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Sutainability investing

All articles sustainability investing 2014

We believe that sustainability investing contributes to shareholder value in the long run. That is because implementing practices such as good governance and adopting effective policies on environmental issues and human rights can help companies to generate better results.

Sensible approach to rising interest rates

22-12-2014 | Insight | Jaap Hoek, Lukas Daalder, Remmert Koekkoek

How should pension funds deal with the risk of rising interest rates on the capital markets? Is it sensible to hedge interest rates or should we focus more on inflation risks? Three experts highlight the interest rate related issues for pension funds in the light of the new Financial Assessment Framework.

Risk Parity versus Mean-Variance: It’s all in the Views

19-12-2014 | Research | Winfried Hallerbach, PhD

The key problem in portfolio optimization is not per se the optimization itself, but the specification of the inputs, notably the views on ex-ante risk premia.

Short-term stock selection model boosts performance Enhanced Indexing

11-12-2014 | Research | Michael Strating, Weili Zhou, CFA, Wilma de Groot, CFA

Robeco Enhanced Indexing invests in global developed markets equities, and has a low tracking error against its benchmark, the MSCI World index. In recent years, performance has been strong. In this article we focus on one element that distinguishes Robeco’s strategy from those of others: our short-term stock selection model (SHOT).

Testing the simplest asset allocation rule: 1/N

04-12-2014 | Insight

An important decision investors have to make, is how to allocate their assets. They need to strike a balance between risk and expected return in order to realize their financial goals.

ESG integration: how to monitor your external manager?

28-11-2014 | Insight

While ESG integration seems high on the agenda of many asset owners, implementation remains a challenge when selecting and monitoring external managers. Cécile Churet, Sustainability Investing Client Specialist at RobecoSAM, researched the industry trends and concluded that there is still a long way to go.

One-stop shopping for the best in credits

17-11-2014 | Insight | Victor Verberk

The market practice of ‘segmentation’ – where investors allocate money to specific asset class segments such as investment grade or high yield bonds – has been commonplace over the years. But this sort of ‘silo-thinking’ remains an inflexible approach.

How factor investing also works for corporate bonds

11-11-2014 | Insight | Jeroen van Zundert, Patrick Houweling, PhD

Two Robeco researchers have become the first to analyze the effect that factor premiums can have on corporate bond investing.

Low-volatility investing: Expect the unexpected

06-11-2014 | Research | David Blitz, PhD, Pim van Vliet, PhD

Low-volatility stocks are known to lag in rising markets and lose less in falling markets. On average this is true, but is it always the case? Examining the historical evidence we find that unlikely scenarios – both positive and negative - do occur once in a while. Low-volatility investors should therefore not only focus on averages, but consider a broader range of possible outcomes.

Gordon’s growth formula supports case for low volatility stocks

03-11-2014 | Insight

The application of Gordon’s growth formula to a ‘Japan scenario’, low bond yields in combination with low expected growth and low inflation, supports the case for low volatility stocks. This simple formula (left side) states that the value of a stock is equal to the present value of the expected stream of dividends.

Core and Active Quant Emerging Markets: the importance of research

29-10-2014 | Research | Wilma de Groot, CFA

Robeco portfolio manager Wilma de Groot explains the importance of research and discusses two major new projects in her department. “ESG inclusion can be seen as a form of risk reduction”, she says.

Online is winning the shopping-cart war

28-10-2014 | Insight | Steef Bergakker

Consumers shop more frequently online. This is putting pressure on traditional grocery stores, says Robeco trend watcher Steef Bergakker. But there are also companies set to benefit.

What drives the value premium?

16-10-2014 | Research | David Blitz, PhD

The empirical evidence for the presence of a value premium in stock markets is overwhelming. But why does this phenomenon exist? A new white paper examines a popular explanation.

How factor investing fits into active vs passive

13-10-2014 | Insight

Factor investing is the talk of the town. But how does it fit into the debate of active versus passive? We interviewed two experts with different perspectives: one working for an index provider while the other represents an active management house.

Factors help asset owners to improve their portfolios


What are the challenges of smart beta and factor investing? Factor strategies will have a profound impact on the way portfolios are constructed, says James Price, Investment Consultant at Towers Watson.

Equities are the top picks for the next five years

03-10-2014 | Outlook | Lukas Daalder

What's hot and what's not for the next five years? Our portfolio managers, economists and strategists favor equities over bonds, due to the prospect of higher interest rates, but warn that returns are likely to be lower than during the previous 2014-2018 period.

