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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 | Insight
Duration Times Spread: a measure of spread exposure in credit portfolios
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 | Research
The characteristics of factor investing
The characteristics of factor investing
To make the most of factor investing, understanding how factors work and interact is key.
14-06-2019 | Research
Hedge funds and the low volatility trade
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 | Research
Quantitative investing with a simple formula
Quantitative investing with a simple formula
Quantitative investing should be easy to understand.
09-05-2018 | Research
Fama-French 5-factor model: five major concerns
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 | Research
Risk Parity versus Mean-Variance: It’s all in the Views
Risk Parity versus Mean-Variance: It’s all in the Views
27-11-2017 | Research
Uncovering Trend Rules
Uncovering Trend Rules
This research paper, published in the Fall 2017 issue of the Journal of Alternative Investments, uncovers the return-weighting schemes implied by conventional price-moving averages, which are widely-used indicators in technical analysis.
30-09-2017 | Research
Research reveals why sin stocks outperform
Research reveals why sin stocks outperform
sin stocks’ outperformance has finally been unraveled.
11-09-2017 | Research
Factor investing: limited overcrowding risk
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 | Research
Volatility weighting applied to momentum strategies
Volatility weighting applied to momentum strategies
Volatility weighting is a form of risk management for investment strategies.
13-01-2017 | Research
Factor Investing with smart beta indices
Factor Investing with smart beta indices
Smart beta indices are a popular way of implementing a factor investing strategy.
06-07-2016 | Research
The Value of Low Volatility
The Value of Low Volatility
The evidence for the existence of a distinct Low Volatility effect is mounting.
15-05-2016 | Research
Factor investing revisited
Factor investing revisited
Does strategic allocation to well-know factors really work?
15-09-2015 | Research
The Dark Side of Passive Investing
The Dark Side of Passive Investing
Passive investing ranks among the most successful innovations of modern finance.
15-11-2014 | Research
On the expected performance of market timing strategies
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 | Research
Strategic Allocation to Commodity Factor Premiums
Strategic Allocation to Commodity Factor Premiums
Commodities have become less popular for investors.
30-09-2014 | Research
Why is there a volatility effect?
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 | Research
Strategic allocation to premiums in the equity market
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 | Research
Global tactical sector allocation: a quantitative approach
Global tactical sector allocation: a quantitative approach
Sector allocation can be a very important determinant of portfolio returns.
15-11-2011 | Research
Benchmarking Low Volatility strategies
Benchmarking Low Volatility strategies
How should investors evaluate a low volatility strategy?
15-06-2011 | Research
GTAA: applying Value and Momentum across asset classes
GTAA: applying Value and Momentum across asset classes
We examined global tactical asset allocation (GTAA) strategies across a broad range of asset classes.
15-11-2008 | Research
Tracking error allocation
Tracking error allocation
How can active managers ensure they maximize the added value from each investment decision?
10-08-2001 | Research
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