Strategic Style Allocation: Absolute or Relative? | Idea Farm

Strategic Style Allocation: Absolute or Relative?

Robeco

Pim van Vliet

Research

17 Pages

November 2025

Robeco examines how to allocate equity styles for absolute versus benchmark-relative goals, demonstrating how factor combinations can be tailored to meet different investment objectives.

Date Published: September 2025

Key Takeaways

Objective drives mix: For absolute returns, ~60% low-vol raises Sharpe ~45%; benchmark-relative mixes hit IR up to 0.81.

Timing skill hurdle: Dynamic rotation adds value only with >60% monthly accuracy after 0.20% costs; static mixes often win.

Integration works best: Integrated models deliver SR 0.71 and IR 0.76 while reducing timing risk and netting turnover.

Portfolio Management Asset Allocation

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