Factor investing debates: Do big data and AI herald a new dawn for quant?
Factor investing is based on decades of publicly available empirical studies.
11-01-2021
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インサイト
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
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インサイト
Podcast: Why I believe the quant winter will end
Will value stocks make a comeback in 2021?
17-12-2020
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ポッドキャスト
Investors should always strive to understand observed performance
Mathijs van Dijk is Professor of Financial Markets at the Rotterdam School of Management, Erasmus University.
02-12-2020
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インタビュー
Quant solutions must look beyond the most conventional factors
Quant strategies have come under pressure over the past two years.
24-11-2020
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インタビュー
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.
Trends investing: finding the winners among skewed equity returns
A tiny proportion of stocks account for most of the market’s returns.
19-10-2020
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5ヵ年アウトルック
The Big Book of trends and thematic investing
Trends and thematic investment strategies have enjoyed quite some popularity over the past few years.
15-10-2020
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リサーチ
Carbon pricing, asset allocation and climate goals
Assessing carbon risk in portfolios is a difficult but necessary task for investors.
12-10-2020
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5ヵ年アウトルック
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
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ビデオ
Addressing carbon risk in investor portfolios
Investors have a role to play in facilitating the transition to a low-carbon economy.
09-10-2020
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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
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リサーチ
Will Value survive the quant winter?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020
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インサイト
Factor investing debates: Should sustainability be considered a factor?
Factor investing and sustainability can make a good combination.
20-07-2020
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インサイト
New study reveals: you can predict when interest rates will rise
Over the past decades, many empirical studies have examined the predictability of interest rates, so far with mixed results.
30-06-2020
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インサイト
Data sets - the idiosyncratic momentum factor
A research-driven approach is at the core of everything we do.
23-06-2020
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Data sets
Factor investing debates: Should you time your factor exposures?
The debate on whether investors should tactically time their factor exposures is almost as old as the discovery of factors.
22-06-2020
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インサイト
Defining Quality: separating the wheat from the chaff
Quality is a commonly accepted equity factor.
18-06-2020
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リサーチ
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
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From the field
ファクター投資：中小型株ティルトのメリットは復活するか
2020年3月の市場急落局面では、中小型株が特に大きく売られました。
27-05-2020
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インサイト
Reducing the carbon intensity of multi-factor credits strategies
Quantitative investment strategies lend themselves well to integrating secondary objectives, such as reducing carbon intensity.
27-05-2020
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インサイト
Solving the sustainable investment dilemma
Combining quant and sustainable investing efficiently requires expertise.
25-05-2020
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インタビュー
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
