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Sustainable Active Quant Equity

Sustainable Active Quant Equity

Aiming for high alpha from exposure to multiple factors with a higher sustainability profile

Key points:

  • Model focused on selecting stocks that exhibit good value, quality, momentum, analyst revisions and sustainability characteristics
  • Disciplined and transparent portfolio management process that controls relative risks and integrates advanced measures of sustainability
  • Based on the active strategy with a strong track record in emerging markets since 2008

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 strategy invests in stocks by applying a quantitative investment strategy. The strategy aims to maximize the excess return versus the benchmark and deliver a superior sustainability profile, while controlling relative risk. The sector and country weights resemble those of the MSCI Emerging Markets Index, but we overweight attractive stocks and underweight unattractive ones.

Attractiveness is assessed by an integrated multi-factor model that considers a balance of valuation, quality, momentum and analyst revisions. We combine these factors with a better sustainability profile. We take into account the following aspects of sustainability:

  • Overall better ESG profile than the market.
  • 20% reduction of environmental footprint based on impact scores.
  • Exclusion of companies with a controversial business model (e.g. tobacco and firearms).
  • Voting and engagement for portfolio holdings"

Regions

The strategy is available in different investment regions: global developed markets and emerging markets.

Region

Emerging markets

Benchmark

MSCI Emerging Markets Index

Information ratio target

0.7

Tracking error (expected average)

3%

Number of stocks strategy

≈ 180

Inception date

July 2017

This information is subject to change.

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.

Get in touch with us

Contact us if you would like to know more about this strategy.

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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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