The Robeco Trading Desk executes around 22,000 quantitative equity orders a year. Robeco has traders in three different time zones around the world (Rotterdam, Boston and Hong Kong). This live presence enables us to monitor the executions closely and react immediately on price movements in stocks. “We keep our trading costs low through a combination of factors – low execution commissions, local presence in all time zones, long average trading experience of our traders, an extensive broker list and the use of dedicated Cash and Algo/PT traders.” says Edwin Scheffers.
“Trading costs are not only a consideration for our Trading Desk. Quantitative Research uses its own Robeco Expected Trading Cost Model to calculate costs before a trade is executed. It is used for all emerging market equity transactions and takes the implicit and expected trading costs into account, including taxes and bid-ask spreads. This pre-trade information is used to construct portfolios and plan trades. But the best way to cut trading costs is to avoid expensive trades altogether.”
“We have built our own model because we were not satisfied with the existing third-party solutions. These models typically assume standard trades in terms of size, timing and location that substantially differ from our actual trades. Our model has been calibrated with over 60,000 Robeco trades over multiple years, making it more accurate. Another advantage of having an in house model is speed. Our model is fully integrated; while using third-party models involves the cumbersome procedure of uploading potential trades, downloading the output and uploading and processing the output back into Robeco’s systems. The time to market would suffer greatly as a result.”
“Our equity trades are systematically analyzed by our external TCA (Transaction Cost Analysis) provider ITG (Investment Technology Group). ITG looks at commissions and market impact, comparing the performance of traders and broker-dealers against a defined benchmark. This data is provided both on a daily and quarterly basis.”
“ITG data shows that we are adding value to our trades. In terms of market impact Robeco added value of 1 bp for developed markets and 7 bps for emerging markets compared to the estimated trading costs calculated by ITG. Our strong results are partly due to our large network of 75 brokers, giving us access to a lot of liquidity. ”In 2014 our commissions for developed quant equity trades were around 4 bps lower than those of our peers, and 9 bps lower for emerging markets. The average commission we pay has fallen every year.“
“The daily ITG data is vital as it gives immediate feedback on how well a trade is executed and on our traders’ performance. Most days our equity traders don’t leave their desks for more than a few minutes at a time, they eat their lunch in front of their screens. This ensures that they are constantly aware of the status of any open order and of market developments that may affect its execution.”
“The Trading Desk processes a large volume and wide range of orders and focuses on best execution and fair allocation. Portfolio managers and traders cooperate on the best execution strategy of a trade, but there is a strict division of responsibilities. Portfolio managers can’t execute trades and traders can’t initiate or create orders.”
‘We do not pay for broker research’
“The equity orders are entered into Charles River, our order management and compliance system, which sorts them into different blotters based on liquidity, value, spread and special instructions. Our traders check the proposed execution method and also any additional instructions from the portfolio manager. The two most common order types are ‘market’ orders, where we aim to achieve the best possible price from the moment we receive the order at the desk, and ‘market on close’ orders, where the order should be executed at a better price or as close as possible to the closing price of the day. The most suitable execution strategy is determined by the order instruction from the portfolio manager and any additional instructions.”
“We use three common trading techniques:
“Quant equity trades are executed primarily through Algo and Program trades. These trades represent around 90% of the total quant equity trades and around 65% of the total value. For developed markets, Algo and Program represent around 80% of the total value while this figure lies around 50% for emerging markets. The commission costs for quant transactions are execution only as we do not pay for broker research because the quant models are used to select stocks. Negotiating well with our brokers and using the right execution techniques benefit our clients.”
The content displayed on this website is exclusively directed at qualified investors, as defined in the swiss collective investment schemes act of 23 june 2006 ("cisa") and its implementing ordinance, or at “independent asset managers” which meet additional requirements as set out below. Qualified investors are in particular regulated financial intermediaries such as banks, securities dealers, fund management companies and asset managers of collective investment schemes and central banks, regulated insurance companies, public entities and retirement benefits institutions with professional treasury or companies with professional treasury.
The contents, however, are not intended for non-qualified investors. By clicking "I agree" below, you confirm and acknowledge that you act in your capacity as qualified investor pursuant to CISA or as an “independent asset manager” who meets the additional requirements set out hereafter. In the event that you are an "independent asset manager" who meets all the requirements set out in Art. 3 para. 2 let. c) CISA in conjunction with Art. 3 CISO, by clicking "I Agree" below you confirm that you will use the content of this website only for those of your clients which are qualified investors pursuant to CISA.
Representative in Switzerland of the foreign funds registered with the Swiss Financial Market Supervisory Authority ("FINMA") for distribution in or from Switzerland to non-qualified investors is Robeco Switzerland AG, Josefstrasse 218, 8005 Zürich, and the paying agent is UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zürich. Please consult www.finma.ch for a list of FINMA registered funds.
Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco/Robeco Switzerland AG product should only be made after reading the related legal documents such as management regulations, articles of association, prospectuses, key investor information documents and annual and semi-annual reports, which can be all be obtained free of charge at this website, at the registered seat of the representative in Switzerland, as well as at the Robeco/Robeco Switzerland AG offices in each country where Robeco has a presence. In respect of the funds distributed in Switzerland, the place of performance and jurisdiction is the registered office of the representative in Switzerland.
This website is not directed to any person in any jurisdiction where, by reason of that person's nationality, residence or otherwise, the publication or availability of this website is prohibited. Persons in respect of whom such prohibitions apply must not access this website.