The strategy efficiently harvests six proven factors: value, momentum, low-risk, quality, carry and flow, and will be managed by Robeco’s Quant Allocation team headed by Guido Baltussen and Pim van Vliet. The strategy also leverages upon Robeco’s long history of sustainability investing by implementing advanced ESG integration in the investment process. Furthermore, the strategy includes voting and engagement, which will be carried out by Robeco’s Active Ownership team.
Robeco QI Multi Factor Multi Asset is domiciled in Luxembourg and available to institutional and retail investors and, to wholesale distributors in key markets upon investors demand.
Guido Baltussen, lead Portfolio Manager of Robeco QI Multi Factor Multi Asset, said: “Robeco’s first director, Wim Rauwenhoff, said that every investment strategy should be research-driven. We believe we are able to deliver superior returns by efficiently harvesting factor premiums across all major asset classes by applying extensive academic research to our investment process. This strategy is an exciting application of that philosophy and this launch will allow us to offer our clients an ‘all-inclusive’ and sustainable solution for factor investing.”
Robeco has recently also published a new book of collected research articles on Quant Allocation. This is the third opus in a series of collected research articles. Earlier volumes focused on low volatility investing and factor-based investing, mostly in the equity market. This time, it looks beyond the stock market and expands its analysis to include other major asset classes.
Robeco has a rich heritage in quantitative investing and has gained long-term experience in harvesting factor premiums through systematic quantitative strategies within and across asset classes since the early 1990s. Robeco uses academic insights from empirical asset pricing and behavioral finance, and currently has over EUR 55 billion in AuM in quantitative investment strategies.