Quantitative investing
Taking emotions out of investing
Quantitative solutions exploit deeply entrenched cognitive biases that afflict investors. Our disciplined, transparent and systematic approach keeps emotions at bay and takes advantage of market inefficiencies driven by human behavior to deliver superior risk-adjusted performance for our clients in the long run.
The best is yet to come for factor investorstop 2% in eVestment peer group.
years of applied quantitative innovation
bn AUD assets (as of March 2024)
Groundbreaking research
Our multi-decade track record in quantitative investing has been built on the foundations of proprietary, award-winning research. As thought leaders in the field, we have uncovered factors or signals that are rewarded with superior risk-adjusted long-term returns. Our research efforts include several seminal publications that have made valuable contributions to the academic literature.
Given our heritage and strong research-driven culture, we aim to remain at the forefront of quantitative investing so that we can continue to offer the best possible solutions to our clients. Our research agenda is focused on improving and diversifying our investment approach, for example, through the use of additional novel data sources or techniques as well as looking more deeply at areas such as sustainable investing.
Our groundbreaking papers
Next-generation quant
We are convinced that developments in alternative data, artificial intelligence and machine learning are pivotal to the evolution of quantitative investing. Not only can they widen the opportunity set by unearthing new and uncorrelated alpha signals, they can also improve our existing investment processes by leading to better model predictions on risk, return and sustainability.
As pioneers, our driving force is a healthy appetite for client-centric innovation that results in state-of-the-art solutions: to cater to evolving financial and sustainability needs. We are therefore focused on improving our current offering and developing next-generation quantitative solutions that are diversified from traditional quantitative portfolios. Importantly, this will be carried out in the context of sticking to our investment philosophy based on strong empirical evidence, sound economic rationale and a prudent approach.
More about next-generation quantMeet the team
We have one of the largest quantitative investment teams in the industry with over 50 dedicated portfolio managers, researchers, client portfolio managers and investment specialists. This allows us to simultaneously focus on cutting-edge research, manage portfolios and serve our clients from all corners of the world.
Our well-resourced team is highly experienced and diversified in terms of academic, career and personal backgrounds. We also actively look to recruit top talent as this helps ensure a culture of independent thinking and innovation.
Meet the full team
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Weili Zhou
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David Blitz
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Wilma de Groot
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Patrick Houweling
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Pim van Vliet
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Mike Chen
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Harald Lohre
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Jan de Koning
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Integrating sustainability
Given our institutional knowledge in the areas of quantitative and sustainable investing, we are uniquely positioned to design and manage sustainable quantitative solutions. The rules-based and systematic nature of our investment processes makes them well equipped to integrate various sustainability dimensions.
As such, we can explore and implement various ways of combining multiple sustainability preferences with financial objectives for our clients. We acknowledge that investors might have differing beliefs and values. Our platform is suitable for the development of customized portfolios. Beyond integration, our engagement and voting activities can play a role in reshaping corporate agendas towards more sustainable practices.
Tailoring solutions to your needs
To cater to your specific needs, we offer a wide variety of quantitative equity, fixed income and multi-asset solutions that range from factor-based (equity, fixed income), to dynamic market-timing (fixed income), to sustainability-focused (equity, fixed income) portfolios. These solutions are underpinned by our proprietary inputs that set us apart from other quantitative managers.
We rely on our enhanced factor definitions which mitigate unrewarded risks and result in superior risk-adjusted performance compared to generic factor definitions. Our proprietary portfolio construction algorithms give us full oversight of the process versus off-the-shelf optimization tools which tend to resemble a 'black box'. Moreover, our algorithms help us aim to avoid unnecessary trading costs, resulting in lower turnovers and better after-cost returns in the long term.
View our Quant strategies
*Methodology for the eVestment peer group
In terms of information ratio, the Robeco Global Developed Enhanced Index Equities, Robeco Emerging Markets Enhanced Index Equities, and Robeco Emerging Markets Active Equities strategies are ranked in the top 2% out of all funds in their respective universes since their inception, based on Robeco research using the eVestment database.
For this analysis we extract performance data from the eVestment database, which contains over 16,000 strategies. We narrow this down to a more representative sample by applying the following filters: (i) only consider equity strategies, (ii) remove single country (e.g. Switzerland or India) and single sector strategies (e.g. health care or REITS strategies), (iii) remove micro-cap stock strategies, (iv) remove strategies with a tracking error below 0.5% (all index strategies, manually verified), and (v) remove strategies with shorter live track records than our strategies. After applying these filters, we have peer groups consisting of 2,132 broad equity strategies for our developed markets enhanced indexing strategy (with data going back to 2004) and 2,812 broad equity strategies for our emerging markets enhanced indexing proposition (data going back to 2007).
Source: Robeco, Kenneth French data library. Blitz, D., 2024, “The unique alpha of Robeco Quant Equity strategies”, Robeco article. This is based on the annualized information ratios of the Robeco Composite Global Developed Enhanced Indexing Equities (since inception in November 2004), gross of fees in EUR, the Robeco Composite Emerging Enhanced Indexing Equities (since inception in July 2007), gross of fees in EUR, and the Robeco Composite Active Quant Emerging Markets Equities (since inception in March 2008), gross of fees in EUR as at end October 2023. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.
