Number of available topics: 5
Factor investing entails allocating to systematic strategies that historically have shown a higher Sharpe ratio than the entire market. Well-known factors are Value, Momentum, Size, Quality, and Low-Risk. Most of the research on factor investing has been conducted on equity markets. The literature for other markets, such as corporate bonds, government bonds, or commodities, is still limited but also increasing.
These research topics will contribute to this stream of literature. Examples of research questions are: can we identify new factor premiums, using new or alternative data sources? How to design an optimal portfolio based on factor premiums?
The projects cover the entire quant model development cycle: analyzing the data, programming the back-tests, analyzing the results, discussing results with researchers and portfolio managers, writing a research report and giving a presentation. As with all Super Quant internships, the assignment will be supervised by an experienced empirical researcher of Robeco’s Investment Research department. Creative, analytic and programming skills are essential in order to successfully complete the project.
Example of previous internship projects
Predicting country equity returns with interest rates
Anomalies in Chinese stock markets
Alternative data for alternative alpha