We’ve been leading the way in quantitative investing for over 25 years. With our experienced research and investment teams, systematic exploitation of market inefficiencies and strong track records, we aim to help clients achieve their investment objectives.
At Robeco we’re excited about the possibilities offered by quantitative models, which represent a natural fit with our scientific, disciplined approach to investing. We’ve invested a lot of effort in developing our quantitative capabilities over the past 25 years, as a result of which we are now widely recognized as a leader in the field of quant.
Robeco has long been a pioneer in quantitative investing, having been using quantitative models that exploit investor behavior since the early 1990s. We manage a range of pure quantitative equity, fixed income and multi-asset strategies for investors across the world, and we also apply our models to our traditional fundamental portfolios.
As well as providing a wide range of funds, we tailor quantitative mandates to meet the needs of institutional investors. In fact, we initially developed several of our quantitative strategies as bespoke solutions to meet an individual client’s needs. We customize portfolios along a number of dimensions, including their investment universe, risk-return profile and ESG characteristics, enabling our clients to fine-tune their portfolios.
The range of quantitative strategies we provide today are grounded in the research, but also in the experience that we’ve gained from decades of managing client assets according to an academically underpinned and systematic approach. This has enabled us to develop proprietary stock-selection, credit, duration and asset-allocation models that have proven their ability to add value over the long term. In addition, enhanced definitions of generic factors maximize the risk-adjusted potential of our quant equity and credit strategies by avoiding unrewarded risks associated with generic factor definitions. We also apply a range of techniques designed to minimize turnover, that help reduce trading costs and maximize net returns.
Our large team of quant researchers and portfolio managers has been instrumental in our success over the years. Quantitative researchers are responsible for developing the models, algorithms and definitions that lie at the core of our scientific approach to quantitative investing. Our quantitative portfolio managers are responsible for consistently translating our models’ signals in our portfolios, portfolio monitoring, and contributing to model maintenance and enhancements.
With over 40 dedicated quantitative researchers and portfolio managers covering equity, fixed income and multi-asset strategies, we are home to one of the largest quantitative teams in Europe. Our quant researchers are involved in a wide range of activities. In addition to developing our proprietary quantitative security selection models and portfolio construction algorithms, they also support our portfolio managers in designing, implementing and maintaining our models, risk management tools, currency and derivatives strategies, and performance attribution tools.
Our quant researchers and portfolio managers maintain strong ties with the world of academia, with several acting as guest lecturers at leading universities and taking part in long-running quantitative investing research and academic programs. They also conduct a considerable amount of ground-breaking research in-house, and have made a number of contributions to quantitative investment theory. For example, they regularly publish articles in leading journals on topics such as factor investing, the low-volatility anomaly and how to minimize transaction costs in quant investment processes.
Our quantitative researchers and portfolio managers have had a profound impact on the risk-adjusted returns and range of solutions that we provide our clients. For instance, their work has been pivotal in our development of the sophisticated factor definitions that enable us to optimize our portfolios’ risk-return profiles. Meanwhile, their experience in analyzing factors in the equity market led to a groundbreaking study on their application to the corporate bond market. This enabled us to launch one of the first ever multi-factor credit strategies in 2015.
At Robeco we manage a comprehensive range of quant strategies. They’re all underpinned by one clear investment philosophy. This philosophy forms the basis of all our investment processes within our quantitative product range, which consists of equity, fixed income, multi-asset and liquid alternative strategies.
The philosophy can be summarized as follows: Evidence-based research: we seek to understand what drives the markets by identifying and understanding factors that are rewarded with superior risk-adjusted performance. Economic rationale: statistical patterns can occur by chance, so any quantitative indicator we use in our processes must be based on a convincing economic rationale. Prudent investing: all of the investment decisions we take are transparent and easily explainable, and we always avoid unnecessary trading costs..
