Sustainable Active Quant Equity
Key points:
- Proven model focused on selecting stocks that exhibit good value, quality, momentum, analyst revisions and sustainability characteristics
- Disciplined and transparent portfolio management process that controls relative risks and integrates advanced measures of sustainability
- Based on the active strategy with a strong track record in emerging markets since 2008
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 take an active approach to investor stewardship reflected in portfolio positioning.
Process
The strategy invests in stocks by applying a quantitative investment strategy. The strategy aims to maximize the excess return versus the benchmark and deliver a superior sustainability profile, while controlling relative risk. The sector and country weights resemble those of the MSCI Emerging Markets Index, but we overweight attractive stocks and underweight unattractive ones.
Attractiveness is assessed by an integrated multi-factor model that considers a balance of valuation, quality, momentum and analyst revisions. We combine these factors with a better sustainability profile. We take into account the following aspects of sustainability:
- Overall better ESG profile than the market.
- 20% reduction of environmental footprint based on impact scores.
- Exclusion of companies with a controversial business model (e.g. tobacco and firearms).
- Voting and engagement for portfolio holdings"
Regions
The strategy is available in different investment regions: global developed markets and emerging markets.
Region |
Emerging markets |
Benchmark |
MSCI Emerging Markets Index |
Information ratio target |
0.7 |
Tracking error (expected average) |
3% |
Number of stocks strategy |
≈ 180 |
Inception date |
July 2017 |
Team
Our 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 40 portfolio managers and quantitative researchers dedicated solely to quantitative investing, research and model development.
The team closely cooperates with a dedicated sustainability research team, which focuses exclusively on ESG and provides the stock-specific sustainability information for the strategy.
