Harald Lohre

Robeco Quantitative Investments

Head of Quant Equity Research

Weena 850

Rotterdam, 3011 AG

Netherlands

Lancaster University Management School

Honorary Researcher

Bailrigg

Lancaster LA1 4YX

United Kingdom

http://www.lancaster.ac.uk/lums/people/harald-lohre

SCHOLARLY PAPERS

47

DOWNLOADS
Rank 829

SSRN RANKINGS

Top 829

in Total Papers Downloads

55,325

TOTAL CITATIONS
Rank 13,844

SSRN RANKINGS

Top 13,844

in Total Papers Citations

99

Scholarly Papers (47)

1.

Factor Zoo (.zip)

The Journal of Portfolio Management, Quantitative Special Issue 2024, 50 (3) 11-31 DOI: 10.3905/jpm.2023.1.561
Number of pages: 36 Posted: 15 Nov 2023 Last Revised: 26 Apr 2024
State Street Global Markets - State Street Associates, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 6,956 (2,167)
Citation 5

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Factor zoo, factor model, factor investing, alpha, GRS test

2.

How Can Machine Learning Advance Quantitative Asset Management?

The Journal of Portfolio Management, volume 49, issue 9, 2023[10.3905/jpm.2023.1.460]
Number of pages: 21 Posted: 10 Jan 2023 Last Revised: 28 Jan 2025
Robeco Quantitative Investments, Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Institutional Asset Management
Downloads 4,043 (5,479)

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machine learning, asset management, portfolio management, factor investing

3.

Diversifying Risk Parity

Journal of Risk, Vol. 16, No. 5, 2014, pp. 53-79
Number of pages: 29 Posted: 19 Dec 2011 Last Revised: 23 Jul 2014
Harald Lohre, Heiko Opfer and Gabor Orszag
Robeco Quantitative Investments, Deka Investment GmbH and Deka Investment GmbH
Downloads 3,979 (5,618)
Citation 4

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Risk-based Asset Allocation, Risk Parity, Diversification, Entropy

4.

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Chapter 9 in: Machine Learning and Asset Management, Emmanuel Jurczenko (ed.), Iste and Wiley, 2020, pp. 332-368
Number of pages: 33 Posted: 08 Jan 2020 Last Revised: 09 Nov 2020
Robeco Quantitative Investments, Invesco and Metzler Asset Management
Downloads 3,929 (5,741)
Citation 6

Abstract:

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Multi-asset Multi-factor Investing, Diversification, Hierarchical Risk Parity, Tail Dependence

5.

The Promises and Pitfalls of Machine Learning for Predicting Stock Returns

Number of pages: 41 Posted: 27 Mar 2020 Last Revised: 31 Mar 2021
Invesco, Robeco Quantitative Investments, Invesco, Invesco and Quoniam Asset Management
Downloads 3,004 (8,871)
Citation 8

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Machine Learning, Data Science, Interpretable Machine Learning, Return Prediction, Cross-Section of Stock Returns, Gradient Boosting, Factor Investing

6.

The Golden Rule of Investing

Journal of Alternative Investments, forthcoming
Number of pages: 18 Posted: 04 Apr 2023 Last Revised: 01 Nov 2023
Pim van Vliet and Harald Lohre
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,910 (9,322)

Abstract:

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Strategic asset allocation, gold, defensive equities, low-volatility investing, loss aversion, downside risk

7.

Diversifying Macroeconomic Factors — For Better or for Worse

Number of pages: 54 Posted: 08 Jan 2021
Livia Amato and Harald Lohre
University of Chicago - Booth School of Business and Robeco Quantitative Investments
Downloads 2,737 (10,266)
Citation 2

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Macro Factors, Factor Investing, Diversification, Markov Switching

8.

A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles

Number of pages: 33 Posted: 13 Feb 2024
State Street Global Markets - State Street Associates, Robeco Quantitative Investments, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 2,032 (16,602)
Citation 1

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Macroeconomic factors, diversification, business cycles, Black-Litterman

9.

Optimal Timing and Tilting of Equity Factors

Financial Analysts Journal, 2019, Vol. 75(4), pp. 84-102
Number of pages: 31 Posted: 15 Dec 2018 Last Revised: 23 Oct 2019
dichtl research & consulting GmbH, University of Hamburg, Robeco Quantitative Investments, Invesco and Allianz Global Investors
Downloads 2,023 (16,651)
Citation 6

Abstract:

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asset allocation, factor investing, factor timing, factor tilting, parametric portfolio policy

10.

Investing Through a Macro Factor Lens

Risk & Reward, 2020, 4th issue, pp. 26-34
Number of pages: 11 Posted: 08 Feb 2021
Robeco Quantitative Investments, affiliation not provided to SSRN, Invesco, State Street Global Markets - State Street Associates, Invesco and affiliation not provided to SSRN
Downloads 1,767 (20,642)
Citation 1

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Macro Factors, Factor Investing, Diversification, Factor Completion

11.

