Corporate sustainability and financial performance

Robeco has been a pioneer in the field of quantitative stock selection since the early ‘90s. In 1994 the first stock selection models were used in Robeco equity strategies. Following the success of these models in practice, in 2002 Robeco launched a 100% quantitative equity product line. This expanded over the years, currently spanning a wide range of investment strategies, with different regional exposures and risk-return characteristics.

We are always looking for new ways to improve our investment strategies. One idea to do so is to look at corporate sustainability performance. Corporate sustainability databases contain vast amounts of data on how companies take into account environmental, social and governance factors. The academic debate on whether these factors have predictive power for future stock performance has not been settled yet. We want to add to this debate in two ways. First, we plan to consider the entire pool of information contained in the available datasets, as compared to aggregate scores that are usually assessed. Second, whereas most studies focus on forecasting returns, we believe risk is just as important, and perhaps easier to predict using e.g. corporate governance data.

The project will challenge you to both work effectively with large datasets, as well as to consider the economic theory linked to your findings. Many past internship projects have led to findings that have been directly incorporated in our models. Given the increased interest in sustainability in the marketplace, we hope that this project will continue this trend. The project covers the entire quant model development cycle: conducting a literature review, analyzing the data, programming the back-tests, analyzing the results, discussing results with researchers and portfolio managers, writing a research report and giving a presentation. As with all Super Quant internships, the assignment will be supervised by an experienced empirical researcher of Robeco’s Quantitative Strategies department. Practical feedback will be provided by colleagues from different departments within the company. Creative, analytic and programming skills are essential in order to successfully complete the project.

Are you interested?

Let us know your motivation and send it together with your CV and list of grades to SQ@robeco.nl.

References

Clarke & Viehs, 2014, The Implications of Corporate Social Responsibility for Investors, University of Oxford, working paper