The discovery of commonly recognised asset pricing anomalies such as value, momentum, low volatility and quality led to the establishment of the evidence-based approach that we know today as factor investing. Factor investing has led to Nobel prize laureates, trillions of invested dollars from sovereign wealth funds and retail investors – and, more recently, quite disappointing returns. Although heavily sought after, academics and practitioners are yet to find a way to effectively time these proven factors. In order to maximise the probability of outperformance in a whole new world, investors should not attempt to time, but rather allocate to well-diversified and balanced multi-factor portfolios that are based on thorough research and provide consistent exposure to the targeted factors. - Simon Lansdorp, Robeco. Earn 0.50 CE/CPD hrs on Portfolio Construction Forum