Robeco Asset Management Podcast Zoo-ming in and out of the factor zoo
Mar 22, 2024
Harold Lohre and Matthias Hanauer, both quant equity researchers at Robeco, dive into the thrilling world of quantitative investing. They discuss the revival of value investing and the surprising efficiency of just 15 key factors in capturing market returns. Using a witty zoo metaphor, they explore the evolution of these factors and the role of diversification. The duo also tackles innovative strategies for incorporating sustainability and AI into investment decisions, particularly in emerging markets. Tune in for a captivating blend of finance and humor!
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Only 15 Factors Matter
- About 15 factors are sufficient to capture most equity market returns despite hundreds existing.
- This finding narrows the 'factor zoo' to a manageable and effective number for investors.
Egg Factor Anecdote
- Harold Lohre humorously listed many factors including an unexpected 'egg' factor.
- The egg symbolizes diversification, reminding investors not to put all eggs in one basket.
Diversify Major Factors
- Focus on diversified exposure to major factors: value, momentum, quality, low risk.
- Combining these well is the safest strategy likely to ensure steady returns.