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 proprietary 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 sole 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 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. The strategies aim to achieve a high Sharpe ratio.
Co-Head of Quant Fixed Income and Lead Portfolio Manager
I strongly believe that factor premiums can be harvested everywhere, across markets and asset classes.
The quant group consists of more than 40 quantitative researchers and portfolio managers, making it one of the largest quantitative teams among our peers. 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 targeting all four single factors:
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 ensure that the ESG score is better than that of the benchmark.
We integrate the carbon footprint in the portfolio process by ensuring that this 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 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 more focused 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.
An understanding of the topic has been in our DNA since the start
This has been a core expertise with us for decades
Taking a rules-based approach to investment management