Identifying value stocks with machine learning
Machine learning (ML) mispricing models are designed to detect hidden nonlinearities that are important in predicting the fundamental value of stocks.
26-09-2022 | Research
Investing across deflation, inflation and stagflation
Real returns on equities and multi-asset portfolios are typically poor when inflation is high, especially in times of stagflation.
29-08-2022 | Insight
‘Alternative data allows you to take a deeper look’
Novel data sources and techniques can help you tap into alternative alpha.
24-08-2022 | Interview
‘Quantification of sustainability can be pushed even further’
There is a large amount of untapped alternative data that can be used for sustainable investments.
18-08-2022 | Interview
Marrying sustainability and emerging markets expertise in quantitative strategies
The most sustainable emerging market companies are on par with those in developed markets.
03-08-2022 | Insight
Should shorting count for net-zero portfolios?
Short positions can be a meaningful add-on, but should not be an excuse for inaction on the long side of a portfolio.
27-07-2022 | Insight
Active ownership: Challenge Accepted – Engage to change
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Quant chart: Winning by losing less
Low-risk investing tends to deliver higher risk-adjusted long-term returns than the market as it tallies wins by losing less in down periods.
21-07-2022 | Insight
PodcastXL: The pursuit of alternative alpha
It has been hailed as the next frontier in quant investing.
13-07-2022 | Podcast
Ten years of successful factor investing in credit markets
A decade of live track-records shows that our factor-based credit investing approach has the potential to delivers improved risk-adjusted returns compared to the market.
30-06-2022 | Insight
Forecasting stock crash risk with machine learning
Machine learning techniques can be used to uncover nonlinear relationships between several variables to help forecast stock crash risk.
15-06-2022 | Insight
Guide to sustainable quant equities investing
The rules-based nature of quant investing lends itself well for sustainability integration.
09-06-2022 | Insight
Quality: the underappreciation of well-managed businesses
Persistent human errors when forming future earnings expectations for companies give rise to the Quality premium.
01-06-2022 | Insight
5-year Expected Returns: The Age of Confusion
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Beyond Fama-French: alpha from short-term signals
We believe positive net alpha from established short-term signals can be harvested practically by investors.
31-05-2022 | Research
Conservative investing stands the test of time
Conservative investing (also termed defensive or low-risk investing) is all about winning by losing less.
23-05-2022 | Insight
Quant chart: Value accelerates to strongest start in decades
Value has achieved the best start to a calendar year in over 35 years.
16-05-2022 | Insight
Quant chart: Meme stock frenzy confirms short-selling signal
After more than a year following the short squeeze in so-called meme stocks, the informational advantage of short-selling data resurfaces.
29-04-2022 | Insight
Higher risk-free returns do not lead to higher total stock returns
Our research shows that equity risk premiums tend to be higher when risk-free returns are low, and vice versa.
26-04-2022 | Research
Podcast: Equity factors are even older than we thought
New Robeco research confirms that investors’ behavioral biases have been around since the days of the American Wild West.
21-03-2022 | Podcast
Climate investing: from urgency to solutions
Human instincts drive the Value premium
Companies with exciting growth stories can lure investors, while those that receive little fanfare can deter them.
04-02-2022 | Insight
Factoring carbon taxes into a Value strategy
Incorporating carbon taxes into a Value strategy at a stock level is equivalent to imposing carbon footprint constraints on the overall portfolio.
22-12-2021 | Research
Research on pre-1926 database reveals equity factors are ‘eternal’
New research reveals that equity factor styles have existed and persisted since the mid-19th century.
21-12-2021 | Research
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
‘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