Regime Shifts and Stock Return Predictability

International Review of Economics and Finance, Vol. 56, Issue C, July 2018, pp. 138-160
Number of pages: 50 Posted: 04 Jun 2014 Last Revised: 06 Aug 2019
Regina Hammerschmid and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 1,595 (24,095)
Citation 8

Abstract:

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Return Predictability, Regime Switching, Predictive Regressions

12.

Portfolio Construction with Downside Risk

Chapter 12 in: Portfolio Theory and Management, H. Kent Baker and Gregory Filbeck (eds.), Oxford University Press, 2013, pp. 268-292
Number of pages: 34 Posted: 25 Mar 2008 Last Revised: 09 Nov 2020
Robeco Quantitative Investments, Neu-Ulm University of Applied Sciences and DG HYP
Downloads 1,432 (28,331)
Citation 3

Abstract:

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Portfolio Optimization, Downside Risk

13.

Power Sorting

Number of pages: 65 Posted: 28 Aug 2023 Last Revised: 30 May 2024
University of Liverpool Management School, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 1,359 (30,617)
Citation 1

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Factor Investing, Portfolio Construction, Portfolio Weights, Power Sorting

14.

3D Investing: Jointly Optimizing Return, Risk, and Sustainability

Number of pages: 27 Posted: 20 Dec 2023 Last Revised: 05 Aug 2024
David Blitz, Mike Chen, Clint Howard and Harald Lohre
Robeco Quantitative Investments, Robeco Quantitative Investments, Abu Dhabi Investment Authority and Robeco Quantitative Investments
Downloads 1,301 (32,737)
Citation 4

Abstract:

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sustainable investing, portfolio optimization, carbon footprint, sustainable development goals (SDG), ESG, factor investing

15.

Beyond GMV: The relevance of covariance matrix estimation for risk-based portfolio construction

Number of pages: 44 Posted: 17 Jan 2024 Last Revised: 13 Feb 2025
Erasmus University Rotterdam (EUR), Abu Dhabi Investment Authority, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,066 (43,683)

Abstract:

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minimum variance portfolio, risk-based portfolios, shrinkage, factor models, portfolio optimization

16.

Causal Network Representations in Factor Investing

Number of pages: 55 Posted: 24 Jan 2024 Last Revised: 14 Dec 2024
Clint Howard, Harald Lohre and Sebastiaan Mudde
Abu Dhabi Investment Authority, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,043 (45,037)

Abstract:

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causal discovery, factor investing, asset pricing, financial networks, market timing

17.

An Integrated Approach to Currency Factor Investing

Journal of Systematic Investing, 2023, Vol. 3(1), pp. 1-25
Number of pages: 30 Posted: 09 May 2023 Last Revised: 30 May 2023
Invesco, Robeco Quantitative Investments, Lancaster University Management School and BlackRock, Inc
Downloads 1,019 (46,552)

Abstract:

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Currency tilting, carry trade, factor timing, currency timing, parametric portfolio policy

18.

Investing in a Multi-Asset Multi-Factor World

Risk & Reward, 2017, 3rd issue, pp. 4-11
Number of pages: 10 Posted: 12 Oct 2017
Invesco, Robeco Quantitative Investments, IQS and Invesco
Downloads 991 (48,399)

Abstract:

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Style factors, factor investing, maximum diversification, risk parity

19.

Navigating the Factor Zoo Around the World: An Institutional Investor Perspective

Number of pages: 62 Posted: 01 Jun 2020 Last Revised: 17 Mar 2021
University of Warwick, Robeco Quantitative Investments, London School of Economics & Political Science (LSE) and Invesco
Downloads 965 (50,174)
Citation 8

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Asset pricing, mispricing, risk factor, institutional investor, transaction costs, limits to arbitrage, market efficiency, anomaly

20.

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 37 Posted: 08 Jul 2013 Last Revised: 12 Mar 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 952 (51,048)
Citation 1

Abstract:

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commodity strategies, risk-based portfolio construction, risk parity, diversification

21.
Downloads 931 (52,638)
Citation 20

Data Snooping and the Global Accrual Anomaly

EFA 2007 Ljubljana Meetings Paper
Number of pages: 43 Posted: 21 Mar 2008 Last Revised: 12 Oct 2010
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 931 (51,808)
Citation 20

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Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect

Data Snooping and the Global Accrual Anomaly

Applied Financial Economics, Vol. 22, No. 7, 2012
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Robeco Quantitative Investments and University of Zurich

Abstract:

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accrual anomaly, market efficiency, multiple hypotheses testing, momentum effect

22.

