Quant Allocation

Collected Robeco Articles

This book, which is dedicated to ‘quant allocation’, is the third in a series of collected research articles. Earlier volumes focused on low volatility investing and factor based investing, mostly in the equity market. This time, we look beyond the stock market and expand our analysis to include other major asset classes.

In a way, this book closes a gap in our series of research reference works, since ‘quant allocation’ strategies have the longest live track record of any of Robeco’s wide range of quantitative solutions. Over the years, we have accumulated a wealth of theoretical and practical knowledge that we are happy to share with our clients.

But what makes this knowledge valuable? And what makes for excellent research anyway? Many would argue that good research is simply research that successfully gets through the demanding and rigorous peer review process of the most prestigious academic journals. Indeed, ensuring adherence to the highest scientific standards, is certainly of utmost importance.

At Robeco, however, we see things slightly differently. We believe good research, valuable research, should, first and foremost, aim to improve the investment strategies we offer. That means, for example, that contrary to most peer-reviewed academic journals, which tend to favor research that supports the hypothesis being tested,1 we consider ‘non-results’ just as meaningful.

We never forget that our purpose, as asset managers, is to enable our clients to achieve their financial objectives through superior investment returns and solutions. And we know that, for investors, ‘non-results’ are also extremely significant, even if they don’t stand a chance of getting published in peer-reviewed academic journals.

They help determine which investment strategies don’t work in practice, even if they are based on seemingly good ideas. And we know that avoiding bad investment ideas is just as crucial as finding good ones. So, while getting published on a regular basis is obviously commendable, it should only be incidental and should not be considered anything more than a welcome side effect.

In fact, most of our research effort does not lead to positive conclusions on the hypothesis being tested. And while the articles gathered in this book – some of which have been published in prestigious journals – demonstrate the outstanding nature of our research, they are only the tip of the iceberg.

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