Robeco logo

Disclaimer

1. General
Please read this information carefully.

This website is prepared and issued by Robeco Hong Kong Limited ("Robeco"), which is a corporation licensed by the Securities and Futures Commission in Hong Kong to engage in Type 1 (dealing in securities); Type 2 (dealing in futures contracts); Type 4 (advising in securities) and Type 9 (asset management) regulated activities. The Company does not hold client assets and is subject to the licensing condition that it shall seek the SFC’s prior approval before extending services at retail level. This website has not been reviewed by the Securities and Futures Commission or any regulatory authority in Hong Kong.

2. Important risk disclosures
Important risk disclosures Robeco Capital Growth Funds (“the Funds”) are distinguished by their respective specific investment policies or any other specific features. Please read carefully for the risks of the Funds:

  • Some Funds are subject to investment, market, equities, liquidity, counterparty, securities lending and foreign currency risk and risk associated with investments in small and/or mid-capped companies.

  • Some Funds are subject to the risks of investing in emerging markets which include political, economic, legal, regulatory, market, settlement, execution, counterparty and currency risks.

  • Some Funds may invest in China A shares directly through the Qualified Foreign Institutional Investor (“QFII”) scheme and / or RMB Qualified Foreign Institutional Investor (“RQFII”) scheme and / or Stock Connect programmes which may entail additional clearing and settlement, regulatory, operational, counterparty and liquidity risk.

  • For distributing share classes, some Funds may pay out dividend distributions out of capital. Where distributions are paid out of capital, this amounts to a return or withdrawal of part of your original investment or capital gains attributable to that and may result in an immediate decrease in the net asset value of shares.

  • Some Funds’ investments maybe concentrated in one region / one country / one sector / around one theme and therefore the value of the Fund may be more volatile and may be subject to concentration risk.

  • The risk exists that the quantitative techniques used by some Funds may not work and the Funds’ value may be adversely affected.

  • In addition to investment, market, liquidity, counterparty, securities lending, (reverse) repurchase agreements and foreign currency risk, some Funds are subject to risk associated with fixed income investments like credit risk, interest rate risk, convertible bonds risk, ABS risk and the risk of investments in non-investment grade or unrated securities and the risk of investments made in non-investment grade sovereign securities.

  • Some Funds can use derivatives extensively. Robeco Global Consumer Trends Equities can use derivatives for hedging and efficient portfolio management. Derivatives exposure may involve higher counterparty, liquidity and valuation risks. In adverse situations, the Funds may suffer significant losses (even a total loss of the Funds’ assets) from its derivative usage.

  • Robeco European High Yield Bonds is subject to Eurozone risk.

  • Investors may suffer substantial losses of their investments in the Funds. Investor should not invest in the Funds solely based on the information provided in this document and should read the offering documents (including potential risks involved) for details.

3. Local legal and sales restrictions
The Website is to be accessed by “professional investors” only (as defined in the Securities and Futures Ordinance (Cap.571) and/or the Securities and Futures (Professional Investors) Rules (Cap.571D) under the laws of Hong Kong). The Website is not directed at any person in any jurisdiction where (by reason of that person’s nationality, residence or otherwise) the publication or availability of the Website is prohibited. Persons in respect of whom such prohibitions apply or persons other than those specified above must not access this Website. Persons accessing the Website need to be aware that they are responsible themselves for the compliance with all local rules and regulations. By accessing this Website and any of its pages, you acknowledge your agreement with understanding of the following terms of use and legal information. If you do not agree to the terms and conditions below, do not access this Website or any pages thereof.

The information contained in the Website is being provided for information purposes.

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. The information contained in the Website does not constitute investment advice or a recommendation and was prepared without regard to the specific objectives, financial situation or needs of any particular person who may receive it. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, most recent annual and semi-annual reports, which can be all be obtained free of charge at www.robeco.com/hk/en and at the Robeco Hong Kong office.

4. Use of the Website
The information is based on certain assumptions, information and conditions applicable at a certain time and may be subject to change at any time without notice. Robeco aims to provide accurate, complete and up-to-date information, obtained from sources of information believed to be reliable. Persons accessing the Website are responsible for their choice and use of the information.

