Active Quant Equity
Key points:
- Proven stock ranking model focused on selecting stocks that exhibit good value, quality, momentum and analyst revisions characteristics
- Disciplined and transparent portfolio management process that controls relative risks and integrates sustainability
- Strong track record in emerging markets since 2008 and, given its success, also available in other regions
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 that aims to maximize the excess return versus the benchmark while controlling relative risk. The sector and country weights resemble those of the MSCI Market Index, but we overweight attractive stocks and underweight unattractive ones. Attractiveness is assessed by a multi-factor model that considers a balance of valuation, quality, momentum and analyst revisions.
Regions
The strategy is available for different investment regions: global developed markets, emerging markets, the Asia-Pacific market and the China A-share market.
Region |
Global developed markets |
Emerging markets |
China |
Benchmark |
MSCI World Index |
MSCI Emerging Markets Index |
MSCI China A- International Index |
Information ratio target |
0.8 |
0.8 |
0.8 |
Tracking error (expected average) |
3% |
3% |
3% |
Number of stocks strategy |
≈ 250 |
≈ 200 |
≈ 200 |
Inception date |
March 2018 |
January 2008 |
November 2017 |
Team
Our strategies are 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 equities, bonds and multi-asset products, research and model development.
