Academics have recognized for several decades that asset prices are influenced by a number of inherent risk/reward attributes or 'factors' in addition to their traditional asset class, sector and geographic labels. Robeco has a rich history in academic research in this field as well, and our research has shown that equity factor styles were already in existence in the mid-19th century. By strategically weighting their portfolios to gain exposure to these factors, asset managers can significantly improve their risk-adjusted return potential.
Robeco’s first director believed all our investment decisions should be research-driven, and we’ve been at the forefront of quantitative investing ever since. Our groundbreaking research has contributed to quant investment theory and impacted the risk-adjusted returns and solutions we provide, being key in developing our sophisticated factor definitions.
Stock selection is the key performance driver of the strategy and all decisions are based on the stock selection models for each factor.
The factor investing strategies we deploy always encompass the following beliefs: they should be evidence-based; have an economic rationale; move beyond statistical patterns; and motivate prudent investments (thereby preventing unnecessary costs).
All decision making at portfolio level is the result of the signals from the quantitative stock-ranking models and the settings of our portfolio construction algorithms. Each portfolio provides high systematic exposure to one or more of the four targeted factor premiums, while each single factor strategy has its own ranking model and sub-portfolio.
Portfolios are rebalanced frequently in such a way that trades improve expected factor exposures of the portfolio after accounting for their costs. Portfolio managers and researchers monitor the entire investment process closely, resulting in full control and human overview of the portfolio. The strategies aim to achieve a high Sharpe ratio.
Wilma de Groot
Head of Core Quant Equities, Head of Factor Investing Equities and Deputy Head of Quant Equity
I strongly believe that factor premiums can be harvested ‘everywhere’, across markets and asset classes
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.
Robeco’s Multi-Factor Equities and the single factor (Value, Momentum and Quality) strategies are run by the Factor Investing capability portfolio managers. Our low-risk strategy ‘Conservative Equities’ is run by the Conservative Equities capability portfolio managers. All our portfolio managers benefit from the expertise of and collaboration with our quantitative researchers.
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 four strategies targeting single factor strategies and one multi-factor targeting all four single factors:
Robeco Value Equities captures one of the strongest anomalies known to exist in equity markets worldwide: the value premium. Value investing tends to outperform the market over a full market cycle. The philosophy is to buy stocks with a low price relative to their intrinsic value.View related funds
Robeco Momentum Equities is designed to exploit another appealing anomaly: the momentum premium. Momentum is the tendency for recent winner stocks to continue to outperform while recent loser stocks continue to perform poorly.View related funds
Robeco Conservative Equities capitalizes on one of the oldest anomalies we know: low-risk. Low beta stocks and low volatility stocks have higher returns than they should, according to the Capital Asset Pricing Model.View related funds
Robeco Global Quality Equities encompasses a well-established anomaly in asset pricing research: the quality anomaly. High quality firms, characterized by higher profitability, higher earnings quality and which are well managed, gain higher returns and are less volatile on average.View related funds
Robeco’s Multi-Factor Equities exploits four proven factors: Value, Momentum, Low Volatility and Quality. The overall portfolio consists of four underlying portfolios of these factors. Each factor portfolio provides high exposure to one of the targeted four factor premiums.View related funds
We offer the single and multi-factor strategies for the global developed and global all-country regions. Conservative Equities is available for other regions as well: Emerging Markets, Europe, US and China-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 integrate ESG in the portfolio construction process by ensuring that the ESG profile of the portfolio is better than that of the index.
We integrate the carbon footprint in the portfolio-construction process by ensuring that the this footprint of the portfolio is lower than that of the index.
We apply a direct link between the enhanced engagement program and the portfolio.
The portfolio has a higher SDG score than the index.
We have sustainable versions of our single and multi-factor strategies available in our product range that offer improved sustainability compared to our flagship strategies. These have a more extended, values-based exclusion list and also exclude companies with low SDG scores from the investment universe. They also offer a significantly better ESG profile than the index and a 30% lower carbon footprint.
Robeco also offers a Paris aligned SDG & Climate Conservative Equities strategy. This strategy targets a 50% carbon reduction and does not invest in stocks which contribute negatively to the UN Sustainable Development Goals.
A true understanding of the topic has been in our DNA since the start
This has been a core expertise for us for decades
Taking a rules-based approach to investment management