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Monitoring factor exposure

Robeco examines existing investment portfolios' exposure to factor premiums using its own customized scanning system. This is known as the 'Robeco Factor Exposure Monitor'.

The scan shows the relative underweights or overweights per factor (relative to the market portfolio). This can form a first step in the decision-making process for implementing factor investing.

Figure 7. Relative factor exposures of portfolios
Source: Robeco, Quantitative Research, 2014

The chart shown above represents a portfolio that overweights the Value factor while underweighting the Momentum and Low-volatility factors.



This page is intended for US prospects, clients and investors only and includes information about the capabilities, staffing and history of RIAM US and its participating affiliates, which may include information on strategies not yet available in the US. SEC regulations are applicable only to clients, prospects and investors of RIAM US. Robeco BV, Robeco HK and Robeco SH are considered a “participating affiliate” of RIAM US and some of their employees are “associated persons” of RIAM US as per relevant SEC no-action guidance. Employees identified as associated persons of RIAM US perform activities directly or indirectly related to the investment advisory services provided by RIAM US. In those situations, these individuals are deemed to be acting on behalf of IUAM, a US SEC registered investment adviser.

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