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Residualizing Momentum in China
Residualizing Momentum in China
Previous studies have reported weak results for standard Momentum strategies in China.
02-01-2019 | From the field
Fama-French 5-factor model: five major concerns
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 we heading for a bear market?
Are we heading for a bear market?
A series of seemingly unstoppable stock market highs has left investors wondering if a correction is coming.
08-12-2017 | 月次アウトルック
Using credit information for Quant Equity
Using credit information for Quant Equity
02-08-2017 | リサーチ
The value of multiple momentum signals
The value of multiple momentum signals
The concept of Momentum is not only a basic principle of physics.
18-07-2017 | リサーチ
Core Quant Equity: it's about risk, risk, risk
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
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
ファクター投資とは?
ファクター投資とは?
このところ急速に関心が高まっているファクター投資ですが、その概念については未だ議論が続いている状況です。
17-10-2016 | インサイト
Factor investing case studies – the merits of tailor made solutions
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
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
Do fund flows cause the value and momentum effects?
Do fund flows cause the value and momentum effects?
In this study the authors argue that the value and momentum effects may be the result of fund flows.
05-05-2016 | From the field
Can mutual funds successfully adopt factor investing strategies?
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
The beauty and the beast of value and momentum investing
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
Is rebalancing the source of factor premiums?
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.
12-02-2015 | リサーチ
Factor investing works
Factor investing works
Factor investing is in vogue.
06-01-2015 | リサーチ
When factors disagree
When factors disagree
Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums.
30-09-2014 | リサーチ
The added value of factor investing
The added value of factor investing
In this video, Investment Solutions’ Tom Steenkamp discusses Robeco research showing that the traditional small-cap, value, low-volatility and momentum factors not only improve equity portfolio efficiency but also work for credit and commodity portfolios.
16-11-2012 | ビデオ
Short-term residual reversal
Short-term residual reversal
Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors.
17-11-2011 | リサーチ
Another look at trading costs and short-term reversal profits
Another look at trading costs and short-term reversal profits
Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once transaction costs are taken into account.
01-07-2011 | リサーチ