Robeco factor investing book

The rise of factor investing has led many investors to focus on stocks that display low volatility, value, momentum, quality or size. This article is the first in a series on factor investing. This means that stocks that are indeed undervalued are selected, in contrast to companies whose low valuation merely reflects their higher level of risk. Nov 08, 2017 client appetite is really increasing for factor indices, and we think this is the future of active management. Apr 06, 2006 the purpose of an investment institution such as robeco n. Blackrock is a leader in factor investing, launching the first factor fund in 1971 and driving innovation in the category for over 40 years. The 2 nd edition of robeco s factor investing book is out, which brings together ten articles that robeco researchers have published over recent years. Flawed research on factor investing articles advisor. Factor investing book, 2nd edition the 2nd edition of robecos factor investing book is out, which brings together ten articles that robeco researchers have published over recent years. The best esg investing white papers of 2018 savvy investor. The aim of the subfund is to provide long term capital growth. Factor investing in the china ashare market caia, 2019. Factor investing in the corporate bond market by patrick. The book provides a very complete overview of the entire field of investing, and its evolution over the past 4050 years.

These factors will persist unless fundamental changes in law, regulations or industry structure occur or. Factor investing in the corporate bond market patrick houwelinga,b, jeroen van zunderta,c november 2014 we provide empirical evidence that the size, lowrisk, value and momentum factors have economically meaningful and statistically significant riskadjusted returns in the corporate bond market. Furthermore, this book puts forward an inconvenient truth about investment that is. They argue that this may not be the case, with short positions failing to add much, if any, value. Our goal is to provide a broad overview of factor investing as a framework that incorporates factor exposure decisionmaking into the portfolio construction process. Robeco investment research, weena 850, 3014 da rotterdam, the netherlands.

Simple, cookie cutter approaches to factor investing that construct factor portfolios to deliver exposure to one select factor often ignore the impact of other factor. The value factor in equities, for example, is measured by relating variables like the book value of equity or corporate earnings to the stock price. As factor investing propagates, new analysis from robeco institutional asset management based on two centuries of data sheds light on its performance. One of his insights in his influential book think fast and slow is that we give. An overview of factor investing fidelity investments. Finally, allocating to corporate bond factors provides added value beyond allocating to equity factors in a multiasset context. Robeco wins best esg paper 2018 the award for best esg paper of 2018 was the easiest decision faced by our judges this year.

Robecos guide to factor investing gives you the keys to a better understanding of how factors can help you achieve. Guide to low volatility investing informed investor. We now offer funds efficiently harvesting the four main factors value, momentum, low volatility and quality along with multifactor solutions. French returnbased style analysis to identify which funds engage in factor investing focus on lowrisk, small cap, and value styles. The construction of a robeco conservative equity portfolio. Founded in 1995, robecosam is an investment specialist focused exclusively on sustainable investing. The 2nd edition of robeco s factor investing book is out, which brings together ten articles that robeco researchers have published over recent years. This dissertation focuses on the implications of factor investing for the efficiency of financial markets, the underlying drivers of factor premiums, the way factor investing. In parallel, the rise of sustainable investing has enabled investors to simultaneously chase companies with strong environmental, social and governance esg credentials raising the question of whether esg should be a factor in its own right. Combining low cost and good performance is at the basis of its strong rise in recent years. Since the 1990s, a substantial number of funds is engaging in factor investing low risk 6%, 30% small cap, 20% value factor investing funds do significantly better than their peers. Robeco publishes a new book of collected articles on quant.

Factor investing is a different way of creating alpha. Factor investing applying a topdown approach to capture a factor or style premium in a systematic way. Our new publication quant allocation collected robeco articles is now available. The subfund will take exposure of at least twothirds of its total assets to equities of companies that mainly operate in mature economies. By year end 2014, the company had 246 billion of assets under management. Factor investing for the masses investment innovation.

