Sustainable Multi-Factor Equity
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 exclusions
- Enhanced factor definitions to avoid unrewarded risk and maximize returns
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 have preference for sustainable business models.
Process
Stock selection is the sole performance driver. The strategy exploits four proven factors: value, momentum, low volatility and quality. The strategy uses enhanced definitions to avoid unrewarded risk and maximize returns.
The sustainability approach focuses 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.
Regions
Region |
Global developed |
Benchmark |
MSCI World |
Number of stocks strategy |
≈ 500 |
Inception date |
December 2018 |
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.
