A textbook case of factor fixed income investing
The latest edition of an influential handbook on fixed income investing features a chapter authored by Robeco quant specialists.
02-12-2021 | Insight
Shielding factor portfolios from credit downgrades and defaults
Gaining more by losing less in multi-factor credit strategies.
30-11-2021 | Insight
Low Volatility defies the basic finance principles of risk and reward
Contrary to popular belief, riskier investments do not necessarily translate into higher returns.
12-11-2021 | Insight
The quant cycle
Equity factors follow their own sentiment-driven cycle that cannot be explained by traditional business cycle indicators.
19-10-2021 | Research
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 | Insight
Momentum is a self-fulfilling prophecy and therein lies its strength
The Momentum premium arises from mistakes in human reasoning.
06-09-2021 | Insight
Climate investing: from urgency to solutions
‘Moore’s Law is disrupting the world of quant investing’
Increasing computing power is altering the investment landscape.
16-08-2021 | Interview
‘Equity price movements are mainly driven by behavior, not risk’
The FIFA 19 Ultimate Team (FUT) online transfer market and machine learning shed some light on behavioral finance.
01-07-2021 | Interview
Showing the way to Paris-aligned investing
The race to zero is on.
10-06-2021 | Insight
Low Volatility investing: now more than ever
Low Volatility strategies can handle changes in the investment landscape.
01-06-2021 | Insight
The Low Volatility effect in China
In our recent study, we uncover the presence of a strong Low Volatility effect in the Chinese A-share market.
19-05-2021 | Insight
Spring has sprung for Value investing
Despite the recent rally in cheap stocks, we believe the Value upswing still has a way to go.
12-05-2021 | Insight
There’s no quant crisis in credits
Quant strategies have performed well in credits.
01-04-2021 | Insight
Spring has to come simply because economic fundamentals require it
How do you perceive the quant equity winter?
26-02-2021 | Interview
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The 2018-2020 quant equity crisis posed an exceptional challenge to quantitative managers due to a rare combination of circumstances.
16-02-2021 | Research
What’s up with Momentum?
Momentum had its ‘shot of momentum’ in 2020.
04-02-2021 | Insight
When equity factors drop their shorts
How can you best construct an equity market neutral portfolio using a factor-investing approach?
01-02-2021 | Insight
Factor investing debates: Do big data and AI herald a new dawn for quant?
Factor investing is based on decades of publicly available empirical studies.
11-01-2021 | Insight
Has Low Volatility lost its mojo?
2020 has been a difficult year for Low Volatility investors and this year’s performance has been truly challenging, amounting to a period of soul searching.
21-12-2020 | Insight
Investors should always strive to understand observed performance
Mathijs van Dijk is Professor of Financial Markets at the Rotterdam School of Management, Erasmus University.
02-12-2020 | Interview
Quant solutions must look beyond the most conventional factors
Quant strategies have come under pressure over the past two years.
24-11-2020 | Interview
Long read: Why I am more bullish than ever on quant
Following more than two years of quant strategies generally underperforming sharply, investors are questioning whether quantitative investing is still viable.
11-11-2020 | Column
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
The recent dreadful performance of the academic Value equity factor has been a blow for many investors.
20-10-2020 | Insight
Will Value survive the quant winter?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020 | Insight
Factor investing debates: Should sustainability be considered a factor?
Factor investing and sustainability can make a good combination.
20-07-2020 | Insight
Factor investing debates: Should you time your factor exposures?
The debate on whether investors should tactically time their factor exposures is almost as old as the discovery of factors.
22-06-2020 | Insight
Solving the sustainable investment dilemma
Combining quant and sustainable investing efficiently requires expertise.
25-05-2020 | Interview
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | Podcast
Now more than ever, it’s time to think outside the Fama-French factor box
2010-2019 was a lost decade for the Fama-French factors.
28-04-2020 | Research