How can you best construct an equity market neutral portfolio using a factor-investing approach?
01-02-2021
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インサイト
Factor investing debates: Do big data and AI herald a new dawn for quant?
Factor investing is based on decades of publicly available empirical studies.
11-01-2021
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インサイト
Data sets - the idiosyncratic momentum factor
A research-driven approach is at the core of everything we do.
31-12-2020
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Data sets
Has Low Volatility lost its mojo?
2020 has been a difficult year for Low Volatility investors and this year’s performance has been truly challenging, amounting to a period of soul searching.
21-12-2020
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インサイト
Podcast: Why I believe the quant winter will end
Will value stocks make a comeback in 2021?
17-12-2020
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ポッドキャスト
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
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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
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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
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Column
Aligning multi-factor credit strategies with the SDGs
We present the latest innovation in our sustainable investing approach.
03-11-2020
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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
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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
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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
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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
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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
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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
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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
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インサイト
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
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インサイト
Defining Quality: separating the wheat from the chaff
Quality is a commonly accepted equity factor.
18-06-2020
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リサーチ
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
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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
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インサイト
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020
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From the field
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020
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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
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リサーチ
Equity styles and the Spanish flu
Covid-19 first appeared at the start of December 2019.
