This time’s no different: Robeco’s faith in 200-year backtests

Firm’s (very) long-term studies suggest factor strategies can soften hit from stagflation

Over the past five years a team at Robeco, working with Erasmus University Rotterdam, has collected information from newspaper records and stock exchange archives to build finance’s equivalent of the Domesday Book. The €200 billion Dutch manager has collated data on stocks, bonds, macroeconomic and equity factors, and news sentiment published since 1866. A few of its datasets stretch back to the start of the 19^th century.

Among their key findings is that factor investment strategies ultimately