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‘Improve the sustainability while limiting deviations from the benchmark’“In the second part of the investment process, each stock in the benchmark is assessed and scored based on valuation and momentum factors, which generate above-average investment returns in the long run. In the third step, we combine both parts of the investment process to produce the stock ranking and construct the portfolio. Stocks with attractive sustainability and quantitative characteristics are overweighted relative to the benchmark, while companies with less attractive profiles are underweighted.”
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