Sustainable Quality Equity
Key points:
- Application of the Quality factor in stock-selection models since 2002
- Lower ESG Risk Rating, lower environmental footprint and exclusions
- Our distinctive quality definitions incorporate profitability, earnings quality and investments
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. Proven track record with information ratio > 0.5 since inception in 2013.
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 take an active approach to investor stewardship reflected in portfolio positioning.
Process
Stock selection is the sole performance driver. All decisions are based on the ranking generated by Robeco’s proprietary Quality equities stock selection model and portfolio construction process. They capture the Quality factor in a smart way, effectively dealing with the challenges a generic quality strategy faces.
The sustainability approach focuses on a 10% lower ESG Risk profile and a 30% lower carbon footprint than the reference index. Furthermore, we exclude companies with low SDG scores and apply values-based exclusions according to certain broad ethical norms.
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 a dedicated sustainability research team, which focuses exclusively on ESG and provides the stock-specific sustainability information for the strategy.
