A paper* argues that many popular return anomalies have materially diminished in strength and significance over time, and relates these findings to increased anomaly-related trading by a.o. hedge funds. The factors which have weakened according to the study include the well-known size, value, momentum and low-volatility.
We are puzzled by these findings, as we find that our quantitative strategies, which are based on such anomalies, have generated returns in real life that are highly consistent with the figures we found in our original portfolio simulation, for developed as well as for emerging markets. Perhaps this has to do with the fact that we use more sophisticated alpha factors than the ones generally considered in the academic literature.
Robeco Institutional Asset Management B.V. (Dubai office) is regulated by the Dubai Financial Services Authority (“DFSA”) and only deals with Professional Clients and does not deal with Retail Clients as defined by the DFSA.
Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.