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The quant cycle
The quant cycle
Equity factors follow their own sentiment-driven cycle that cannot be explained by traditional business cycle indicators.
19-10-2021 | リサーチ
Some factors are now more equal than others
Some factors are now more equal than others
There is no free lunch when it comes to harvesting factor premiums.
06-10-2021 | 5ヵ年アウトルック
What valuations and interest rates tell us about equity factors
What valuations and interest rates tell us about equity factors
Single and multi-factor equity portfolios are currently very attractively valued and factor premiums persist across interest rate cycles.
04-10-2021 | インサイト
Deep evidence that factor investing works well in bond markets
Deep evidence that factor investing works well in bond markets
More than two centuries of data confirms that value, momentum and low risk offer attractive premiums.
12-07-2021 | インサイト
Value investing’s five principles that have stood the test of time
Value investing’s five principles that have stood the test of time
Value and growth investing have long had a back and forth relationship, with one style leading the market for a period before investors turn in favor of the opposite style.
22-06-2021 | インサイト
Spring has sprung for Value investing
Spring has sprung for Value investing
Despite the recent rally in cheap stocks, we believe the Value upswing still has a way to go.
12-05-2021 | インサイト
From deep value to ‘value with a future’
From deep value to ‘value with a future’
As the global economy continues to recover, our positive stance on global equity markets remains well underpinned.
28-04-2021 | 四半期アウトルック
There’s no quant crisis in credits
There’s no quant crisis in credits
Quant strategies have performed well in credits.
01-04-2021 | インサイト
The rising tide of Value won’t lift all boats equally
The rising tide of Value won’t lift all boats equally
The recent Value upswing has provided renewed hope of a comeback and ideal conditions for deep and consistent exposures to the style.
25-03-2021 | インサイト
Spring has to come simply because economic fundamentals require it
Spring has to come simply because economic fundamentals require it
How do you perceive the quant equity winter?
26-02-2021 | インタビュー
ETFs have yet to prove that they can beat active funds
ETFs have yet to prove that they can beat active funds
Exchange-traded funds (ETFs) are commonly regarded as efficient, low-cost alternatives to actively managed mutual funds.
18-02-2021 | リサーチ
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The 2018-2020 quant equity crisis posed an exceptional challenge to quantitative managers due to a rare combination of circumstances.
16-02-2021 | リサーチ
Podcast: Why I believe the quant winter will end
Podcast: Why I believe the quant winter will end
Will value stocks make a comeback in 2021?
17-12-2020 | ポッドキャスト
The Value tortoise is on the move
The Value tortoise is on the move
The availability of an effective Covid-19 vaccine may trigger a revival for Value investing, says Robeco strategist Peter van der Welle.
08-12-2020 | 月次アウトルック
Factor investing – going beyond Fama and French
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
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
There is more to factor investing than just Fama-French
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
Will Value survive the quant winter?
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
Gradually preparing for a rotation
Gradually preparing for a rotation
In our last quarterly, we expected markets of countries resuming economic activity earlier than others to fare better.
17-07-2020 | インサイト
Value ain’t dead
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
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | ポッドキャスト
When markets get tough, quant funds stick with their factors
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
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
Factor investors should be patient and brave
Factor investors should be patient and brave
What’s best, quantitative or fundamental?
05-09-2019 | インタビュー
Achieving your investment goals with factors: generating income
Achieving your investment goals with factors: generating income
Factor-based strategies can help generate income.
30-11-2018 | インサイト
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 | リサーチ
‘Facts’ about formulaic value investing
‘Facts’ about formulaic value investing
Successful value investing requires well designed strategies.
01-11-2017 | From the field
Does Carry add value to existing credit factors?
Does Carry add value to existing credit factors?
Is Carry a factor in its own right in credit markets?
11-07-2017 | リサーチ
Finding Value in government bonds
Finding Value in government bonds
The Value factor has been exploited for decades by equity investors and academic research shows it can also be applied to fixed income, in particular to government bonds.
24-02-2017 | インサイト
Core Quant Equity: it's about risk, risk, risk
Core Quant Equity: it's about risk, risk, risk
Risk management plays a central role in our Core Quant strategies.
01-02-2017 | インサイト