Adjusting the Value factor for intangibles
The standard academic definition for the Value factor is the ratio of book-value-to market-value (B/M).
19-02-2020 | From the field
Solvency regulations and low-risk investing: comparing the Nordics with the Netherlands
Pension regulations in the Nordic countries and the Netherlands are similar to insurance regulation in the European Union.
11-02-2020 | インサイト
Exclusions may simply be transferring a problem
Do exclusions work?
03-02-2020 | リサーチ
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | リサーチ
Duration Times Spread: measuring credit risk
Accurately measuring credit risk is a significant challenge for credit investors.
10-12-2019 | リサーチ
Robeco’s Blitz wins award for low volatility article
Robeco’s Head of Quant Research has won a prestigious award for an article on hedge funds and the low volatility anomaly.
04-09-2019 | インサイト
Duration Times Spread: a measure of spread exposure in credit portfolios
Duration Times Spread (DTS) is the market standard method for measuring the credit volatility of a corporate bond.
22-06-2019 | リサーチ
The characteristics of factor investing
To make the most of factor investing, understanding how factors work and interact is key.
14-06-2019 | リサーチ
Hedge funds and the low volatility trade
The low volatility anomaly has long been used by Robeco’s quant funds to generate higher returns at lower risk.
30-08-2018 | リサーチ
Quantitative investing with a simple formula
Quantitative investing should be easy to understand.
09-05-2018 | リサーチ
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
Low turnover: a virtue of low volatility
Trading is necessary to follow an active strategy, but excessive trading is linked to human behavior.
24-01-2018 | リサーチ
Risk Parity versus Mean-Variance: It’s all in the Views
27-11-2017 | リサーチ
Research reveals why sin stocks outperform
sin stocks’ outperformance has finally been unraveled.
11-09-2017 | リサーチ
Factor investing: limited overcrowding risk
A key concern often voiced by factor investing and smart beta sceptics is the possible risk of overcrowding.
03-07-2017 | リサーチ
Volatility weighting applied to momentum strategies
Volatility weighting is a form of risk management for investment strategies.
13-01-2017 | 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
The Value of Low Volatility
The evidence for the existence of a distinct Low Volatility effect is mounting.
15-05-2016 | 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
Forecasting sovereign default risk with Merton’s model
We provide an extensive empirical study into the Gray, Merton, and Bodie (2007) structural model for sovereigns.
15-10-2015 | リサーチ
Factor investing revisited
Does strategic allocation to well-know factors really work?
15-09-2015 | 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
Emerging government bond market timing
Research shows factors can help predict bonds returns in developed markets.
15-01-2015 | リサーチ
The Dark Side of Passive Investing
Passive investing ranks among the most successful innovations of modern finance.
15-11-2014 | リサーチ
On the expected performance of market timing strategies
We derive expressions for the information ratio (IR) that can be expected from directional market-timing strategies.
14-11-2014 | リサーチ
Strategic Allocation to Commodity Factor Premiums
Commodities have become less popular for investors.
30-09-2014 | リサーチ
Why is there a volatility effect?
Robeco’s David Blitz, Pim van Vliet and author Eric Falkenstein publish their paper ‘Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions’.
30-04-2014 | リサーチ
Ibbotson’s default premium: Risky data
The default premium calculated in Ibbotson’s dataset is widely used in empirical research.
14-06-2013 | リサーチ
On the performance of fixed income exchange-traded funds
Are fixed income exchange-traded funds (ETFs) really able to track their benchmarks?
15-06-2012 | リサーチ
Strategic allocation to premiums in the equity market
Investors typically include equities in their asset allocation to earn the expected equity premium.
15-04-2012 | リサーチ