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Multi-Factor Equity

Multi-Factor Equity

Exposure to factors

Key points:

  • Exposure to the Value, Momentum, Low Vol and Quality factors to diversify return stream
  • Flexible allocation to factors resulting in balanced exposure
  • Enhanced factor definitions that aim to avoid unrewarded risk and maximize returns

Philosophy

Robeco’s quantitative investment strategies are based on the following beliefs: 

Evidence-based research. We strive to identify 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 integrate environmental, social and governance (ESG) factors.

Process

The Multi-Factor equity solutions strategy is a fully quantitative equity strategy that exploits four factors: value, momentum, low volatility and quality. Rather than using generic factor definitions, it uses enhanced definitions that attempt to avoid unrewarded risk and maximize returns. Our multi-factor equity solutions portfolios aim to achieve higher risk-adjusted returns than both the broad market and generic factor indices over a full business cycle by taking efficient, well-diversified exposure to these enhanced factors. A sustainable variant of this strategy that selects stocks with a substantially higher sustainability profile and lower carbon footprint than the market is available.

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.

Quantitative investing

We’ve been a leader in quantitative investing for over 25 years.

Quantitative investing
Get in touch with us

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Disclaimer

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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