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Active Quant Equity

Active Quant Equity

Aiming for high alpha from exposure to multiple factors

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.

Get in touch with us

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

Contact

Related strategies

Important legal information

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.

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