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

  • Robeco Quantitative Investments

SCHOLARLY PAPERS

41

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76

CROSSREF CITATIONS

36

Scholarly Papers (41)

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1.

Diversifying Risk Parity

Downloads 3,773 ( 5,129)
Citation 15

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 3,773 (5,030)
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 9
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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
Harald Lohre, Carsten Rother and Kilian Axel Schäfer
Robeco Quantitative Investments, Invesco and Metzler Asset Management
Downloads 3,440 (5,958)
Citation 6

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

3.

Factor Zoo (.zip)

Number of pages: 36 Posted: 15 Nov 2023 Last Revised: 21 Nov 2023
Alexander Swade, Matthias X. Hanauer, Harald Lohre and David Blitz
Lancaster University - Department of Accounting and Finance, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 3,261 (6,617)

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

4.

How Can Machine Learning Advance Quantitative Asset Management?

Number of pages: 21 Posted: 10 Jan 2023
David Blitz, Tobias Hoogteijling, Harald Lohre and Philip Messow
Robeco Quantitative Investments, Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Asset Management
Downloads 3,254 (6,550)

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machine learning, asset management, portfolio management, factor investing

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
Edward Leung, Harald Lohre, David Mischlich, Yifei Shea and Maximilian Stroh
Invesco, Robeco Quantitative Investments, Invesco, Invesco and Quoniam Asset Management
Downloads 2,707 (8,702)
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.

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 2,239 (11,830)
Citation 2

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Macro Factors, Factor Investing, Diversification, Markov Switching

7.

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 1,942 (14,871)

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

8.

Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?

Journal of Portfolio Management, 49 (5), 167–187
Number of pages: 26 Posted: 22 Nov 2022 Last Revised: 26 Apr 2023
Alexander Swade, Sandra Nolte (Lechner), Mark B. Shackleton and Harald Lohre
Lancaster University - Department of Accounting and Finance, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and Robeco Quantitative Investments
Downloads 1,783 (16,958)

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

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
Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother and Patrick Vosskamp
dichtl research & consulting GmbH, University of Hamburg, Robeco Quantitative Investments, Invesco and Allianz Global Investors
Downloads 1,722 (17,862)
Citation 11

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

10.

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 1,499 (22,099)
Citation 8

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Return Predictability, Regime Switching, Predictive Regressions

11.

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
Harald Lohre, Thorsten Neumann and Thomas Winterfeldt
Robeco Quantitative Investments, Neu-Ulm University of Applied Sciences and DG HYP
Downloads 1,358 (25,570)
Citation 3

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Portfolio Optimization, Downside Risk

12.

Investing Through a Macro Factor Lens

Risk & Reward, 2020, 4th issue, pp. 26-34
Number of pages: 11 Posted: 08 Feb 2021
Harald Lohre, Robert S Hixon, Jay Raol, Alexander Swade, Hua Tao and Scott Wolle
Robeco Quantitative Investments, affiliation not provided to SSRN, Invesco, Lancaster University - Department of Accounting and Finance, Invesco and affiliation not provided to SSRN
Downloads 1,275 (28,122)

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Macro Factors, Factor Investing, Diversification, Factor Completion

13.

Power Sorting

Number of pages: 58 Posted: 28 Aug 2023
Anastasios Kagkadis, Harald Lohre, Ingmar Nolte, Sandra Nolte (Lechner) and Nikolaos Vasilas
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 1,215 (30,128)

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Factor Investing, Portfolio Construction, Power Sorting

14.

Investing in a Multi-Asset Multi-Factor World

Risk & Reward, 2017, 3rd issue, pp. 4-11
Number of pages: 10 Posted: 12 Oct 2017
Alexandar Cherkezov, Harald Lohre, Sergey Protchenko and Jay Raol
Invesco, Robeco Quantitative Investments, IQS and Invesco
Downloads 917 (44,893)

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Style factors, factor investing, maximum diversification, risk parity

15.

Data Snooping and the Global Accrual Anomaly

Downloads 893 (46,637)
Citation 18

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 893 (45,951)
Citation 18

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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

16.

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 889 (46,895)
Citation 1

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

17.

International Price and Earnings Momentum

Downloads 864 (48,681)
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 864 (47,987)
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

18.

