Laurens Swinkels, Robeco – The Global Market Portfolio, (Realistic) Expected Returns & Global Factor Premiums | #392
Today’s guest is Laurens Swinkels, Robeco’s Head of Quant Strategy and one of my favorite authors. In today’s episode, we walk through some of Laurens’ favorite research. We begin with the global market portfolio, how it’s evolved over time and where crypto fits in today. Then we talk about his research on factor performance dating back to the 19th century. We also cover his framework for determining expected returns for all major asset classes and why he and his team decided to include climate change in that analysis for the first time this year. Be sure to stick around until the end when we touch on sin stocks, ESG, and even the tokenization of real estate and other assets.
Key Points
- The global market portfolio, which includes all financial assets that can be traded among investors, has evolved over time with varying allocations between equities and bonds, and currently includes a small slice for cryptocurrencies, reflecting their growing acceptance as an investable asset class.
- Factor investing, which focuses on specific asset characteristics like value and momentum, has shown consistent performance dating back to the 19th century, suggesting that despite being well-known, these factors may continue to offer investment advantages due to persistent behavioral and institutional inefficiencies.
- Sustainable and ESG investing practices, including the exclusion of SIN stocks, may not effectively drive significant change in corporate behavior, and investors seeking real-world impact should consider the nuances of primary versus secondary markets and the potential influence they can exert through active ownership and engagement.
Resources: Laurens' research on the global market portfolio (papers here and here) Laurens’ research on global factor premiums since 1800 Robeco’s huge report on expected returns Erasmus School of Economics
Chapters
| 1:35 | |
| 2:20 | |
| 3:57 | |
| 11:15 | |
| 15:00 | |
| 21:22 | |
| 28:09 | |
| 31:15 | |
| 42:38 | |
| 52:18 | |
| 55:37 |
Transcript
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