Robeco will launch the world’s first multi-factor credit fund, after academic research by its quantitative research team reveals that size, low-risk, value and momentum factors have economically meaningful and statistically significant risk-adjusted returns in the corporate bond market. David Blitz, co-head of quantitative strategies at Robeco in Rotterdam, tells Amanda White why an active approach makes
A new study of active and indexed-based mutual funds shows the impact of different countries’ regulatory and financial market environments. The study finds that the average alpha generated by active management is higher in countries with more explicit indexing and lower in countries with more closet indexing. The evidence suggests that explicit indexing improves competition in the mutual fund
With so many asset owners looking towards long-term investing, it is considered for funds managers to ask how their business models are aligned with those client aims, or not. In this research paper, Geoff Warren, research director for the Centre for International Finance and Regulation looks at how investment management organisations might be built to
A group of 16 UK asset owners with combined assets of more than £200 billion ($269 billion) have developed a guide to responsible investment reporting in public equity. The aim of the guide is to clarify the investors’ reporting responsible investment requirements as they seek to include it in RFPs, manager searches, due diligence and
Investors should re-consider their investment processes in order to achieve the needed “step-change in efficient portfolio construction” in a low return environment, the chief executive of the A$109 billion ($83 billion) Future Fund, David Neal, says. “It is the investment process that turns the universe of opportunities into a portfolio, and right now that process
While divestment is a useful tool to communicate concerns of climate risk to stakeholders, it is not an optimal investment strategy, in part because it ignores short-term benchmark risk. A research paper by MSCI provides a framework for evaluating ways to reduce two dimensions of carbon exposure – current carbon emissions and potential future emissions
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