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
The active world of passive investing
Thought exchange-traded funds (ETFs) were passive?
11-09-2019 | From the field
Short-term factor momentum
The evidence for the existence of various factor premiums is strong.
21-08-2019 | From the field
A backtesting protocol in the era of machine learning
Is machine learning really a game changer for finance?
08-08-2019 | From the field
Good shepherds do not succumb to herding behavior
Thought crowds were wise?
19-06-2019 | From the field
Do mutual funds with good sustainability scores attract more assets?
In March of 2016, Morningstar first published sustainability ratings (globes), for over 20,000 mutual funds.
08-05-2019 | From the field
Are mutual funds on the other side of the low volatility trade?
This new research helps to explain the existence of the low volatility anomaly.
03-04-2019 | From the field
It’s not about active or passive, but about costs
What if costs were the real issue in the heated active versus passive debate?
06-03-2019 | From the field
Low risk in China
Does low-risk investing work with A-shares?
13-02-2019 | From the field
Residualizing Momentum in China
Previous studies have reported weak results for standard Momentum strategies in China.
02-01-2019 | From the field
In this paper Eugene Fama and Kenneth French look at the importance of volatility over longer investment horizons.
01-08-2018 | From the field
Transitioning from procyclical to countercyclical behavior
Are large institutional investors pro- or countercyclical?
02-05-2018 | From the field
ロベコSIフォーラム／SAMサステナビリティアワード2019 in Tokyo
Failing to capture factor premiums because of poor timing
Looking for an explanation to the value effect?
04-04-2018 | From the field
Here’s the proof: benchmarking contributes to the low-volatility anomaly
Benchmark followers amplify the low volatility effect.
07-03-2018 | From the field
Tweaking a popular low volatility index
Investment solutions based on popular smart beta indices have enjoyed tremendous success.
14-02-2018 | From the field
Why ETFs can be more expensive than you think
The recent rise of passive and smart beta strategies has resulted mainly from the success of ETFs.
24-01-2018 | From the field
Anomalies remain strong in international equity markets after publication
One oft-heard concern on factor investing is that factors could be arbitraged away.
03-01-2018 | From the field
Next time, ask your fund manager what kind of car they drive
Tell me what car you drive and I will tell you who you are.
13-12-2017 | From the field
Institutional asset managers add value... by using factors
Are factors the future of active asset management?
22-11-2017 | From the field
‘Facts’ about formulaic value investing
Successful value investing requires well designed strategies.
01-11-2017 | From the field
Investment lessons from the racetrack
11-10-2017 | From the field
Rankings and risk-taking in the financial industry
20-09-2017 | From the field
The Quality Factor
The quality effect is the tendency of high-quality stocks to outperform low-quality ones.
19-07-2017 | From the field
Estimating the equity risk premium
Assessing the equity risk premium (ERP) is an ongoing debate among academics.
28-06-2017 | From the field
Ten misconceptions about smart beta investing
This paper* attempts to debunk no fewer than ten myths about smart beta.
07-06-2017 | From the field
The siren song of factor timing
Timing when to enter and exit factors seems to be the holy grail of quant investing.
26-04-2017 | From the field
Smart beta is no monkey business
It has been argued that all smart beta strategies generate positive exposure to value and small-cap stocks in much the same way as randomly generated portfolio strategies do.
05-04-2017 | From the field
Decomposing fundamental indexation?
Previous studies have shown that the value added by fundamental indexation strategies is entirely driven by their implicit exposure to the classic value premium.
22-03-2017 | From the field
Is smart beta performance driven by rising valuations?
Rob Arnott, argues that the good recent performance of many smart beta strategies has mainly been driven by rising valuations.
08-03-2017 | From the field
Active weight instead of active share?
A 2015 study* argues that a simplified measure of activeness, termed active weight, is even more effective than active share.
21-02-2017 | From the field