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Momentum equity
ファクター投資株式

Momentum equity

Efficiently capturing the Momentum premium

Key points:

  • Capitalizing on the momentum anomaly since 1994
  • Avoids unrewarded risk exposure and unintended style tilts
  • Momentum Equities has a proven track record dating back to 2012

Philosophy

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.

Process

Stock selection is the sole performance driver. All decisions are based on the ranking generated by Robeco’s proprietary Momentum Equities stock selection model and portfolio construction process. They capture the momentum anomaly in a smart way, effectively overcoming the challenges that characterize a generic momentum strategy. A sustainable variant of this strategy that selects stocks with a substantially higher sustainability profile and lower carbon footprint than the market is available.

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Team

The strategy is managed by an experienced group of investment professionals within an organization which is fully committed to quantitative investing. The team consists of more than 20 portfolio managers and quantitative researchers dedicated solely to quantitative equity investing, research and model development.

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