Enhanced Indexing and Active Quant strategies. Our Enhanced Indexing Equity and Active Quant Equity strategies aim to consistently outperform a benchmark with a controlled tracking error by taking exposure to a balanced combination of factors. These strategies use a proprietary multi-factor stock selection model that gives higher weights to attractive stocks and lower weights to unattractive ones. These controlled tracking-error strategies are available for both emerging and developed markets, either as funds or as tailor-made mandates.
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Standalone Factor strategies. We manage a range of standalone Factor strategies that exploit four proven factors: value, momentum, low volatility and quality. The most prominent among these is our active, Conservative Equity strategy. This strategy uses a proprietary stock selection model and portfolio construction algorithm aimed at achieving lower absolute risk than the market index with a similar or higher return, resulting in a higher Sharpe ratio. The model is centered around the low volatility premium, but also uses value and momentum factors to identify the most attractive low volatility stocks. We’ve been successfully managing funds and mandates in Conservative Equity since 2006, in in Momentum Equity since 2012, in Value Equity since 2013 and in Quality Equity since 2016.
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Multi-Factor Equity strategies. For investors keen to gain diversified exposure to a range of proven factors, our Multi-Factor Equity fund allocates to Robeco’s enhanced value, momentum, low volatility and quality factors, all of which have been shown to have strong long-term risk-adjusted return potential. We also have considerable experience setting up bespoke multi-factor mandates that are fully complementary with our clients’ existing portfolios’ factor exposures.
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Multi-Factor Indices. We have developed Multi-Factor Indices to efficiently capture factor premiums in a transparent, low cost way. The Multi-Factor Equity Indices strategy is designed to reflect performance of an investment strategy that seeks exposures to four proven factors premiums: value, momentum, low volatility and quality. Rather than using generic factor definitions, our strategy uses enhanced definitions to strip out unintended risks and maximize a strategy’s return potential.
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Factor Investing fixed income. Robeco research has shown that well-known factors in equities can also be used to select outperforming bonds. Our range of factor investing strategies in fixed income is characterized by strong risk-adjusted returns, style diversification and low costs. Within corporate bonds, our Multi-Factor Credits and Multi-Factor High Yield strategies offer balanced exposure to low risk, quality, value, momentum and size factors. Our Conservative Credits strategy focuses on the low risk factor, still incorporating the other factors. These factor credit strategies are specifically designed for credit markets. They explicitly take liquidity, transaction costs and ESG into account in their investment processes. For global government bonds we developed a Multi-Factor strategy that offers exposure to value, momentum and low risk. Multi-Factor Bonds is our global aggregate bond solution that combines multi factor credits with multi factor government bonds. This strategy can serve as a core fixed income holding in a portfolio.
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Dynamic strategies: market-timing. Robeco’s dynamic market timing strategies take directional positions in fixed income markets based on a systematic assessment of proven variables. These strategies aim to benefit strongly when fixed income markets rally by increasing exposure and to protect against bear markets by lowering exposure. Robeco’s Dynamic Duration strategy has successfully applied such market timing to the global government bond market for more than 20 years. Our Dynamic High Yield strategy applies the timing strategy to the global high yield market. More about Dynamic Duration and Dynamic High Yield.
Factor premiums exist in all major asset classes and can be harvested efficiently across the board. In our quantitative multi asset strategies we efficiently combine factor strategies across several asset classes. Our ‘all-inclusive’ solutions cover top-down allocation to equity markets, currencies, government and corporate bond markets, stock and bond selection and advanced sustainability integration. We currently offer defensive and moderately aggressive factor-based multi-asset funds and we can tailor to the desired risk profile in customized mandates.
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Robeco’s quantitative liquid alternative strategies seek to harvest factor premiums while keeping returns uncorrelated with equity and bond market performance. Our Multi-Factor Absolute Return strategy offers diversified exposure to six uncorrelated and proven factors - low risk, value, momentum, quality, carry and flow - in all major asset classes and includes sustainability integration in several dimensions. Global Diversified Carry, on the other hand, focuses on the carry factor and is an income-oriented strategy. These market-neutral strategies are available in funds or in tailor-made mandates.
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