When factors disagree

30-09-2014 | Research | Bart Van der Grient, David Blitz, PhD, Pim van Vliet, PhD

Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. But enhanced factor strategies avoid stocks that are unattractive on other established factors and continue to deliver when generic factor strategies struggle.

What history teaches us: 7 lessons for factor investing

29-09-2014 | Insight

Long-term historical data will give you insights for the future, says Professor Elroy Dimson. Investors should take the long view and be aware of factor exposures.

Valuing ESG impact at Robeco Global Equity

26-09-2014 | Insight | Willem Schramade

More and more investors recognize the importance of ESG integration. However, many parties tend to focus on screening and exclusion. While lots of ESG efforts are being made, the connection to business models and valuation tends to be missing. In this article we discuss how the Robeco Global Equity team tackles the challenge of linking ESG to value drivers.

The rise of Factor Investing – is it a hype?

25-09-2014 | Insight

Factor Investing is increasingly in the spotlight. Financial magazines run features on it, seminars are organized on the subject, and investors consider adopting its approach. Yet you might wonder: is it just a hype?

Pension Fund Implementation Case

19-09-2014 | Insight

How can factors be useful to implement de-risking programs of pension plans? Alex Neve, Director of equities at Univest talks about the lessons learned. Univest is the investment advisor of all Unilever pension plans.

Factor investing: why implementation is important

19-09-2014 | Insight | David Blitz, PhD, Joop Huij, PhD

Factor investing is becoming more popular. Professional investors are increasingly considering investing strategically in certain parts of the financial market which realize better risk-adjusted returns over longer periods. The question is: “How can investors best implement this strategy?”

Credit analysis and ESG: a perfect fit

17-09-2014 | Insight | Jankees Ruizeveld, Taeke Wiersma

One of the cornerstones of the investment philosophy of Robeco’s Credit team is that avoiding losers is more important than picking every winner. The team believes that integrating environmental, social and corporate governance (ESG) factors into its analysis strengthens the ability to assess the downside risk of its credit investments. The Credit team is therefore convinced that ESG and credit analysis are a perfect fit.

Why not all low-volatility stocks are equal

15-09-2014 | Insight | Arlette van Ditshuizen, Pim van Vliet, PhD

Low-volatility investing is becoming more popular. Many professional investors currently explicitly allocate a significant portion of their portfolio to low-volatility stocks. Robeco uses an enhanced approach to increase returns and reduce risk.

Efficiently harvesting the value premium

15-09-2014 | Insight | Maarten Polfliet

Value is one of the oldest factors in the world. Graham and Dodd already laid the intellectual foundation in the 1930s for what would later be called value investing and Basu published the first academic study in 1977 documenting the existence of the value premium.

No room for egos

11-09-2014 | Interview | Peter Ferket

Robeco’s assets under management in Quant Equities recently surpassed the EUR 20bn milestone. On this occasion, we asked Peter Ferket, CIO Equity Rotterdam and closely involved in Robeco Quant Equity since the late 1990s, how he explains the success of quant equity investing and Robeco’s role as a thought leader in this field.

Seven reasons for the rise of retailer Zara

09-09-2014 | Best read 2015 | Jack Neele

The company Inditex* may not be a well-known name outside Spain, but its flagship brand Zara certainly is. It is famous for selling fashionable clothing. So what are the secrets behind its success and why does Robeco Global Consumer Trends Equities invest in it? Interview with Portfolio Manager Jack Neele.

ESG integration, in particular for corporate bonds

08-09-2014 | Insight | Edith Siermann

Institutional investors are becoming increasingly aware of the fact that trends such as population growth, the scarcity of raw materials and globalization have an impact on a company's risks and opportunities. Under the pressure of regulators and investors, such as participants in pension funds, sustainable investing is slowly but surely evolving from a 'niche' to a general trend.

Pioneering and cautious since the very beginning

03-09-2014 | Volvo Ocean Race

Can you have a pioneering spirit and yet still exercise caution? At Robeco we have the strong belief that it is possible to be both pioneering and cautious by applying thorough research and past experience: you need to know what you are doing.

