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Insights

Factor investing – going beyond Fama and French
Factor investing – going beyond Fama and French
There is more to factor investing than the standard academic factors, says Head of Quant Research David Blitz.
02-11-2020 | 5-Year outlook
Restoring the battered Value factor in equities
Restoring the battered Value factor in equities
The recent dreadful performance of the academic Value equity factor has been a blow for many investors.
20-10-2020 | Insight
There is more to factor investing than just Fama-French
There is more to factor investing than just Fama-French
The period of 2010-2019 was a lost decade for the five Fama-French factors, leading many to question whether Value was dead and whether Size had ever worked at all.
09-10-2020 | Video
Will Value survive the quant winter?
Will Value survive the quant winter?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020 | Insight
Green signs, value and grandmother’s cupboard
Green signs, value and grandmother’s cupboard
As investors, we never stop learning.
20-07-2020 | Insight
Gradually preparing for a rotation
Gradually preparing for a rotation
In our last quarterly, we expected markets of countries resuming economic activity earlier than others to fare better.
17-07-2020 | Insight
Value ain’t dead
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Podcast: Some factors are more equal than others
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | Podcast
When markets get tough, quant funds stick with their factors
When markets get tough, quant funds stick with their factors
As rules-based investors, quant investors exploit human reactions to market movements.
19-03-2020 | Video
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
Echoing Footsteps: The return of the underdog
Echoing Footsteps: The return of the underdog
It has been a while since we heard so much talk about value versus growth and momentum.
12-12-2019 | Yearly outlook
Factor investors should be patient and brave
Factor investors should be patient and brave
What’s best, quantitative or fundamental?
05-09-2019 | Interview
Size and Value in China
Size and Value in China
Factor investing in A-share markets?
06-12-2018 | From the field
Achieving your investment goals with factors: generating income
Achieving your investment goals with factors: generating income
Factor-based strategies can help generate income.
30-11-2018 | Insight
The strategic case for emerging markets factor investing
The strategic case for emerging markets factor investing
Factor premiums can be found in stock markets across the world, including emerging markets.
11-10-2018 | 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
Are low-volatility stocks becoming expensive?
Are low-volatility stocks becoming expensive?
Due to uncertainty in financial markets, low-volatility stocks are in high demand.
04-01-2018 | Research
‘Facts’ about formulaic value investing
‘Facts’ about formulaic value investing
Successful value investing requires well designed strategies.
01-11-2017 | From the field
Finding Value in government bonds
Finding Value in government bonds
The Value factor has been exploited for decades by equity investors and academic research shows it can also be applied to fixed income, in particular to government bonds.
24-02-2017 | Insight
Core Quant Equity: it's about risk, risk, risk
Core Quant Equity: it's about risk, risk, risk
Risk management plays a central role in our Core Quant strategies.
01-02-2017 | Insight
Finding the right set of strategies
Finding the right set of strategies
Allocation to factors has become increasingly popular in recent years, but practical implementation remains a puzzle for many investors.
30-01-2017 | Factor investing challenges
What is factor investing?
What is factor investing?
Although Factor Investing is rapidly gaining popularity, there are still ongoing debates about this concept.
15-09-2016 | Insight
Factor investing case studies – the merits of tailor made solutions
Factor investing case studies – the merits of tailor made solutions
Factor investing – the investment strategy that aims to capture 'hidden' returns in financial markets – is rapidly gaining in popularity.
06-07-2016 | 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
Can mutual funds successfully adopt factor investing strategies?
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 | Research
Is rebalancing the source of factor premiums?
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 | Research
The beauty and the beast of value and momentum investing
The beauty and the beast of value and momentum investing
We usually focus on how to make a good investment strategy even better, but in recent research we looked at how to make it worse.
22-07-2015 | Research
Factor investing works
Factor investing works
Factor investing is in vogue.
06-01-2015 | Research
What drives the value premium?
What drives the value premium?
The empirical evidence for the presence of a value premium in stock markets is overwhelming.
16-10-2014 | Research
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