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. Proven track record with information ratio > 0.5 since inception in 2013.
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 have preference for sustainable business models.
Stock selection is the sole performance driver. All decisions are based on the ranking generated by Robeco’s proprietary Quality equities stock selection model and portfolio construction process. They capture the Quality factor in a smart way, effectively dealing with the challenges a generic quality strategy faces.
The sustainability approach focusses on three aspects, namely aiming for at least a 20% better score on ESG criteria than the reference index, aiming for at least a 20% better environmental footprint than the reference index and avoiding exposure to stocks in the values-based restricted universe according to certain broad ethical norms.
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 RobecoSAM, the affiliate focused exclusively on ESG. RobecoSAM provides the stock-specific sustainability information for the strategy.