Efficient factor investing strategies - A ‘Sharper’ approach to harvesting factor premiums

27-08-2014 | Research | David Blitz, PhD, Joop Huij, PhD

There is a shift towards allocating to the factor premiums momentum, value and low volatility. However, since common factor indexes are a suboptimal way to harvest factor premiums, this paper shows the improved results of a more sophisticated approach. Factor strategies developed by Robeco lead to higher returns, while lowering the risks, resulting in higher Sharpe ratios.

The liquidity pitfall of passive investing

25-08-2014 | Insight | Patrick Houweling, PhD, Victor Verberk

Investing in ETFs can be very risky, especially during periods of limited liquidity. Patrick Houweling and Victor Verberk explain why and how active management and the use of derivatives can provide both a solution and an investment opportunity.

They're crazy, these Koreans

01-08-2014 | Column | Arnout van Rijn

Korea is a country of hard workers and heavy drinkers. According to the Organisation for Economic Cooperation and Development (OECD), people there work 50% longer hours, and according to the World Health Organization (WHO), 25% more alcohol is consumed there per adult than in the Netherlands. Indeed, there's an interdependency there: no sooner is their long office day over, Koreans start overindulging in the traditional soju (rice wine) over dinner with clients and colleagues, and later drink excessive amounts of whiskey and cognac at a night club.

Food & Health – Benefiting from the trend towards a healthier lifestyle

30-07-2014 | Peter van der Werf

More and more people across the world are adopting an unhealthy lifestyle that could lead to health problems as they get older. Excessive consumption of certain foods and drinks is a big part of this problem, so food and beverage makers are under increasing pressure to respond to this issue. Those that fail to respond, run the risk of suffering falling revenues: Changes in the regulatory and taxation systems, lawsuits, and consumer pressure are all driving the need for companies to change. Those that respond to this issue effectively will maximize their chances of achieving a sustainable, reputable operating model over the longer term.

Are low-volatility stocks becoming expensive?

25-07-2014 | Insight | Pim van Vliet, PhD

Low-volatility stocks are in high demand. According to Pim van Vliet, portfolio manager of Conservative Equities, a generic low-volatility strategy is getting more expensive. An enhanced approach is necessary to prevent buying too expensive stocks.

'The best of two worlds' - alternating between mean variance and risk parity

25-07-2014 | Insight | Roderick Molenaar

Choices relating to asset allocation have major effect on the risk/return characteristics of investment portfolios. New academic insights have led to important innovations in this area. One of these is implementing a market view in a risk-parity portfolio.

Duration model performs well in times of large yield changes

24-07-2014 | Research | Johan Duyvesteyn, PhD, CFA, Martin Martens, PhD, Olaf Penninga

Robeco’s quantitative duration model drives the performance of quant duration solutions such as Robeco Lux-o-rente and Robeco Flex-o-rente. We monitor the performance of the model and regularly investigate in which circumstances the model performs well and which conditions are more challenging.

Integrating ESG in Euro Government Bond portfolios

07-07-2014 | Insight | Olaf Penninga, Rikkert Scholten

The ESG ranking of a number of euro periphery countries has improved, after having reached a low in 2010. These changes give information on developments in a country’s investment risk. We use this information to identify trends in, for instance, the political climate that are relevant for our investment decisions.

ESG integration, in particular for Corporate bonds

03-07-2014 | Insight

Read more ...

‘There are clear benefits in combining separate quant and fundamental strategies’

27-06-2014 | Insight

APG states that combining separate quantitative and fundamental strategies has clear benefits. We talked to Ronald van Dijk, APG’s head of developed market equities.

Hope for our health

27-06-2014 | Insight | Henk Grootveld

The development of new cures for severe diseases and the aging of the population have blown up healthcare costs. Fortunately, new tools and technologies promise to enhance productivity and improve healthcare quality.

Life-cycle investing demands tailored solutions

18-06-2014 | Insight | Tom Steenkamp

The future earning capacity of the workforce varies according to the profession and the individual. In the case of both collective DC schemes and individual life-cycle investment plans, this impacts the investment mix.

15 Years of Quantitative Emerging Markets Research

13-06-2014 | Research | Wilma de Groot, CFA

In 1999, fifteen years ago, Robeco found that quantitative stock selection techniques known to be effective in developed markets are also able to deliver superior investment results in emerging markets. What are the biggest takeaways from the research done and how does the model work in practice?

