The Meb Faber Show
The Meb Faber Show
Feb 21, 2022
Laurens Swinkels, Robeco – The Global Market Portfolio, (Realistic) Expected Returns & Global Factor Premiums | #392
Play • 1 hr

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.

-----

Follow Meb on Twitter, LinkedIn and YouTube

For detailed show notes, click here

To learn more about our funds and follow us, subscribe to our mailing list or visit us at cambriainvestments.com

-----

Today’s episode is sponsored by MUD\WTR. MUD/WTR is a coffee alternative that supports your morning ritual without all the anxiety and jitters of coffee. Get your starter kit and free frother at mudwtr.com/meb and use code FABER for 15% off.

-----

  • (1:35) – Intro
  • (2:20) – Welcome to our guest, Laurens Swinkels
  • (3:57) – Laurens' research on the global market portfolio (papers here and here)
  • (11:15) – Link to Laurens’ research
  • (15:00) – Where does crypto fit in the global market portfolio?
  • (21:22) – Laurens’ research on global factor premiums since 1800 (link)
  • (28:09) – How investors should think about factor investing
  • (31:15) – Laurens’ research into sustainable investing, ESG and sin stocks
  • (42:38) – Robeco’s huge report on expected returns
  • (52:18) – Other areas Laurens is researching
  • (55:37) – Laurens' most memorable investment over his career

Learn more about your ad choices. Visit megaphone.fm/adchoices

More episodes
Search
Clear search
Close search
Google apps
Main menu