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Sustainable Multi-Factor equity solutions
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Sustainable Multi-Factor equity solutions

Exposure to proven factors in a sustainable way

Key points:

  • Exposure to the Value, Momentum, Low Volatility and Quality factors to diversify the return stream
  • Significantly better ESG profile, lower environmental footprint and values-based exclusions
  • Enhanced factor definitions to avoid unrewarded risk and maximize returns

Philosophy

Robeco’s quantitative investment strategies are based on the following concepts:

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

Robeco’s Sustainable Multi-Factor Equities is a fully quantitative equity strategy that exploits four proven factors: Value, Momentum, Low Volatility and Quality, while holding a sustainable portfolio. In constructing our sustainable multi-factor portfolio, we use a building-block approach based on allocations to Robeco’s sustainable enhanced factor strategies that avoid the various pitfalls of generic factor strategies (e.g. going against proven factors and taking unrewarded risks). Our strategy aims to achieve higher risk-adjusted returns than both the broad market and generic factor indices over a full business cycle.

Team

The strategy is managed by an experienced group of investment professionals within an organization 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.

The team cooperates closely with RobecoSAM, the investment specialist focused exclusively on ESG. RobecoSAM provides the stock-specific sustainability information for the strategy.