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
Lakshmi Ranganathan, Harald Lohre, Sandra Nolte (Lechner) and Houssem Braham
Lancaster University, Robeco Quantitative Investments, Lancaster University Management School and BlackRock, Inc
Downloads 785 (55,486)

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

19.

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 781 (55,867)
Citation 3

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

20.

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

Number of pages: 62 Posted: 01 Jun 2020 Last Revised: 17 Mar 2021
Söhnke M. Bartram, Harald Lohre, Peter F. Pope and Lakshmi Ranganathan
University of Warwick, Robeco Quantitative Investments, Bocconi University and Lancaster University
Downloads 780 (55,964)
Citation 5

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

21.

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

Journal of Investment Management, Forthcoming
Number of pages: 23 Posted: 29 Apr 2022
Janina Kolle, Harald Lohre, Erhard Radatz and Carsten Rother
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 725 (62,077)

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

22.

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
Martin Kolrep, Harald Lohre, Erhard Radatz and Carsten Rother
, Robeco Quantitative Investments, Invesco and Invesco
Downloads 623 (74,957)

Abstract:

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

23.

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 614 (76,281)
Citation 1

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optimal commodity strategies, parametric portfolio policies, timing and tilting

24.

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 458 (109,402)

Abstract:

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

25.

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 438 (115,248)

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

26.

Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 07 Jul 2017
Martin Kolrep, Harald Lohre and David Happersberger
, Robeco Quantitative Investments and Lancaster University - Department of Accounting and Finance
Downloads 408 (125,189)

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

27.

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 400 (128,099)
Citation 1

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

28.

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 398 (129,942)
Citation 4

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

29.

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 397 (129,206)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

30.

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
Martin Kolrep, Harald Lohre, Erhard Radatz and Carsten Rother
, Robeco Quantitative Investments, Invesco and Invesco
Downloads 394 (130,287)

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Portfolio insurance, Tactical asset allocation

31.

Second-Order Risk of Alternative Risk Parity Strategies

Downloads 325 (161,387)
Citation 1

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 324 (160,852)

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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 (1,093,677)
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estimation risk, second-order risk, portfolio construction, risk parity, diversification

32.

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 296 (177,465)

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factor investing, factor timing

33.

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 260 (202,445)

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FX, Hedging, Minimum-Variance

34.

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
Harald Lohre, David Happersberger and Alexandar Cherkezov
Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 206 (253,032)

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Factor Investing, Portfolio Insurance, CPPI, DPPI

35.

ControversyBERT: Detecting Social Controversies and their Impact on Stock Returns

Journal of Impact and ESG Investing, Forthcoming
Number of pages: 29 Posted: 26 Jul 2023
Harald Lohre, Sandra Nolte (Lechner), Lakshmi Ranganathan, Carsten Rother and Margit Steiner
Robeco Quantitative Investments, Lancaster University Management School, Lancaster University, Invesco and Invesco
Downloads 181 (284,069)

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

36.

Evaluating Risk Mitigation Strategies

Risk & Reward, 2018, 2nd issue, pp. 27-31
Number of pages: 6 Posted: 30 Aug 2018
Harald Lohre, David Happersberger and Erhard Radatz
Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 175 (292,582)

Abstract:

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Portfolio Insurance, CPPI, DPPI

37.

A Factor-Based Approach to Diversifying Oil Exposure

Risk & Reward, 2019, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 11 Jul 2019
Harald Lohre, Erhard Radatz, Carsten Rother and mark humphreys
Robeco Quantitative Investments, Invesco, Invesco and Invesco Investment Solutions
Downloads 163 (310,916)

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

38.

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
Alexander Swade, Harald Lohre, Mark B. Shackleton, Sandra Nolte (Lechner), Robert S Hixon and Jay Raol
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

Abstract:

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Macro Factors, Factor Investing, Diversification, Factor Completion

39.

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

40.

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
Hubert Dichtl, Wolfgang Drobetz, Harald Lohre and Carsten Rother
dichtl research & consulting GmbH, University of Hamburg, Robeco Quantitative Investments and Invesco

Abstract:

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

41.

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
Harald Lohre, Dr. Ulrich Neugebauer and Carsten Zimmer
Robeco Quantitative Investments, Deka Investment GmbH and Deka Investment GmbH

Abstract:

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