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Robeco publishes a new book of collected articles on Quant Allocation

Robeco publishes a new book of collected articles on Quant Allocation

31-05-2018 | Insight

Our new publication ‘Quant Allocation – Collected Robeco articles’ is now available. We’re delighted to introduce this book of collected research articles on quantitative asset allocation, written by Robeco’s teams in recent years.

  • Guido  Baltussen
    Guido
    Baltussen
    Co-head Quant Allocation
  • Martin Martens
    Martin
    Martens
    Researcher
  • Pim  van Vliet, PhD
    Pim
    van Vliet, PhD
    Head of Conservative Equities

This is the third opus in a series of collected research articles. Earlier volumes focused on low volatility investing and factor-based investing, mostly in the equity market. This time, we look beyond the stock market and expand our analysis to include other major asset classes.

In our articles, we provide strong and robust evidence supporting the presence of factor premiums in the multi-asset space. In particular, we show that return factors, such as momentum, value and carry, work not only within individual asset classes, like equity indices, bond indices, currencies and commodities, but also more broadly across asset classes.

The main takeaway is that quantitative strategies backed by robust economic rationale, or factors, offer attractive returns across the board (‘everywhere’). In other words, factor investing, or systematically harvesting academically proven sources of performance, works with all major asset classes.

For more information about this publication, please do not hesitate to contact your local Robeco sales representative/office.

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