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
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?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020 | インサイト
Green signs, value and grandmother’s cupboard
As investors, we never stop learning.
20-07-2020 | インサイト
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 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
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
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
Echoing Footsteps: The return of the underdog
It has been a while since we heard so much talk about value versus growth and momentum.
12-12-2019 | 年次アウトルック
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
Factor-based strategies can help generate income.
30-11-2018 | インサイト
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
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
‘Facts’ about formulaic value investing
Successful value investing requires well designed strategies.
01-11-2017 | From the field
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
Risk management plays a central role in our Core Quant strategies.
01-02-2017 | インサイト
Finding the right set of strategies
Allocation to factors has become increasingly popular in recent years, but practical implementation remains a puzzle for many investors.
30-01-2017 | Factor investing challenges
17-10-2016 | インサイト
Factor investing case studies – the merits of tailor made solutions
Factor investing – the investment strategy that aims to capture 'hidden' returns in financial markets – is rapidly gaining in popularity.
06-07-2016 | リサーチ
Factor Investing with smart beta indices
Smart beta indices are a popular way of implementing a factor investing strategy.
06-07-2016 | リサーチ
Can mutual funds successfully adopt factor investing strategies?
To the best of our knowledge, no study has been conducted on the added value of innovative investment strategies that incorporate academic insights.
24-11-2015 | リサーチ
Is rebalancing the source of factor premiums?
Some argue that the mere mechanism of rebalancing increases returns, and that this explains the success of factor investment strategies.
14-08-2015 | リサーチ
The beauty and the beast of value and momentum investing
We usually focus on how to make a good investment strategy even better, but in recent research we looked at how to make it worse.
22-07-2015 | リサーチ
Factor investing works
Factor investing is in vogue.
06-01-2015 | リサーチ
How factor investing also works for corporate bonds
Two Robeco researchers have become the first to analyze the effect that factor premiums can have on corporate bond investing.
11-11-2014 | インサイト
What drives the value premium?
The empirical evidence for the presence of a value premium in stock markets is overwhelming.
16-10-2014 | リサーチ