netherlandsnl

Value factor

Equities realize better returns if their current value is higher than their current price. A value strategy makes use of valuation ratios to select stocks that are attractively priced relative to their fundamentals.

The price-to-book and price-earnings ratios are both frequently used. Stocks with low prices relative to their fundamentals are expected to appreciate in the future to properly reflect the real value of the company. However, the pitfall here is that an increased risk of insolvency can be the reason for a low valuation. A company that has an outdated business model, for instance, runs a greater risk of becoming insolvent, and its stock price will reflect this by having an apparently low valuation relative to its book value.

Figure 10. Improved risk-return ratio with Robeco's Value factor approach
Source: Robeco, Quantitative Research, 2014

Robeco’s approach to value investing is to make stock-selection adjustments that take a higher level of risk into account. This means that stocks that are indeed undervalued are selected, in contrast to companies whose low valuation merely reflects their higher level of risk.

Quantitative investing: invisible layers surface to deliver attractive returns
Quantitative investing: invisible layers surface to deliver attractive returns
Read more
Een kijkje onder de motorkap van passieve thematische indices
Een kijkje onder de motorkap van passieve thematische indices
In feite werken passieve thematische indices kwantitatieve beleggers tegen, doordat ze over het algemeen een negatieve exposure hebben naar factoren.
12-10-2021 | Visie
Podcast: Why quant fixed income is a great diversifier
Podcast: Why quant fixed income is a great diversifier
While many quant equity strategies have struggled over the past few years, the performance of quant credits has been robust.
08-10-2021 | Podcast
What valuations and interest rates tell us about equity factors
What valuations and interest rates tell us about equity factors
Single and multi-factor equity portfolios are currently very attractively valued and factor premiums persist across interest rate cycles.
04-10-2021 | Visie
Logo

Disclaimer

De informatie op deze website is uitsluitend bestemd voor professionele & institutionele beleggers.

Bevestig alstublieft dat u een professionele belegger bent en dat u de voorwaarden van deze website hebt gelezen en begrepen, en deze accepteert.

Niet akkoord