In this Norges Bank Investment Management (NBIM) paper , the authors conducted an empirical study of six stock characteristics that are associated with quality: (1) gross profitability, (2) cash flows, (3) leverage, (4) change in net debt, (5) EPS stability, and (6) EPS quality. They used a global sample over the period 1994-2015 and found overwhelming evidence of excess returns for these quality factors. An equally-weighted combination generates an excess return of 8.94 percent with an information ratio of 0.95.
It is difficult to find risk-based explanations for why high-quality stocks should outperform low-quality stocks, as the low-quality stocks typically seem riskiest. Behavioral and institutional explanations that have been put forward in the literature for the quality effect therefore appear to be more plausible.
At Robeco, we subscribe to the idea that quality variables lead to excess returns. They have formed part of our quantitative stock selection models since the launch of our first quant equity strategy back in 2002, and a dedicated equity quality factor strategy was launched in 2016. Moreover, we also apply quality variables in our quantitative corporate bond selection models that are used in our factor credit strategies.
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 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 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.