Active Quant Equity

Over the past decade, prominent investors have embraced quantitative factor-based approaches. The reasons are simple: these approaches are unbiased and efficient. Quant tools take human emotion out of the equation and can be extremely effective for analysing vast amounts of opportunities in any geography. Robeco has long been a pioneer and leader in the field.

Robeco’s quantitative stock-ranking models systematically identify and exploit the market inefficiencies that arise as a result of predictable patterns in investor behavior. The first models were developed in the early 1990s, and we introduced the first Active Quant strategy in 2008: Emerging Markets Active Equities. Active Quant strategies have a low to moderate tracking error and aim for high alpha.

We select stocks with good value, quality, momentum and analyst-revision characteristics. This form of bottom-up stock selection is the only alpha driver.

The investment strategy allows us to act on both positive and negative views on companies by overweighting and underweighting them against the benchmark. We determine the relative attractiveness of stocks based on value, quality, momentum and analyst revisions.

All decision making at portfolio level is the result of signals from the quantitative stock-ranking model and the settings of our portfolio construction algorithm. Portfolios are rebalanced on a monthly basis after new rankings have been generated by the model. Portfolio managers and researchers monitor the entire investment process closely, resulting in full control and human overview of the portfolio.

Our Active Quant approach focuses on a high information ratio while controlling risk. The active quant strategies have a higher tracking error and more concentrated portfolio than our enhanced indexing strategies, while our robust portfolio construction algorithm enables fully explainable positions. Finally, we focus on reducing trading costs at every step of the investment process.

The quant group consists of more than 50 quantitative researchers and portfolio managers, making it one of the largest quantitative teams in the world. We combine this breadth of quant disciplines with over 25 years’ experience of translating our quant research into innovative solutions.

The strategy is managed by the experienced portfolio managers of the Core Quant Equities capability within an organization that is fully committed to quantitative investing. The portfolio managers collaborate strongly with and benefit from the expertise of our quantitative researchers in managing the strategy.

These researchers are responsible for the development and enhancement of quantitative models and applications, which form the heart of our quantitative equity product line.

The experienced research team has strong academic links.

We offer the Active Quant strategy in different geographic universes. This includes Developed Markets, Emerging Markets and Chinese A-shares.

This strategy promotes, among other characteristics, environmental and/or social characteristics, which can include exclusionary screening, ESG integration, ESG risk monitoring and active ownership. It is classified as Article 8 under the EU Sustainable Finance Disclosure Regulation.

We incorporate sustainability in the investment and decision-making process in multiple ways:

• The strategy adheres to the general Robeco exclusion policy.

• We integrate proprietary Smart ESG scores in our stock ranking model. We take ESG into account as a variable in the quality factor.

• We ensure that the ESG score is better than that of the benchmark.

• We integrate the carbon footprint in the portfolio- process by ensuring that the footprint of the portfolio is lower than that of the benchmark.

• We apply a direct link between the enhanced engagement program and the portfolio.

We have a version of Active Quant available in our product range that offers improved sustainability compared to our flagship Active Quant strategies. Sustainable Active Quant has a more extended values-based exclusion list and also excludes companies with low SDG scores from the investment universe.

Furthermore, Sustainable Active Quant has a significantly better ESG profile than the benchmark and a 30% lower carbon footprint.