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Sustainable Multi-Factor Equity

Sustainable Multi-Factor Equity

Capturing factor premiums efficiently and sustainably

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 that attempt 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 dentify 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

Stock selection is the sole performance driver. The strategy exploits four factors: value, momentum, low volatility and quality. The strategy uses enhanced definitions that attempt 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.

Quantitative investing

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

Quantitative investing

Regions

Region

Global developed

Benchmark

MSCI World

Number of stocks strategy

≈ 500

Inception date

December 2018

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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