Robeco’s quantitative investment strategies are based on the following beliefs:
Evidence-based research. Identifying factors that are rewarded with superior risk-adjusted performance. This includes extensive empirical testing over longer periods and in different markets.
Economic rationale. We want to move beyond statistical patterns and understand the economic drivers behind factors. Risks that are not adequately rewarded should be avoided.
Prudent investing. We manage easily explainable portfolios and prevent unnecessary trading costs, and we integrate environmental, social and governance (ESG) factors.
The performance driver is our stock-selection model, selecting stocks with a balance of attractive valuation and positive momentum. We enhance these factors to avoid non-rewarded risks and aim to improve performance. The weights resemble the index but with slightly higher weights to attractive stocks and lower weights to unattractive ones. Our proprietary rules-based portfolio construction algorithm limits turnover.
We have launched our global developed enhanced indexing equity strategy in 2004.
The strategy is also available for other regional universes such as the US and with an enhanced sustainability profile.
Our strategies are managed by an experienced group of investment professionals within an organization which is fully committed to quantitative investing. The team consists of more than 40 portfolio managers and quantitative researchers dedicated solely to quantitative investing, research and model development.