At robeco, we have recognized this as a major value driver for decades, enabling us to identify new opportunities for. Earlier volumes focused on low volatility investing and factorbased investing, mostly in the equity market. While there may be some general consensus on which factors are the most relevant to credit markets, there is plenty of scope for disagreements on the most appropriate implementation of them. A new research paper purports to refute this concern. Robeco considers factor investing as essential for its institutional and. Factor investing 2017 made simple pensions and lifetime. Equities are for example rated according to metrics such as book value, sales. The popularity of smartbeta products has raised concerns that certain factors have been overgrazed that their expected return has been driven down due to popularitydriven demand. To sum up, factor investing emerged from the first empirical tests of the capm in equity markets, in the 1970s, to become a widespread investment approach nowadays. Continuous professional development cpd is an important part of any advisors careerthe speed with which factor investing strategies has left many at a. Were delighted to introduce this book of collected research articles on quantitative asset allocation, written by robeco s teams in recent years. Flawed research on factor investing advisor perspectives. Factor investing a blend between active and passive management factor investing is a strategic and systematic approach to weighting indexes one that does not look at market capitalization to.

Five things about maximizing factor investing performance. Rocom analysis robeco commodities fund bloomberg markets. This was one of the findings by robeco s head of factor investing research joop huij, who examined the data of approximately 7,000 funds over a twentyyear period from 1990 to 2010. Factor investing equities a pioneer in factor investing as a proponent of exploiting anomalies in markets since the 1990s, robeco experts have literally written the book on the subject. Dec 01, 2019 before joining robeco in january 2015 he worked as a fiduciary manager at nn investment partners.

In high returns from low risk, pim van vliet, founder and fund manager of multibillion conservative equity funds at robeco and expert in the field of lowrisk investing, combines the latest research with stock market data going back to 1929 to prove that investing in lowrisk stocks gives surprisingly high returns, significantly better than. Robeco is an originally dutch asset management firm, since 20 part of orix, founded in 1929 as the rotterdamsch beleggings consortium rotterdam investment consortium. Easily share your publications and get them in front of issuus. If you look at the global peer group of asset managers, this is the only strategy that has a negative correlation in terms of outperformance versus fundamental managers. The popularity of smartbeta products has raised concerns that certain factors have been overgrazed that their expected return has been driven down due to popularitydriven. Were delighted to introduce this book of collected research articles on quantitative asset allocation, written by robeco. Apr 17, 2017 flawed research on factor investing april 17, 2017 by robert huebscher an extensive discussion on this article is available on apviewpoint in this conversation. Factor investing aims to capture hidden returns in financial markets and is rapidly gaining in popularity. Serving institutional asset owners and financial intermediaries, the companys asset management.

Factorbased investing can approximate, and in some cases replicate, the risk exposures. Factor investing innovative insights into quant investing. Institutional investors take two different approaches, suppletion and. Factor investing is becoming increasingly important for both practitioners and academics. But its logic is flawed and practitioners should be highly skeptical of its conclusions. Factor investing is often considered the third way of investing. It provides an insight into the extensive academic research supporting the existence of factor.

The essentials of factor investing robeco, 2019 this primer from robeco explains the basics elements of factor investing, using a learning module composed of 9 sections. Before joining robeco in january 2015 he worked as a fiduciary manager at nn investment partners. Validea used the investment strategy outlined in the book high returns from low risk written by pim van vliet to create our multi factor investor portfolio. Simple, cookie cutter approaches to factor investing that construct factor portfolios to deliver exposure to one select factor often ignore the impact of other factor characteristics on expected stock returns, and consequently expected portfolio returns.

It is noteworthy that it is not referred to as low volatility, because when he began this strategy in 2006, low volatility was not a thing. It does extensive research on this matter and supports external research. Pim van vliet runs one of the oldest and most successful low volatility funds in the world, which has now flowered into robecos conservative equities brand of funds. Client appetite is really increasing for factor indices, and we think this is the future of active management. Essays on factor investing events research erasmus. Oct 31, 2014 our results are robust to transaction costs, alternative factor definitions, alternative portfolio construction settings, and constructing factor portfolios on a subsample of liquid bonds. Robeco s approach to value investing is to make stockselection adjustments that take a higher level of risk into account. The investment objective of the fund is to achieve longterm capital appreciation by investing in a. High returns from low risk high returns from low risk. As factor investing propagates, new analysis from robeco. Robeco publishes a new book of collected articles on quant allocation. Sponsored by robeco institutional asset management b.

