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Investors should always strive to understand observed performance
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 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
Outlook 2021: Tackling the trilemma
Outlook 2021: Tackling the trilemma
Finding the right balance between three things – public health, normal economic functioning, and personal freedoms – will be the main challenge for policymakers in 2021.
19-11-2020 | 年次アウトルック
Long read: Why I am more bullish than ever on quant
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
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
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?
Is there value in fallen angels?
Credit downgrades can be an opportunity for high yield investors.
29-10-2020 | インサイト
US elections: weighing the odds
US elections: weighing the odds
The 2020 US Elections have entered the final straight.
20-10-2020 | インサイト
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
Podcast: Will we avert a grim mix of higher inflation and negative rates?
Podcast: Will we avert a grim mix of higher inflation and negative rates?
Central banks are navigating through unchartered territory.
15-10-2020 | ポッドキャスト
Expected Returns – watch the full show
Expected Returns – watch the full show
Post Covid-19, we will all be entering a ‘brave real world’ with negative interest rates, looming inflation and unprecedented central bank policies.
09-10-2020 | ビデオ
Brave real world: the main takeaways from Expected Returns
Brave real world: the main takeaways from Expected Returns
The Covid-19 pandemic has completely changed the world, making it much harder for investors to navigate likely conditions for the major asset classes.
09-10-2020 | ビデオ
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
5-year Expected Returns: Brave real world
5-year Expected Returns: Brave real world
Few would doubt that the Covid-19 pandemic has completely changed the world.
29-09-2020 | 5ヵ年アウトルック
Settling the Size matter in equities
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?
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
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 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
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
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
クレジット・アウトルック:ルールの変化
クレジット・アウトルック:ルールの変化
「共通の敵」は、政策立案者による大規模な非伝統的で協調的な一連の刺激策を引き起こしました。
30-06-2020 | インサイト
Data sets - the idiosyncratic momentum factor
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?
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
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
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
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
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 | インサイト
Reducing the carbon intensity of multi-factor credits strategies
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
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 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