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 | 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 | 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.
11-11-2020 | Column
Aligning multi-factor credit strategies with the SDGs
We present the latest innovation in our sustainable investing approach.
03-11-2020 | インサイト
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
Is there value in fallen angels?
Credit downgrades can be an opportunity for high yield investors.
29-10-2020 | インサイト
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
Settling the Size matter in equities
The equity Size premium has failed to materialize since its discovery, almost forty years ago.
23-09-2020 | 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 | 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
Factor investing debates: Should sustainability be considered a factor?
Factor investing and sustainability can make a good combination.
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
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 | 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 | 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 | インサイト
Defining Quality: separating the wheat from the chaff
Quality is a commonly accepted equity factor.
18-06-2020 | 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 | From the field
27-05-2020 | 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 | インサイト
Solving the sustainable investment dilemma
Combining quant and sustainable investing efficiently requires expertise.
25-05-2020 | インタビュー
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
Now more than ever, it’s time to think outside the Fama-French factor box
2010-2019 was a lost decade for the Fama-French factors.
28-04-2020 | リサーチ
Appraising home bias exposure
The home market bias is one of the clearest examples of behavioral biases among investors.
22-04-2020 | From the field
Equity styles and the Spanish flu
Covid-19 first appeared at the start of December 2019.
02-04-2020 | インサイト
How to navigate the equity ‘factor zoo’
The number of equity factors reported in the academic literature has exploded.
27-03-2020 | リサーチ
Enhanced indexing solutions for insurers
Over the past decade, investors have operated a massive shift from actively managed strategies into passive ones.
26-03-2020 | 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
A review of 20 years of academic literature on mutual funds
How skilled are asset managers?
19-03-2020 | From the field