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Sustainable Active Quant Equity

Sustainable Active Quant Equity

Aiming for high alpha from exposure to multiple factors with a higher sustainability profile

Key points:

  • Proven model focused on selecting stocks that exhibit good value, quality, momentum, analyst revisions and sustainability characteristics
  • Disciplined and transparent portfolio management process that controls relative risks and integrates advanced measures of sustainability
  • Based on the active strategy with a strong track record in emerging markets since 2008

Philosophy

Robeco’s quantitative investment strategies are based on the following beliefs:

Evidence-based research. Identifying factors that are rewarded with superior risk-adjusted performance. This includes extensive empirical testing over longer periods and in different markets.

Economic rationale. We want to move beyond statistical patterns and understand the economic drivers behind factors. Risks that are not adequately rewarded should be avoided.

Prudent investing. We manage easily explainable portfolios and prevent unnecessary trading costs, and we integrate environmental, social and governance (ESG) factors."

Process

The strategy invests in stocks by applying a quantitative investment strategy. The strategy aims to maximize the excess return versus the benchmark and deliver a superior sustainability profile, while controlling relative risk. The sector and country weights resemble those of the MSCI Emerging Markets Index, but we overweight attractive stocks and underweight unattractive ones.

Attractiveness is assessed by an integrated multi-factor model that considers a balance of valuation, quality, momentum and analyst revisions. We combine these factors with a better sustainability profile. We take into account the following aspects of sustainability:

  • Overall better ESG profile than the market.
  • 20% reduction of environmental footprint based on impact scores.
  • Exclusion of companies with a controversial business model (e.g. tobacco and firearms).
  • Voting and engagement for portfolio holdings"

Regions

The strategy is available in different investment regions: global developed markets and emerging markets.

Region

Emerging markets

Benchmark

MSCI Emerging Markets Index

Information ratio target

0.7

Tracking error (expected average)

3%

Number of stocks strategy

≈ 180

Inception date

July 2017

Team

Our strategy is managed by an experienced group of investment professionals within an organization which is fully committed to quantitative investing. The team consists of more than 40 portfolio managers and quantitative researchers dedicated solely to quantitative investing, research and model development.

The team closely cooperates with RobecoSAM, which focuses exclusively on ESG. RobecoSAM provides the stock-specific sustainability information for the strategy.

Get in touch with us

Contact us if you would like to know more about this topic.

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Disclaimer

BY CLICKING ON “I AGREE”, I DECLARE I AM A WHOLESALE CLIENT AS DEFINED IN THE CORPORATIONS ACT 2001.

What is a Wholesale Client?
A person or entity is a “wholesale client” if they satisfy the requirements of section 761G of the Corporations Act.
This commonly includes a person or entity:

  • who holds an Australian Financial Services License
  • who has or controls at least $10 million (and may include funds held by an associate or under a trust that the person manages)
  • that is a body regulated by APRA other than a trustee of:
    (i) a superannuation fund;
    (ii) an approved deposit fund;
    (iii) a pooled superannuation trust; or
    (iv) a public sector superannuation scheme.
    within the meaning of the Superannuation Industry (Supervision) Act 1993
  • that is a body registered under the Financial Corporations Act 1974.
  • that is a trustee of:
    (i) a superannuation fund; or
    (ii) an approved deposit fund; or
    (iii) a pooled superannuation trust; or
    (iv) a public sector superannuation scheme
    within the meaning of the Superannuation Industry (Supervision) Act 1993 and the fund, trust or scheme has net assets of at least $10 million.
  • that is a listed entity or a related body corporate of a listed entity
  • that is an exempt public authority
  • that is a body corporate, or an unincorporated body, that:
    (i) carries on a business of investment in financial products, interests in land or other investments; and
    (ii) for those purposes, invests funds received (directly or indirectly) following an offer or invitation to the public, within the meaning of section 82 of the Corporations Act 2001, the terms of which provided for the funds subscribed to be invested for those purposes.
  • that is a foreign entity which, if established or incorporated in Australia, would be covered by one of the preceding paragraphs.
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