Two new funds: Global Credits & Emerging Credits

09-06-2014 | News item | Reinout Schapers, Victor Verberk

Today Robeco proudly launched two new credit funds: Robeco Global Credits and Robeco Emerging Credits. Both funds will apply a total return strategy giving greater flexibility to invest into other asset classes. This will give a diversified exposure to the global credit markets.

How Smart is 'Smart Beta' Investing?

05-06-2014 | Research | David Blitz, PhD

Investors increasingly embrace “smart beta” investing, by which we mean passively following an index in which stock weights are not proportional to their market capitalizations, but based on some alternative weighting scheme. Examples include fundamentally-weighted indices and minimum-volatility indices. In this whitepaper we first take a critical look at the pros and cons of smart beta investing in general. After this we successively discuss the most popular types of smart indices that have been introduced in recent years.

The impact of ESG on credit portfolios: the energy sector

09-05-2014 | Insight | Taeke Wiersma

Policy makers around the world are issuing regulations to reduce air pollution and climate change.

The dark side of passive investing

06-05-2014 | Insight | David Blitz, PhD

Passive investing has become increasingly popular. Despite its undeniable appeal, there are also some considerations which should make investors think again about the desirability of a passive approach.

Water: our most precious resource

24-04-2014 | Insight

Water is a precious, yet finite resource essential for life, with no adequate substitute. Supplying and allocating water of adequate quality and in sufficient quantity is one of the major challenges facing society today. Watch the video.

Quant investing in liquid high yield

24-04-2014 | Patrick Houweling, PhD

Robeco introduced Robeco Quant High Yield Fund on March 28, 2014. By investing in credit default swap (CDS) indices, this fund offers liquid exposure to global high yield, allowing investors to tactically trade in and out of this asset category at low costs. Performance is driven by a proprietary quantitative market-timing model with a solid track record of over ten years.

Distress Risk basket enhanced in Conservative Credits

24-04-2014 | Insight | Georgi Kyosev, Jeroen van Zundert, Patrick Houweling, PhD, Paul Beekhuizen

Research by Robeco and academic researchers shows that a low-risk anomaly exists in credit markets: low-risk credit portfolios earn higher risk-adjusted returns than high-risk portfolios over a full market cycle.

Investment portfolios: take a look under the hood

22-04-2014 | Insight | David Blitz, PhD, Joop Huij, PhD

You would not be pleased if you thought you had the right exposures to factors that drive expected returns, but it turns out you actually have precisely the opposite tilts. This is happening quite often though. Quantitative researcher Joop Huij and head of equity research David Blitz argue that institutional investors should be careful when assessing asset managers.

When a high yield can be too high – beware the triple-Cs

13-03-2014 | Insight | Sander Bus

The search for yield can come at a price if investors chase bigger returns without factoring in the extra risk involved, warns Robeco’s Sander Bus.

Three trends with a strong impact on the financial sector

28-02-2014 | Insight | Patrick Lemmens

Which three trends are drastically changing the financial sector? Interview with Robeco portfolio manager Patrick Lemmens.

Lower-growth Europe ‘better for corporate bonds’

20-02-2014 | Insight | Sander Bus

Europe currently offers a better investing environment for corporate bonds compared with the US as companies are more conservatively managed on this side of the Atlantic, according to fund manager Sander Bus.

Factor investing and its implementation: ‘All roads lead to Rome’

10-02-2014 | Interview

Interest in factor investing - investing in systematic sources of return - is rapidly increasing. But how are pension funds incorporating factor investing into their portfolios and investment processes?

‘Factor investing will unleash a revolution’

06-02-2014 | Interview

A revolution in investment management is about to happen due to factor investing, says Professor Andrew Ang. Factor benchmarks to assess investment managers will contribute hugely to this change.

How quantitative easing impacts the duration model’s performance

15-01-2014 | Insight | Johan Duyvesteyn, PhD, CFA, Martin Martens, PhD, Olaf Penninga

With its quantitative easing programs, the Fed has distorted bond markets, especially by reducing volatility. This has negatively affected the performance of the duration model.

Making better credit risk assessments

06-01-2014 | Interview | Patrick Houweling, PhD

Ground-breaking research by Robeco that changed the way the riskiness of corporate bonds can be evaluated has celebrated its 10th anniversary. This riskiness needs to be carefully calculated as bonds issued by companies have a greater chance of defaulting than government bonds. Their returns can also be more volatile, as they are linked to the underlying performance of the company that issues the bond.

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