Because the correlations between the single factor portfolios are low, a combined multi factor. Robeco considers factor investing as essential for its institutional and other professional clients. This book is a compilation of recent articles written by leading academics and practitioners in the area of riskbased and factor investing rbfi. We now offer funds efficiently harvesting the four main factors value, momentum, low volatility and quality along with multifactor. The 2 nd edition of robecos factor investing book is out, which brings together ten articles that robeco researchers have published over recent years.

The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with rbfi solutions. What two centuries of data tell us about investing forbes. Blackrock offers a variety of ways to implement the timetested principles of factor investing. In a similar vein, our friends at robeco have written a short piece on how factors performed during the spanish flu. This guide provides an introduction to factor investing. Savvy investor presents top papers on factor investing in. Wes has published multiple academic papers and four books. While this book offers insights on factor investing in equity markets only, at robeco, we offer a wide range of products that allow investors to. Dec 03, 2019 as factor investing propagates, new analysis from robeco institutional asset management based on two centuries of data sheds light on its performance. The purpose of an investment institution such as robeco n.

This collection of research articles explains the merits of factor investing in emerging stock markets and how to make the most of factor. It provides an insight into the extensive academic research supporting the existence of factor premiums and explains how these premiums can be harvested in practice. At robeco, we have recognized this as a major value driver for decades, enabling us to identify new opportunities for growth on the upside and anticipate problems to mitigate downside risk. Factor investing a blend between active and passive management factor investing is a strategic and systematic approach to weighting indexes one that does not look at market capitalization to capture characteristics that have been welldocumented in the literature. We have long believed in the evidencebased approach that true factor investing requires, and have given our clients systematic exposure to it to earn premiums for well over a decade. Exploring the world of factors irish association of investment. Factor investing in the corporate bond market patrick houwelinga,b, jeroen van zunderta,c. A pioneer in factor investing as a proponent of exploiting anomalies in markets since the 1990s, robeco experts have literally written the book on the subject. This means that stocks that are indeed undervalued are selected, in contrast to. Harbor robeco em active equities fund harbor funds. At robeco, we manage a range of pure quantitative equity, fixed income and multiasset strategies. Basically, the investment process stays as it is, but factor premiums are added to improve the returnrisk tradeoff. Ten things you should know about factor investing robeco, 2017 in this comprehensive and intelligible 27page guide, robeco discusses how to select the right factors. In this paper, we discuss the rationale for factor investing and how indexes can be constructed to reflect factor returns in costeffective and transparent ways.

Factor investing for the masses investment innovation institute. Robeco commodities fund is an openended investment fund incorporated in the netherlands. Serving institutional asset owners and financial intermediaries, the companys asset management capabilities feature a strong track record in sustainabilitythemed strategies. While this book offers insights on factor investing in equity markets only, at robeco, we offer a wide range of products that allow investors to also capture factor premiums in other markets.

Robeco notes that the commonly held belief that to harvest most of any factor returns, one needs to employ both long and short positions. These range from factor etfs and target date funds, which offer lowcost, efficient access to factors, to multiasset, multi factor strategies, that incorporate blackrocks active insights, invest across asset classes and employ leverage and shorting. Factor investing in the corporate bond market abstract we offer empirical evidence that size, lowrisk, value, and momentum factor portfolios generate economically meaningful and statistically significant alphas in the corporate bond market. Robeco has contributed to this debate by conducting a study on how. Designed for savvy investors and professional advisors alike, your complete guide to factor based investing. The 2nd edition of robecos factor investing book is out, which brings together ten articles that robeco researchers have published over recent years. Andrew ang meets with visionaries across a range of industries to.

Robeco has contributed to this debate by conducting a study on how investors may apply factor investing to their equity portfolio in practice. In robecos approach to lowvolatility investing it advocates a method that doesnt pursue a single factor by its elf, but blends its lowvolatility method with income and momentum factors to get. Jan is a graduate from the university of tilburg and holds a masters degree in organizational studies and is the author of a book on quantitative investing which is translated into several languages. Jun 06, 2014 issuu is a digital publishing platform that makes it simple to publish magazines, catalogs, newspapers, books, and more online. Issuu is a digital publishing platform that makes it simple to publish magazines, catalogs, newspapers, books, and more online. Foundations of factor investing december 20 2 of 33 executive summary factor investing has become a widely discussed part of todays investment canon. We integrate esg across our range and continuously innovate in.