Forecasting stock crash risk with machine learning
Machine learning techniques can be used to uncover nonlinear relationships between several variables to help forecast stock crash risk.
15-06-2022 | インサイト
Guide to sustainable quant equities investing
The rules-based nature of quant investing lends itself well for sustainability integration.
09-06-2022 | インサイト
‘Factors are still the foundation of financial markets’
New data sources and techniques can help us to better understand factors.
08-06-2022 | インタビュー
Quality: the underappreciation of well-managed businesses
Persistent human errors when forming future earnings expectations for companies give rise to the Quality premium.
01-06-2022 | インサイト
Beyond Fama-French: alpha from short-term signals
Positive net alpha from established short-term signals can be harvested practically by investors.
31-05-2022 | リサーチ
Conservative investing stands the test of time
Conservative investing (also termed defensive or low-risk investing) is all about winning by losing less.
23-05-2022 | インサイト
‘I have always tried to make sense of human behavior’
People’s normal wants, even more than their cognitive and emotional shortcuts and errors, underlie answers to important questions of finance.
19-05-2022 | インタビュー
Navigating bond markets in times of stagflation
High inflation and central bank tightening are already leading to rising yields and negative bond returns.
18-05-2022 | インサイト
Indices insights: Does sustainability integration affect factor premiums?
In this ‘Indices insights’ article, we analyze the impact of sustainability integration on factor premiums.
17-05-2022 | インサイト
Quant chart: Value accelerates to strongest start in decades
Value has achieved the best start to a calendar year in over 35 years.
16-05-2022 | インサイト
‘A strong research culture enables you to stay true to your investment philosophy’
Quant investing is very much a team sport, in fact more so than ever.
13-05-2022 | インタビュー
Quant chart: Meme stock frenzy confirms short-selling signal
After more than a year following the short squeeze in so-called meme stocks, the informational advantage of short-selling data resurfaces.
29-04-2022 | インサイト
Data sets – factor investing in corporate bonds
A research-driven approach is at the core of everything we do.
29-04-2022 | Data sets
Higher risk-free returns do not lead to higher total stock returns
Our research shows that equity risk premiums tend to be higher when risk-free returns are low, and vice versa.
26-04-2022 | リサーチ
The Value winter is thawing
The renaissance in Value stocks is set to continue, partly due to the climate transition, says multi-asset investor Colin Graham.
07-04-2022 | 月次アウトルック
PodcastXL: How to read the huge emerging markets discount
Emerging markets look extremely cheap.
01-04-2022 | ポッドキャスト
The Formula: Maximum drawdown
Capital preservation and steady performance are important considerations in investing.
31-03-2022 | インサイト
Podcast: Equity factors are even older than we thought
New Robeco research confirms that investors’ behavioral biases have been around since the days of the American Wild West.
21-03-2022 | ポッドキャスト
Fama-French 5-factor model: why more is not always better
Fama and French have expanded their original three-factor model by adding two factors, namely investment and profitability.
10-03-2022 | インサイト
‘Most people are not good investors because they are driven by greed and fear’
Exciting stocks can pose significant risks to investors.
22-02-2022 | インタビュー
Shrunk betas can fortify Low-risk portfolios
Research shows that beta forecasts are improved by shrinking correlations more than relative volatilities.
17-02-2022 | リサーチ
‘The main goal was to test for equity factors using an out-of-sample dataset’
Creating novel databases for out-of-sample testing adds real value as people seldom take the time to perform such a task.
16-02-2022 | インタビュー
The implications of divesting from fossil fuel stocks
Excluding fossil fuel companies from a portfolio comes down to an active bet against the oil price.
15-02-2022 | リサーチ
Human instincts drive the Value premium
Companies with exciting growth stories can lure investors, while those that receive little fanfare can deter them.
04-02-2022 | インサイト
Podcast: Stick to your long-term investment beliefs
How tough will 2022 be for investors?
28-01-2022 | ポッドキャスト
US Inflation: the underlying reasons, the Fed’s reaction and the market impact
US inflation has hit new records, leading investors to question whether rate rises can keep it in check, or whether the Fed is behind the curve again.
14-01-2022 | Webinar
Factoring carbon taxes into a Value strategy
Incorporating carbon taxes into a Value strategy at a stock level is equivalent to imposing carbon footprint constraints on the overall portfolio.
22-12-2021 | リサーチ
Research on pre-1926 database reveals equity factors are ‘eternal’
New research reveals that equity factor styles have existed and persisted since the mid-19th century.
21-12-2021 | リサーチ
Talk ‘22: ‘Staying the course is crucial’
Covid-19 has shown us that it is important to stick to our approach, says Wilma de Groot, Co-head of Quant Equity Portfolio Management.
17-12-2021 | インタビュー
Shielding factor portfolios from credit downgrades and defaults
Gaining more by losing less in multi-factor credit strategies.
30-11-2021 | インサイト