japanja

Unrewarded risks

Higher risk that is not rewarded with higher returns.

Investors should strive to avoid unrewarded risk in their selection process, as this is not compensated for with any kind of payoff in the form of higher returns.

An example of taking unrewarded risk is to buy cheap stocks of companies with a higher risk of default. It may appear that these are value stocks that enable the investor to benefit from a value premium, but our research shows* such stocks are very risky. Investors do not benefit from the value premium because they are not compensated for this higher level of risk with a higher return.

* W. de Groot and J. Huij: ‘Is the Value Premium Really a Compensation for Distress Risk?’, 2011

クオンツ運用
クオンツ運用

ロベコは25年以上にわたりクオンツ運用をリードし、応用研究を実践的なソリューションに適用してきました。

さらに読む
A textbook case of factor fixed income investing
A textbook case of factor fixed income investing
The latest edition of an influential handbook on fixed income investing features a chapter authored by Robeco quant specialists.
02-12-2021 | インサイト
Shielding factor portfolios from credit downgrades and defaults
Shielding factor portfolios from credit downgrades and defaults
Gaining more by losing less in multi-factor credit strategies.
30-11-2021 | インサイト
'Investors can benefit from the use of sustainability data'
'Investors can benefit from the use of sustainability data'
Innovative developments in the area of sustainability data can uncover new ways of assessing opportunities and risks.
23-11-2021 | インタビュー