Harald Lohre

Robeco Quantitative Investments

Executive Director

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

34

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24,490

SSRN CITATIONS
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SSRN RANKINGS

Top 13,817

in Total Papers Citations

50

CROSSREF CITATIONS

34

Scholarly Papers (34)

1.
Downloads 3,470 ( 4,705)
Citation 13

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 3,470 (4,608)
Citation 4

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

Diversifying Risk Parity

Journal of Risk, Vol. 16, No. 5, 2014
Number of pages: 28 Posted: 08 Jun 2016
Harald Lohre, Heiko Opfer and Gabor Orszag
Robeco Quantitative Investments, Deka Investment GmbH and Deka Investment GmbH
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Citation 8
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Diversifying, risk parity

2.

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 2,706 (7,077)
Citation 6

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

3.

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 2,122 (10,553)
Citation 2

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

4.

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 1,425 (19,471)
Citation 8

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

5.

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 1,412 (19,727)
Citation 4

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Return Predictability, Regime Switching, Predictive Regressions

6.

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 1,303 (22,252)
Citation 2

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Portfolio Optimization, 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 1,273 (23,145)

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Macro Factors, Factor Investing, Diversification, Markov Switching

8.
Downloads 869 ( 39,794)
Citation 16

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 869 (39,245)
Citation 16

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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

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

9.

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, Lancaster University - Department of Accounting and Finance, Invesco and affiliation not provided to SSRN
Downloads 864 (40,276)

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Macro Factors, Factor Investing, Diversification, Factor Completion

10.

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 852 (40,889)

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Style factors, factor investing, maximum diversification, risk parity

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 837 (41,375)
Citation 1

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

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 26 Posted: 19 Jan 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 6 (881,285)
Citation 5

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

12.
Downloads 839 ( 41,770)
Citation 5

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 839 (41,233)
Citation 5

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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

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

13.

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 733 (50,005)
Citation 3

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

14.

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, Bocconi University and Lancaster University
Downloads 626 (61,460)

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

15.

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
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 536 (74,767)
Citation 1

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

16.

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 466 (88,617)
Citation 1

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optimal commodity strategies, parametric portfolio policies, timing and tilting

17.

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 Invesco
Downloads 402 (105,113)

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

18.

Tailoring Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 1st issue, pp. 18-23
Number of pages: 8 Posted: 12 Jun 2018
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 395 (107,318)

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

19.

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 380 (112,155)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

20.

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 364 (117,697)
Citation 1

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

21.

Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 07 Jul 2017
Invesco, Robeco Quantitative Investments and Lancaster University - Department of Accounting and Finance
Downloads 363 (118,063)

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

22.

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 337 (128,056)
Citation 4

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

23.

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
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 336 (128,890)

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Portfolio insurance, Tactical asset allocation

24.

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 333 (129,683)

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

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 287 (150,733)

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

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk, Forthcoming
Number of pages: 25 Posted: 04 Feb 2019
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 1 (952,318)
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estimation risk, second-order risk, portfolio construction, risk parity, diversification

26.

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 261 (166,736)

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factor investing, factor timing

27.

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
Invesco and Robeco Quantitative Investments
Downloads 232 (186,915)

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FX, Hedging, Minimum-Variance

28.

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 174 (242,284)

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Factor Investing, Portfolio Insurance, CPPI, DPPI

29.

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 150 (273,949)

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Portfolio Insurance, CPPI, DPPI

30.

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 136 (296,003)

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

31.

Macro Factor Investing with Style

Journal of Portfolio Management, 2022 Quantitative Special Issue, forthcoming
Posted: 28 Sep 2021 Last Revised: 08 Feb 2022
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School, affiliation not provided to SSRN and Invesco

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Macro Factors, Factor Investing, Diversification, Factor Completion

32.

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

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

33.

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

34.

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