Robeco, The Investments Engineers
blue circle

20-02-2023 · インサイト

Signals are green for quant investing

As we reflect on decades’ worth of experience in quant investing, our impression is that the future looks bright. One of the many things we have been reminded of along the way is that a formula which will win in the long run can sometimes feel like riding a rollercoaster in the short run.


  • David Blitz - チーフ・リサーチャー

    David Blitz


  • Pim van Vliet - コンサバティブ株式運用責任者 兼 クオンツ株式運用責任者

    Pim van Vliet

    コンサバティブ株式運用責任者 兼 クオンツ株式運用責任者

This was certainly the case during the 2018-2020 quant equity malaise, highlighting how ‘strong hands’ are a necessary ingredient for long-term success. Investors tend to flock to strategies with strong short-term returns and flee from those experiencing short-term performance challenges. This means they could end up locking in the losses of a factor bear market and miss out on a significant portion of a factor bull market.

Having witnessed multiple factor bull and bear markets, we are struck by how often people prematurely decry the demise of factor investing. For instance, more than 100 years of empirical evidence supporting a factor like value can be easily dismissed in the face of three or so years of underperformance. As we tend to say, quant investing is often more a test of character than a test of intelligence.

But on the other hand, this is also why factor premiums are difficult to arbitrage, because in the short run they are anything but risk-free. As such, we are confident that factor investing will remain alive and healthy for the foreseeable future. Additionally, the value spreads of several factors point to ‘under crowding’, which is supportive of future return expectations.

Next-generation quant

We are also excited by the possibilities presented by the big data revolution and exponential growth in computing power. Compared to its fundamental sibling, the swift systematic analysis of vast amounts of data is one of the unique elements of quant investing. These developments help us harness the power of this investment approach even further in areas related to returns, risk and sustainability, for example.

For returns, the likelihood of successfully exploiting non-standard patterns should increase as return databases expand. Next-generation quant strategies can also be designed to target sources of alpha orthogonal to existing factors, such as short-term signals that are uncorrelated with traditional Fama-French factors. Regarding risk, by spotting complex patterns machine learning algorithms can be used to predict which firms potentially face financial distress, especially since risk is often nonlinear.

Meanwhile, the rise of sustainable investing potentially marks the ‘end of passive investing’ – as we know it – as varying client beliefs and interpretations require an active approach. To this end, quant platforms can cater to the increasing demand for customized solutions that focus on client-specific financial and sustainability goals.

Moreover, alternative data and advanced techniques could be used to develop proprietary sustainability data that is helpful in addressing some of the complex challenges investors face, such as calculating Scope 3 trajectories, measuring real-world impact in portfolios, etc.

As technology advances, so do the opportunities for quantitative investors. By incorporating more data and leveraging advanced modelling techniques, we can develop deeper insights and enhance decision-making.

Culture eats quant strategies for breakfast

Peter Drucker supposedly said “culture eats strategy for breakfast”. Relatedly, quant investing has increasingly become a team sport over time. Staying ahead of the curve with cutting-edge research calls for investing in state-of-the-art infrastructure and employing smart people.

However, it is more important than ever to carefully look for genuine signals in this era of burgeoning data sources and modeling techniques. With more data, there is increased risk of data mining or uncovering spurious results. Thus, we believe in a cautious approach to innovation. To this end, our investment philosophy of evidence-based research, economic rationale and prudent investing also applies to new variables or methods.

Importantly, innovation should be underpinned by a strong 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 flat structure and direct communication that offers everyone an opportunity to engage and speak up is key. In other words, a culture where junior members can safely challenge their seniors and contribute to discussions. This competition of ideas helps to shape an innovative research agenda.

Quant investing is more a vocation than an occupation

As an asset manager, our clients entrust us with their savings. Therefore, we have a duty to act as responsible stewards of their capital and to help them achieve their financial and sustainability goals. This means we have to exercise prudence in our decision-making and align ourselves with their objectives by investing our own capital in our strategies. We derive great pleasure and purpose from our jobs as we continuously undertake sustainable innovation to deliver quality results for our clients.

From an asset owner perspective, we believe that quant investing will become an even more important part of the investment toolbox. More specifically, it will not only help them to generate attractive returns over the full investment horizon, but also in an increasingly sustainable manner.

Therefore in our humble and admittedly biased opinion, we believe the signals are green for quant investing.

Download the full article

A similar version of the full article was also included in the 150th anniversary edition of the VBA Journaal titled “The future of investing”.


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