Volatility Investing
In recent years, low volatility has become a new investment style offering lower-risk, without reducing return.
25-04-2017 | ビデオ
‘Culture is a crucial factor in quant investing’
Quant investing is becoming more widely accepted.
13-12-2016 | インタビュー
Low Volatility in historical perspective: Fund investing since 1774
As portfolio managers of Robeco Conservative Equities, we want to place our role into a historical perspective and learn from the history of financial markets, and mutual funds in particular.
21-09-2016 | リサーチ
25-04-2016 | インサイト
Are all low vol stocks really that sensitive to interest rate risk?
Investors are still awaiting the first rate hike by the Federal Reserve since June 2006.
11-11-2015 | インサイト
Sustainability integration in Quantitative Equity strategies
Robeco is committed to sustainable investing.
10-03-2015 | インサイト