What inspired you to enter the field of quant investing?
“I got into quant investing probably due to a mixture of inclination and skill, but also because of many fortunate coincidences. When I was very young, my father switched professions, from being a math professor to becoming an early adopter of quant investing. Hence, I grew up with that notion from an early age. Later, I was therefore naturally lured into studying mathematical finance at the University of Konstanz.”
“Importantly, I was part of the first group of students to study this course. As a result, I had a close connection with the finance faculty and developed a liking for academic rigor. But I also realized that I was genuinely motivated whenever I saw the practical relevance of the academic problems we had to solve. Thus, the desire to seize the best of both worlds in terms of investment theory and portfolio management ultimately put me on the path to quant investing.”
Why did you decide to join Robeco?
“Given my career path in academia and asset management, I have always had an affinity with research and have encouraged my younger colleagues to follow a similar route to achieve personal and professional growth. This is reflected in my connection with Lancaster University, where I co-supervise a group of PhD students. Therefore, I was naturally attracted by Robeco as an organization that puts research first.”
“The opportunity to join Robeco’s group of like-minded investment professionals is a treat, and it broadens the opportunity set for joint academic ventures and will have positive spillover effects for the PhD collaborations. Robeco is a household name in quant investing. This boils down to it having a highly-functioning team of quant investment professionals, who are focused on nurturing a strong research culture. This was a key feature for me, as our shared beliefs made it a natural move.”
What type of culture generates the best research?
“Culture is key. And that’s not just in research. If we think about the quality of our products and services, these are crucially driven by the quality of our research. Therefore, it is important to embrace a research culture that rewards high-quality research. Meritocracy is central to this, as the best ideas should always win, regardless of who proposes them. For this to happen, a safe environment that offers everyone an opportunity to engage and speak up is key.”
“With regard to quant investing, the problems we are trying to solve have become quite complex, and often call for collaboration across disciplines. In this sense, quant investing is very much a team sport, in fact more so than ever. In my view, you need a sense of togetherness, where everyone is accountable for making a difference. In terms of actual research, you need to follow a strong research protocol, especially if you want to separate sheep from goat factors in an ever-expanding zoo of factors.”
What is your favorite factor?
“Being a father of four, there can only be one answer: you have to love them all. But jokes aside, one should avoid such favoritism from an investment perspective too. All factors come with strengths and weaknesses. And these can play out at different times throughout the cycle. Yet, given how challenging it is to predict the latter, a diversified approach to factor investing is a prudent choice.”
クオンツに関する最新の「インサイト」を読む
ロベコのニュースレターにご登録いただくことで、いち早く最新のインサイトを入手し、環境に優しいポートフォリオの構築にお役立てください。
What is a relevant academic paper you have recently read?
“The paper1 that comes to mind looks at navigating the factor zoo, with and without transaction cost considerations. This is very much in line with our objective. Translating factors into portfolios comes with costs and frictions, and this paper analyzes how much portfolio decisions differ when costs are either considered or not considered. The researchers use a parametric portfolio policy framework to evaluate these choices and trade-offs against investor utility.”
“I believe this is a meaningful perspective, as it does not just focus on what returns are attached to a given factor, but also on how this ultimately translates into investor utility, and what factors an investor will choose in light of the transaction costs. It turns out that an investor would actually choose significantly more factors if transaction costs are taken into consideration. This sheds some light on the underlying trading cost diversification investors can benefit from if they have exposure to more factors in their portfolio.”
What lessons have you drawn from the recent quant winter of 2018-2020?
“The quant winter was a very humbling event for me. It was an extremely difficult period as many of our key beliefs were truly tested given the protracted nature of the phase. Specifically, we construct portfolios based on certain factor characteristics that we deem relevant over the long run, leading to diversified portfolios. However, over this period, the winning strategy was represented by a few growth stocks that would, in turn, result in more concentrated market indices. As a result, our investment paradigm was temporarily turned upside down.”
“Yet, further down the road, we have now seen the resurrection of value and other factor premia, confirming our long-held investment rationale. Ultimately, this provides a good lesson about sticking to your investment philosophy. And while it has been the right thing to do, it was a true test of character. Of course, it is vital to regularly question your approach and to leave no stone unturned. But one must refrain from overreacting. A strong research culture enables you to stay true to your investment philosophy in such difficult periods and to communicate your approach accordingly so as to keep focused on the long-term perspective.”
How do you see the future of quant investing?
“I believe the future of quant is bright. Investing is all about processing information into portfolio decisions. In this era of burgeoning novel data sources, it is more important than ever to carefully look for genuine signals. But this is exactly what quant investing has been about since the start. If you think about recent advances in computing power, methodology, machine learning and natural language processing, they have all progressed in lockstep with the increase in data availability. These advances ultimately enable quant investors to tap such data sources to develop a deeper understanding of markets, thus helping us to keep our investment proposition relevant.”
“But turning investment theory into practice is tough. If you scour the academic literature, you tend to mostly learn about the good things that seem to work. For us, it is always a question of whether it really works in practice. Given positive publication bias, we often have sobering outcomes on this front. But ultimately, our job is to separate the wheat from the chaff and to distinguish between what really adds value and what does not. Again, this all falls back on having a strong research culture and a robust process. I look forward to navigating this sea of information alongside my new colleagues at Robeco.”
重要事項
当資料は情報提供を目的として、Robeco Institutional Asset Management B.V.が作成した英文資料、もしくはその英文資料をロベコ・ジャパン株式会社が翻訳したものです。資料中の個別の金融商品の売買の勧誘や推奨等を目的とするものではありません。記載された情報は十分信頼できるものであると考えておりますが、その正確性、完全性を保証するものではありません。意見や見通しはあくまで作成日における弊社の判断に基づくものであり、今後予告なしに変更されることがあります。運用状況、市場動向、意見等は、過去の一時点あるいは過去の一定期間についてのものであり、過去の実績は将来の運用成果を保証または示唆するものではありません。また、記載された投資方針・戦略等は全ての投資家の皆様に適合するとは限りません。当資料は法律、税務、会計面での助言の提供を意図するものではありません。 ご契約に際しては、必要に応じ専門家にご相談の上、最終的なご判断はお客様ご自身でなさるようお願い致します。 運用を行う資産の評価額は、組入有価証券等の価格、金融市場の相場や金利等の変動、及び組入有価証券の発行体の財務状況による信用力等の影響を受けて変動します。また、外貨建資産に投資する場合は為替変動の影響も受けます。運用によって生じた損益は、全て投資家の皆様に帰属します。したがって投資元本や一定の運用成果が保証されているものではなく、投資元本を上回る損失を被ることがあります。弊社が行う金融商品取引業に係る手数料または報酬は、締結される契約の種類や契約資産額により異なるため、当資料において記載せず別途ご提示させて頂く場合があります。具体的な手数料または報酬の金額・計算方法につきましては弊社担当者へお問合せください。 当資料及び記載されている情報、商品に関する権利は弊社に帰属します。したがって、弊社の書面による同意なくしてその全部もしくは一部を複製またはその他の方法で配布することはご遠慮ください。 商号等: ロベコ・ジャパン株式会社 金融商品取引業者 関東財務局長(金商)第2780号 加入協会: 一般社団法人 日本投資顧問業協会