Factor Investing in Paris: Managing Climate Change Risk in Portfolio Construction

Journal of Investment Management, Forthcoming
Number of pages: 23 Posted: 29 Apr 2022
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 925 (53,201)
Citation 4

Abstract:

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Factor Investing, Portfolio Optimization, Sustainable Investments, Net Zero Framework, Paris Alignment

23.
Downloads 909 (54,384)
Citation 6

International Price and Earnings Momentum

Number of pages: 44 Posted: 17 Mar 2008 Last Revised: 17 Sep 2012
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 909 (53,557)
Citation 6

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Earnings Momentum, Price Momentum, Market Efficiency, Multiple Hypotheses Testing, Information Uncertainty, Liquidity

International Price and Earnings Momentum

European Journal of Finance, Vol. 18, No. 5-6, 2012, pp. 535-573
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Robeco Quantitative Investments and University of Zurich

Abstract:

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earnings momentum, price momentum, market efficiency, multiple hypothesis testing, information uncertainty, liquidity

24.

The Use of Correlation Networks in Parametric Portfolio Policies

Number of pages: 24 Posted: 06 Oct 2014
Harald Lohre, Jochen Papenbrock and Muddit Poonia
Robeco Quantitative Investments, NVIDIA GmbH and Indian Institute of Technology Kharagpur
Downloads 823 (62,292)
Citation 3

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Correlation Networks, Parametric Portfolio Policies, Market Timing, Sector Allocation

25.

Integrating Time Series and Cross-Sectional Signals for Optimal Commodity Portfolios

Number of pages: 45 Posted: 01 Jan 2020 Last Revised: 26 Oct 2020
Regina Hammerschmid and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 726 (73,560)
Citation 1

Abstract:

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optimal commodity strategies, parametric portfolio policies, timing and tilting

26.

Economic Versus Statistical Clustering in Multi-Asset Multi-Factor Strategies

Risk & Reward, 2020, 1st issue, pp. 26-32
Number of pages: 8 Posted: 16 Mar 2020
, Robeco Quantitative Investments, Invesco and Invesco
Downloads 695 (77,948)

Abstract:

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Multi-asset multi-factor investing, diversification, hierarchical risk parity

27.

Currency Management with Style

Risk & Reward, 2018, 1st issue, pp. 30-35
Number of pages: 8 Posted: 22 May 2018
Harald Lohre and Martin Kolrep
Robeco Quantitative Investments and
Downloads 516 (113,282)

Abstract:

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Currency hedging, currency style factors, carry, value, momentum, tail-hedging

28.

Tailoring Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 1st issue, pp. 18-23
Number of pages: 8 Posted: 12 Jun 2018
Joo Hee Lee, Harald Lohre, Jay Raol and Carsten Rother
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 467 (127,963)

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Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

29.

Estimating Portfolio Risk for Tail Risk Protection Strategies

European Financial Management, Vol. 26, Issue 4, pp. 1107–1146, 2020
Number of pages: 47 Posted: 05 Jun 2017 Last Revised: 03 Sep 2020
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments and Lancaster University - Department of Accounting and Finance
Downloads 455 (131,680)
Citation 4

Abstract:

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Tail Risk Protection, CPPI, DPPI, Risk Modelling, Value-at-Risk, Expected Shortfall, Forecast Combination, Return Synchronization

30.

Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 07 Jul 2017
, Robeco Quantitative Investments and Lancaster University - Department of Accounting and Finance
Downloads 444 (135,690)

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Portfolio insurance, risk forecasting, CPPI, DPPI, Stop loss, Synthetic Put

31.

Tail Risk Management for Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 4th issue, pp. 14-20
Number of pages: 9 Posted: 20 Feb 2019
David Chambers, Harald Lohre and Carsten Rother
University of Cambridge - Judge Business School, Robeco Quantitative Investments and Invesco
Downloads 440 (137,592)
Citation 1

Abstract:

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Factor Investing, Tail Risk Management, Maximum Diversification, Risk Parity

32.

On the Relevance of Strategic and Tactical Asset Allocation for Portfolio Insurance

Risk & Reward, 2020, 2nd issue, pp. 4-10
Number of pages: 9 Posted: 05 Jun 2020
, Robeco Quantitative Investments, Invesco and Invesco
Downloads 439 (137,592)

Abstract:

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Portfolio insurance, Tactical asset allocation

33.

The Dispersion Effect in International Stock Returns

Journal of Empirical Finance, Vol. 29, December 2014, pp. 331–342
Number of pages: 25 Posted: 01 Jun 2008 Last Revised: 28 Aug 2015
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 433 (139,722)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

34.

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk, 2019, Vol. 21(3), pp. 1-25
Number of pages: 30 Posted: 26 Dec 2017 Last Revised: 12 Mar 2021
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 362 (171,142)

Abstract:

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Estimation Risk, Second-Order Risk, Portfolio Construction, Risk Parity, Diversification

35.