5. Investment performance
No assurance can be given that the investment objective of any investment products will be achieved. No representation or promise as to the performance of any investment products or the return on an investment is made. The value of your investments may fluctuate. The value of the assets of Robeco investment products may also fluctuate as a result of the investment policy and/or the developments on the financial markets. Results obtained in the past are no guarantee for the future. Past performance, projection, or forecast included in this Website should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is made regarding future performance. Fund performance figures are based on the month-end trading prices and are calculated on a total return basis with dividends reinvested. Return figures versus the benchmark show the investment management result before management and/or performance fees; the fund returns are with dividends reinvested and based on net asset values with prices and exchange rates of the valuation moment of the benchmark.

Investments involve risks. Past performance is not a guide to future performance. Potential investors should read the terms and conditions contained in the relevant offering documents and in particular the investment policies and the risk factors before any investment decision is made. Investors should ensure they fully understand the risks associated with the fund and should also consider their own investment objective and risk tolerance level. Investors are reminded that the value and income (if any) from shares of the fund may be volatile and could change substantially within a short period of time, and investors may not get back the amount they have invested in the fund. If in doubt, please seek independent financial and professional advice.

6. Third party websites
This website includes material from third parties or links to websites maintained by third parties some of which is supplied by companies that are not affiliated to Robeco. Following links to any other off-site pages or websites of third parties shall be at the own risk of the person following such link. Robeco has not reviewed any of the websites linked to or referred to by the Website and does not endorse or accept any responsibility for their content nor the products, services or other items offered through them. Robeco shall have no liability for any losses or damages arising from the use of or reliance on the information contained on websites of third parties, including, without limitation, any loss of profit or any other direct or indirect damage. Third party off-site pages or websites are provided for informational purposes only.

7. Limitation of liability
Robeco as well as (possible) other suppliers of information to the Website accept no responsibility for the contents of the Website or the information or recommendations contained herein, which moreover may be changed without notice.

Robeco assumes no responsibility for ensuring, and makes no warranty, that the functioning of the Website will be uninterrupted or error-free. Robeco assumes no responsibility for the consequences of e-mail messages regarding a Robeco (transaction) service, which either cannot be received or sent, are damaged, received or sent incorrectly, or not received or sent on time.

Neither will Robeco be liable for any loss or damage that may result from access to and use of the Website.

8. Intellectual property
All copyrights, patents, intellectual and other property, and licenses regarding the information on the Website are held and obtained by Robeco. These rights will not be passed to persons accessing this information.

9. Privacy
Robeco guarantees that the data of persons accessing the Website will be treated confidentially in accordance with prevailing data protection regulations. Such data will not be made available to third parties without the approval of the persons accessing the Website, unless Robeco is legally obliged to do so. Please find more details in our Privacy and Cookie Policy.

10. Applicable law
The Website shall be governed by and construed in accordance with the laws of Hong Kong. All disputes arising out of or in connection with the Website shall be submitted to the exclusive jurisdiction of the courts of Hong Kong.

Please click the “I agree” button if you have read and understood this page and agree to the Disclaimers above and the collection and use of your personal data by Robeco, for the purposes for which such data is collected and used as set out in the Privacy and Cookie Policy, including for the purpose of direct marketing of Robeco products or services. Otherwise, please click “I Disagree” to leave the website.

I Disagree

24-06-2025 · Insight

Seizing quant and fundamental alpha in developed equity markets

Building on the success of our previous exploration into combining fundamental and quantitative strategies in emerging markets, we now shift our focus to developed markets. Our latest research investigates how these distinct investment styles can be leveraged, both individually and in tandem, to navigate the challenges posed by high valuations and market concentration, aiming to uncover new avenues for alpha generation.

Download the full paper here


    Authors

  • Laurens Swinkels - Head of Solutions Research

    Laurens Swinkels

    Head of Solutions Research

  • Vera Roersma - Researcher

    Vera Roersma

    Researcher

  • Harald Lohre - Head of Quant Equity Research

    Harald Lohre

    Head of Quant Equity Research

Summary

  1. To keep enjoying high equity returns, investors need to rely increasingly on active alpha

  2. Quant and fundamental investing styles presents two distinct routes to target alpha

  3. Diversifying across genuine quant and fundamental strategies can offer significant benefits

The dilemma of developed markets

Equity investors face a dilemma in developed markets. While equity markets have mostly been going up following the global financial crisis in 2009, their high valuations and concentration indicate lower future expected returns and increased risks. To illustrate, the forward price-to-earnings ratio of the MSCI World traded at 18.09, hence at the higher end of the historical range. This high valuation resonates with Robeco’s 5-year Expected Returns forecast of 6.5% (EUR, nominal), which is not even half of the 13.6% annual realized developed market return over the previous five years.

