japanja

Efficient (advanced) approach

An investment approach that uses smart rules for stock selection and portfolio construction. The aim of this is to increase returns and to lower both risks and costs.

Robeco has developed an efficient approach of its own, which distinguishes between rewarded and unrewarded risk. Clearly, we will want to avoid the unrewarded risks.

In addition, we select not only individual factors, but also include others in the assessment to prevent the positive effect of one factor being eradicated by the negative effect of another.

Example: when following a pure momentum strategy, investors pick mainly stocks with a high valuation. As a result, the Value factor will have a negative effect on returns. However, by also taking this factor into account, investors can avoid paying too much for momentum stocks.

A number of things stand in the way of actually harvesting factor premiums, and transaction costs form one of the biggest obstacles. An efficient approach is one that limits the number of transactions. Another aspect is to obtain effective distribution over sectors in order to prevent excessive dependency on any one specific sector.

Ultimately, this approach will lead to much higher expected returns at a lower level of risk. The table below shows the results of this efficient approach using three factors relative to the market-weighted index.

クオンツ運用
クオンツ運用

ロベコは25年以上にわたりクオンツ運用をリードし、応用研究を実践的なソリューションに適用してきました。

さらに読む

Table 1. Substantial improvements: Returns 5-6% per year; Sharpe ratio 0.3 - 0.5
Source: Robeco Quantitative Strategies; Blitz, Huij, Lansdorp & van Vliet (2013): 'Efficient factor investing strategies'. The random test covers the period June 1988 through December 2011. Returns are net of transaction costs. For low volatility, Conservative Equity data have in fact been used as of September 2006.

Investors should always strive to understand observed performance
Investors should always strive to understand observed performance
Mathijs van Dijk is Professor of Financial Markets at the Rotterdam School of Management, Erasmus University.
02-12-2020 | インタビュー
Quant solutions must look beyond the most conventional factors
Quant solutions must look beyond the most conventional factors
Quant strategies have come under pressure over the past two years.
24-11-2020 | インタビュー
Long read: Why I am more bullish than ever on quant
Long read: Why I am more bullish than ever on quant
Following more than two years of quant strategies generally underperforming sharply, investors are questioning whether quantitative investing is still viable.
11-11-2020 | Column