Executive Director Quant Equity @Robeco | Bridging Academia and Industry 💡| Exploring Factors, ML, and International Data 🚀
Munich
Joined June 2019
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📢 NEW PAPER OUT! 🚀
We analyze 1,056 #ML models to uncover how key design choices—algorithm, target, feature, & training—affect strategy returns.
Key takeaways:
📈 Returns vary widely; see graph below!
🔍 NSE exceed SE by 59%
💡Check out which ML design choices really work 👇
Are ELTIFs democratizing private markets?
Take a look at this new paper by my former colleague Daniel Urban 👇
papers.ssrn.com/sol3/papers.…
Matthias Hanauer retweeted
The Illusion of the Carbon Premium
Carbon that has not yet been emitted should not be used to predict stock returns. While this sounds obvious, prior research papers has done exactly that. This critical observation forms the basis for the Robeco Institutional Asset Management research team's re-examination of the relationship between climate risk and asset pricing. Investors and academics alike have sought to understand how environmental factors influence stock returns, often assuming that higher emitters command a risk premium. However, the timing of data availability is crucial in quantitative strategy formation, and misalignments here can lead to spurious conclusions about the pricing of carbon emissions.
quantpedia.com/the-illusion-…
#esg #carbon #StockPicks
Matthias Hanauer retweeted
New paper: The Illusion of the Carbon Premium
Carbon that has not yet been emitted should not be used to predict stock returns. While this sounds obvious, prominent prior research has done exactly that.
What happens when using only emissions data available to investors at the time of portfolio formation?
Read the full paper on @SSRN :
papers.ssrn.com/sol3/papers.…
New paper: The Illusion of the Carbon Premium
Carbon that has not yet been emitted should not be used to predict stock returns. While this sounds obvious, prominent prior research has done exactly that.
What happens when using only emissions data available to investors at the time of portfolio formation?
Read the full paper on @SSRN :
papers.ssrn.com/sol3/papers.…
The RenAIssance of the tangible economy
The Mag7 now spend more on CAPEX than on R&D.
This may create both risks and opportunities:
📉 Costly overinvestment could lower future returns
🏰 But AI CAPEX could reinforce competitive moats
robeco.com/en-int/insights/2…
#MarketingCommunication #CapitalAtRisk
Five years ago, the #MemeStock frenzy drove markets crazy.
Five years on, the most heavily shorted stocks have underperformed, making 2021 look like a short-lived blip.
Or is the #MOASS still coming?
#MarketingCommunication #CapitalAtRisk
The Mag7 make up ~25% of MSCI World. Not the first time a handful of names dominate (remember Cisco, Nokia, Lucent?).
They shape the benchmark, but they don’t have to shape your alpha. Our systematic, benchmark-aware process taps the long tail instead.
robeco.com/en-int/insights/2…
Value is not dead, but quant is more than value!
To the day five years ago, the announcement of the successful Pfizer-BioNTech COVID-19 vaccine candidate results triggered a major market rotation.
Since then, the average #value stock has outperformed the average growth stock. Below, I share four graphs showing how value has evolved since the “vaccine day.”
1️⃣ Long-term performance
The enhanced value strategy in global equity markets, as defined in my paper with David Blitz (Resurrecting the Value Premium), has delivered solid long-term returns despite the challenging 2018–2020 period. The Pfizer-BioNTech news on 9 November 2020 marked the turning point. The shaded area presents out-of-sample data after posting the value paper on SSRN in October 2020 (papers.ssrn.com/sol3/papers.…).
In contrast, benchmark-aware approaches that take many diversified bets based on a strong quantitative model, where value is just one of many elements, have benefited from value exposure while maintaining balanced overall risk.
Taken together, these charts show that value is not dead. But they also remind us that quant investing is much more than value alone. It is about combining robust signals, continuous innovation, and adapting to new market situations.
While the MSCI World Index includes more than 1,300 stocks, the largest 10 stocks now account for just over 28% of its total market capitalization.
How much further, and for how much longer, can this trend continue?
Matthias Hanauer retweeted
🧟♂️ Read about Zombies this Halloween🎃
🧟♂️ The Walking Dead of the Equity Market 🕯️
As #halloween approaches, I take a look at one of the creepier corners of the equity market: firms that can barely cover their interest expenses yet remain alive. How present are these #zombie firms today?
🔗robeco.com/en-int/insights/2…
🧟♂️ The Walking Dead of the Equity Market 🕯️
As #halloween approaches, I take a look at one of the creepier corners of the equity market: firms that can barely cover their interest expenses yet remain alive. How present are these #zombie firms today?
🔗robeco.com/en-int/insights/2…
NEW insight article:
Using AI for selecting small-cap stocks
Small caps are back on the radar.
Less analyst coverage + more inefficiencies = fertile ground for ML & quant strategies.
🔗 robeco.com/en-int/insights/2…
📢 Study update: The double-edged virtue of model complexity
➡️ Local data is fine for simple models, but global data powers complex ones.
📄 Full paper: papers.ssrn.com/sol3/papers.…