To compensate for this potential future return gap, investors have to rely more on alpha from active management. However, active management comes in various forms and degrees of activeness. To this end, we investigate the performance of quantitative and fundamental equity investment styles. Which of the two is better suited to outperform in developed markets? Are there differences in factor exposures and risk-taking? And what happens when the two approaches are combined?1

Distinct and complementary

From first principles, it is natural to expect quant and fundamental investment styles to be complementary in nature. On the one hand, the fundamental approach typically thrives on very deep knowledge about a select set of companies. On the other hand, quant investing uses data-driven insights to rank the whole stock universe, based on company characteristics corresponding to rewarded factors. Given this distinct nature of building investment signals, portfolio construction calls for very different approaches as well: a high-conviction fundamental portfolio consisting of few stocks versus a broadly diversified quant portfolio to harvest the targeted factor premiums.

In our study spanning from November 2004 to March 2025, we show that both quant and fundamental managers listed in the eVestment database have outperformed the market. While fundamental strategies show a higher average outperformance, their managers also typically take higher active risks relative to their benchmark, in other words, have a higher tracking error (TE). Considering these two dimensions jointly, we document relatively higher information ratios (IRs) for quant strategies (0.29 vs. 0.22).

From an investment style perspective, quant strategies typically exhibit exposure to salient style factors, such as value, momentum, and quality, while fundamental strategies do not. This characterization highlights the difference between the two approaches and suggests that portfolio diversification can be strategically enhanced by combining quantitative and fundamental styles. Indeed, over the period spanning from January 2008 to March 2025, a risk parity combination of quant and fundamental strategies increases the IR to 0.34 on average, which is around 50% higher than the average of the two subgroups (0.23).2

Robeco style stars

When combining the different fundamental strategies with the Robeco Global Developed Enhanced Indexing strategy or the various quantitative strategies with the Robeco Global Stars Equities strategy, we find average IRs of 0.61 and 0.54, respectively.

Figure 1 – Information ratio for risk parity combinations of quant and fundamental strategies

Figure  1 – Information ratio for risk parity combinations of quant and fundamental strategies

Past performance is no guarantee of future results. The value of your investments may fluctuate. Source: Robeco, eVestment. The figure shows density plots for the annualized information ratio of risk parity combinations of quant and fundamental strategies. The densities for the quantitative strategies are shown in blue, for fundamental ones in grey, and for the risk parity combinations in pink (using all strategies), green (combining only Robeco Global Developed Enhanced Indexing with all fundamental strategies) and purple (combining only Robeco Global Stars Equities with all quant strategies). We include strategies that were active from January 2008 to March 2025. This results in 135 fundamental strategies, 36 quant ones, and 135*36 = 4860 combinations.

Given their good track record a combination of these two strategies yields an IR of 0.88. Apparently, the opportunity set of strategy style diversification is considerable, especially if one relies on contenders that genuinely live up to their targeted investment style, be it quant or fundamental. Moreover, at Robeco, we can also create tailor-made solutions that combine our quantitative and fundamental strategies into a single strategy, providing customized solutions to meet each client’s specific investment goals.


Footnotes

1This study complements our January 2024 emerging markets study, ‘Embracing fundamental and quant investing in emerging markets’.
2We start this analysis only in 2008 to have both a fundamental and quantitative Robeco strategy included

Download the publication

loader

Discover the value of quant

Subscribe for cutting-edge quant strategies and insights.

Explore quant

Important information

The contents of this document have not been reviewed by the Securities and Futures Commission ("SFC") in Hong Kong. If you are in any doubt about any of the contents of this document, you should obtain independent professional advice. This document has been distributed by Robeco Hong Kong Limited (‘Robeco’). Robeco is regulated by the SFC in Hong Kong. This document has been prepared on a confidential basis solely for the recipient and is for information purposes only. Any reproduction or distribution of this documentation, in whole or in part, or the disclosure of its contents, without the prior written consent of Robeco, is prohibited. By accepting this documentation, the recipient agrees to the foregoing This document is intended to provide the reader with information on Robeco’s specific capabilities, but does not constitute a recommendation to buy or sell certain securities or investment products. Investment decisions should only be based on the relevant prospectus and on thorough financial, fiscal and legal advice. Please refer to the relevant offering documents for details including the risk factors before making any investment decisions. The contents of this document are based upon sources of information believed to be reliable. This document is not intended for distribution to or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. Investment Involves risks. Historical returns are provided for illustrative purposes only and do not necessarily reflect Robeco’s expectations for the future. The value of your investments may fluctuate. Past performance is no indication of current or future performance.