The quant cycle
Equity factors follow their own sentiment-driven cycle that cannot be explained by traditional business cycle indicators.
19-10-2021 | リサーチ
Some factors are now more equal than others
There is no free lunch when it comes to harvesting factor premiums.
06-10-2021 | 5ヵ年アウトルック
What valuations and interest rates tell us about equity factors
Single and multi-factor equity portfolios are currently very attractively valued and factor premiums persist across interest rate cycles.
04-10-2021 | インサイト
Momentum is a self-fulfilling prophecy and therein lies its strength
The Momentum premium arises from mistakes in human reasoning.
06-09-2021 | インサイト
Deep evidence that factor investing works well in bond markets
More than two centuries of data confirms that value, momentum and low risk offer attractive premiums.
12-07-2021 | インサイト
Metals – anything but rusty
Commodity prices can continue to rise on a string of favorable factors, says strategist Peter van der Welle.
07-05-2021 | 月次アウトルック
ETFs have yet to prove that they can beat active funds
Exchange-traded funds (ETFs) are commonly regarded as efficient, low-cost alternatives to actively managed mutual funds.
18-02-2021 | リサーチ
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The 2018-2020 quant equity crisis posed an exceptional challenge to quantitative managers due to a rare combination of circumstances.
16-02-2021 | リサーチ
What’s up with Momentum?
Momentum had its ‘shot of momentum’ in 2020.
04-02-2021 | 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 | Data sets
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
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
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | ポッドキャスト
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
Intrinsic Momentum is also important for bonds
Should investors also ‘residualize’ bond momentum?
18-04-2018 | From the field
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
Using credit information for Quant Equity
02-08-2017 | リサーチ
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
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
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
Volatility weighting applied to momentum strategies
Volatility weighting is a form of risk management for investment strategies.
13-01-2017 | リサーチ
17-10-2016 | インサイト
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
Smart beta indices are a popular way of implementing a factor investing strategy.
06-07-2016 | リサーチ
Factor Investing in the Corporate Bond Market
We provide empirical evidence that the Size, Low-Risk, Value and Momentum factors have economically meaningful and statistically significant risk-adjusted returns in the corporate bond market.
11-12-2015 | リサーチ
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
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.
14-08-2015 | リサーチ
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
Factor investing works
Factor investing is in vogue.
06-01-2015 | リサーチ
How factor investing also works for corporate bonds
Two Robeco researchers have become the first to analyze the effect that factor premiums can have on corporate bond investing.
11-11-2014 | インサイト