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Value equity
ファクター投資株式

Value equity

Efficiently capturing the Value premium

Key points:

  • Selects stocks using a diversified combination of value measures
  • Results in deep value exposure
  • Avoids value traps by incorporating Momentum, Low-risk and Quality factors

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 Quant Value Equities stock selection model and portfolio construction process. They capture the value anomaly in a smart way, effectively overcoming the challenges that characterize a generic value strategy: value traps. 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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