A Forecast Combination Approach to Equity Factor Timing

Risk & Reward, 2020, 1st issue, pp. 41-46
Number of pages: 8 Posted: 07 Apr 2020
Michael Fraikin, Edward Leung and Harald Lohre
affiliation not provided to SSRN, Invesco and Robeco Quantitative Investments
Downloads 344 (181,523)

Abstract:

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factor investing, factor timing

36.

Risk-Based Currency Management

Risk & Reward, 2017, 1st issue, pp. 20-24
Number of pages: 7 Posted: 07 Apr 2017
Martin Kolrep and Harald Lohre
and Robeco Quantitative Investments
Downloads 287 (219,447)

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FX, Hedging, Minimum-Variance

37.

The Use of Equity Factor Investing for Portfolio Insurance

Risk & Reward, 2018, 3rd issue, pp. 32-38
Number of pages: 9 Posted: 26 Nov 2018
Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 233 (271,515)

Abstract:

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Factor Investing, Portfolio Insurance, CPPI, DPPI

38.

Sustainability Matters: Company SDG Scores Need Not Have Size, Location, and ESG Disclosure Biases

Number of pages: 16 Posted: 11 Jul 2024
Lewei He, Harald Lohre and Jan Anton van Zanten
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 223 (282,101)

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Environmental, Social and Governance (ESG), ESG Ratings, Sustainable Development Goals (SDGs), Sustainable Investing, Corporate Sustainability

39.

The Impact of Misleading Corporate Communication on Stock Performance

Number of pages: 29 Posted: 26 Jun 2024
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance and Lancaster University - Lancaster University Management School
Downloads 197 (316,833)

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Misleading Communication, Environmental Social and Governance (ESG), ESG incidents, Greenwashing, Event Studies

40.

Evaluating Risk Mitigation Strategies

Risk & Reward, 2018, 2nd issue, pp. 27-31
Number of pages: 6 Posted: 30 Aug 2018
Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 193 (324,374)

Abstract:

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Portfolio Insurance, CPPI, DPPI

41.

A Factor-Based Approach to Diversifying Oil Exposure

Risk & Reward, 2019, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 11 Jul 2019
Robeco Quantitative Investments, Invesco, Invesco and Invesco Investment Solutions
Downloads 180 (345,848)

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Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

42.

ControversyBERT: Detecting Social Controversies and their Impact on Stock Returns

The Journal of Impact and ESG Investing, Fall 2023, 4 (1) 87 - 108 DOI: 10.3905/jesg.2023.1.076
Posted: 26 Jul 2023
Robeco Quantitative Investments, Lancaster University Management School, Invesco, Invesco and Invesco

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Sustainable finance, social standards, natural language processing, controversy screening, large language models, BERT

43.

Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?

The Journal of Portfolio Management, April 2023, 49 (5) 167- 187 DOI: 10.3905/jpm.2023.1.482
Posted: 22 Nov 2022 Last Revised: 17 Apr 2024
State Street Global Markets - State Street Associates, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and Robeco Quantitative Investments

Abstract:

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Equal-weighting, factor models, size, value, momentum

44.

Macro Factor Investing with Style

Journal of Portfolio Management, 2022 Quantitative Special Issue, Vol. 48(2), pp. 80-104
Posted: 28 Sep 2021 Last Revised: 16 Feb 2023
State Street Global Markets - State Street Associates, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School, affiliation not provided to SSRN and Invesco

Abstract:

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Macro Factors, Factor Investing, Diversification, Factor Completion

45.

Rates Factors and Global Asset Allocation

Journal of Fixed Income, Winter 2021, Vol. 30(3), pp. 6-25
Posted: 30 Jul 2020 Last Revised: 11 Feb 2021
Joshua Kothe, Harald Lohre and Carsten Rother
affiliation not provided to SSRN, Robeco Quantitative Investments and Invesco

Abstract:

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Factor-based models, style investing, fixed income, structured finance

46.

Active Factor Completion Strategies

Journal of Portfolio Management, 2021 Quantitative Special Issue, Vol. 47(2), pp. 9-37
Posted: 16 Apr 2019 Last Revised: 08 Feb 2022
dichtl research & consulting GmbH, University of Hamburg, Robeco Quantitative Investments and Invesco

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Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing, Factor-based Models, Portfolio Management/Multi-Asset Allocation, Style Investing

47.

Diversified Risk Parity Strategies for Equity Portfolio Selection

Journal of Investing, 2012, Vol. 21(3), pp. 111-128
Posted: 01 May 2012 Last Revised: 08 Feb 2022
Robeco Quantitative Investments, Deka Investment GmbH and Deka Investment GmbH

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risk-based portfolio construction, risk parity, diversification, entropy