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Sustainable Value Equity

Sustainable Value Equity

Capturing the value premium efficiently and sustainably

Key points:

  • Selects stocks using a diversified combination of value measures
  • Lower ESG Risk Rating, lower environmental footprint and exclusions
  • 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 take an active approach to investor stewardship reflected in portfolio positioning.

Process

Stock selection is the sole performance driver. All decisions are based on the ranking generated by Robeco’s proprietary 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.

The sustainability approach focuses on a 10% lower ESG Risk profile and a 30% lower carbon footprint than the reference index. Furthermore, we exclude companies with low SDG scores and apply values-based exclusions according to certain broad ethical norms.

More about Factor Investing
More about Factor Investing
Factor investing aims to capture ‘hidden’ returns in financial markets. We have given our clients systematic exposure to it to earn premiums for well over a decade.
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Regions

Region

Global developed

Benchmark

MSCI World

Number of stocks strategy

≈ 200

Inception date

January 2014

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.

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