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Bringing the quant research and the production data together
Bringing the quant research and the production data together
Researching, designing and implementing top-notch quantitative investment strategies requires good data sources.
24-02-2020 | インサイト
Adjusting the Value factor for intangibles
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
Factor investing debates: Are fees the most important variable in product selection?
Factor investing debates: Are fees the most important variable in product selection?
To choose a product, investors tend to rely on a few easy-to-grasp variables, like recent performance and, increasingly, fees.
14-02-2020 | インサイト
Solvency regulations and low-risk investing: comparing the Nordics with the Netherlands
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
Exclusions may simply be transferring a problem
Do exclusions work?
03-02-2020 | リサーチ
Central bank watcher: Liquidity preference
Central bank watcher: Liquidity preference
The key central banks have a preference for injecting liquidity rather than further interest rate cuts.
24-01-2020 | インサイト
The volatility effect revisited
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | リサーチ
Factor investing debates: Are there any capacity issues?
Factor investing debates: Are there any capacity issues?
Even though factor premiums may be persistent, harvesting them in a consistent and efficient way is no mean feat.
30-12-2019 | インサイト
ファクター投資を取り巻く論争:ファクタープレミアムは消滅するか
ファクター投資を取り巻く論争:ファクタープレミアムは消滅するか
ファクター投資の採用が広がるなか、ファクタープレミアムは裁定取引によっていずれ消滅してしまうであろうという、非難めいた議論をよく耳にします。
27-12-2019 | インサイト
Recalled to Life: Finding the right bonds for recovery
Recalled to Life: Finding the right bonds for recovery
Global growth has slowed for two years, at some point trends will bottom out.
19-12-2019 | 年次アウトルック
Index investing: passive in name only
Index investing: passive in name only
Not all index-based products are alike.
18-12-2019 | From the field
Credit outlook: There is no average
Credit outlook: There is no average
There is a bid for safety in credit markets, but a need for yield.
10-12-2019 | 四半期アウトルック
Duration Times Spread: measuring credit risk
Duration Times Spread: measuring credit risk
Accurately measuring credit risk is a significant challenge for credit investors.
10-12-2019 | リサーチ
Short positions do not add value to factor investing strategies
Short positions do not add value to factor investing strategies
Common wisdom among academics and investors has it that factors are best harvested using both long and short positions.
09-12-2019 | リサーチ
The Night Shadows: Investing in fixed income if recession hits
The Night Shadows: Investing in fixed income if recession hits
We live in a world of inverted yield curves, contracting business surveys, global trade, and falling earnings and CEO confidence.
28-11-2019 | 年次アウトルック
A Low-Risk anomaly also in the crowdlending market
A Low-Risk anomaly also in the crowdlending market
The existence of a low-risk anomaly has been firmly established for stocks and corporate bonds.
27-11-2019 | From the field
SDGsにプラスの貢献をもたらすセクターのクレジットリスクは低水準
SDGsにプラスの貢献をもたらすセクターのクレジットリスクは低水準
過去の投資パフォーマンス・データの分析により、SDG投資に関するロベコの見解が実践上でも正しいことが確認されました。
20-11-2019 | インサイト
All factor strategies go through long periods of poor performance
All factor strategies go through long periods of poor performance
Will factor investing continue to thrive?
18-11-2019 | インタビュー
ファクター戦略による投資目標達成:特定のファクターへのエクスポージャー取得
ファクター戦略による投資目標達成:特定のファクターへのエクスポージャー取得
ファクターに基づく戦略は、特定のファクターへのエクスポージャー取得に役立ちます。
31-10-2019 | インサイト
Uncovering the promises and challenges of factor investing
Uncovering the promises and challenges of factor investing
The shift towards factor investing seems to be pausing for breath.
23-10-2019 | インタビュー
Refining the inclusion of views in portfolio construction
Refining the inclusion of views in portfolio construction
Taking investors’ views into account when building portfolios is difficult but essential, says Roderick Molenaar.
09-10-2019 | 5ヵ年アウトルック
Fixed income outlook: Rising recession risk; unchanged strategy
Fixed income outlook: Rising recession risk; unchanged strategy
It seems a lot has changed in one quarter.
03-10-2019 | 四半期アウトルック
An empirical test of factors in the unchartered waters of EM credits
An empirical test of factors in the unchartered waters of EM credits
credit markets have seen tremendous growth over the past two decades.
30-09-2019 | リサーチ
Pension fund chooses maximum sustainability and low tracking error
Pension fund chooses maximum sustainability and low tracking error
Quant meets sustainability.
16-09-2019 | インサイト
The Essentials of factor investing
The Essentials of factor investing
Introducing our new learning tool on factor investing.
12-09-2019 | インサイト
The active world of passive investing
The active world of passive investing
Thought exchange-traded funds (ETFs) were passive?
11-09-2019 | From the field
Factor investors should be patient and brave
Factor investors should be patient and brave
What’s best, quantitative or fundamental?
05-09-2019 | インタビュー
Robeco’s Blitz wins award for low volatility article
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
Applying big data to investment processes
Applying big data to investment processes
“Jacob Buitelaar is co-head of equity portfolio engineering & trading team at Robeco, based in Rotterdam.
30-08-2019 | インタビュー
Short-term factor momentum
Short-term factor momentum
The evidence for the existence of various factor premiums is strong.
21-08-2019 | From the field