Quant - Active Equities

In recent decades, investors have embraced quantitative factor-based solutions. The reasons for the investment style becoming mainstream are simple: it employs a systematic approach that keeps emotions at bay and exploits market inefficiencies resulting from predictable patterns. Moreover, it is highly effective at analyzing vast amounts of opportunities in any geography, thereby using the breadth of any investment universe to its advantage.

Our Active Equities multi-factor offering is a compelling option for investors seeking high alpha within a moderate risk budget. It uses the benefits of decades of research insights in asset pricing. As a result, it aims for sizable and consistent index-beating returns after costs by systematically attaining a balanced exposure to return factors – momentum, quality, value and short-term signals – while prudently managing deviations from the index.

Robeco’s Active Equities multi-factor strategy is designed to systematically capture high alpha by benefiting from well-rewarded factor premiums and innovative signals while integrating multiple sustainability dimensions. This disciplined approach has generated consistent, cost-efficient outperformance since 2008.

Our Active Equities multi-factor strategy leverages a time-tested systematic approach that obtains diversified exposure to an integrated multi-factor stock selection model. This ranks stocks based on the attractiveness of their valuations (value), the nature of their share price performance trends (momentum), the degree of their quality characteristics, e.g., balance sheet strength and profitability (quality), and the dynamics of short-term trends, e.g., share price reversals, and stock flows (short-term signals).

Using a proprietary portfolio construction algorithm efficiently balances risk, return, and sustainability considerations to aim for stable excess returns. Client cash flows are also actively used to optimize portfolios by applying the latest stock rankings while avoiding unnecessary portfolio turnover, reducing costs, and enhancing net returns.

Within the Active Equities strategy, we also offer single-factor solutions. Value Equities captures the value premium through exposure to stocks with low share prices relative to their intrinsic valuations. Momentum Equities exploits the momentum premium by targeting recent winning stocks in a sophisticated manner. Meanwhile, Quality Equities focuses on quality anomaly by favoring high-quality firms with robust profitability, high earnings quality, and strong management.

The quant group consists of more than 50 quantitative researchers and portfolio managers, making it one of the largest quantitative teams in the world. We combine this breadth of quant disciplines with over 25 years’ experience of translating our quant research into innovative solutions.

Robeco’s Active Equities strategy is run by an experienced group of portfolio managers within an organization that is fully committed to quantitative investing. The portfolio managers collaborate strongly with and benefit from the expertise of Robeco’s researchers in managing the strategy.

The quantitative researchers are responsible for the development and enhancement of models and applications, which form the heart of our quantitative equity strategies. The experienced research team has strong academic links.

Active Equities is offered in different geographic universes, including developed markets and emerging markets.

This strategy promotes, among other characteristics, environmental and/or social characteristics, which can include exclusionary screening, ESG integration, ESG risk monitoring and active ownership. It is classified as Article 8 under the EU Sustainable Finance Disclosure Regulation.

We incorporate sustainability in the investment process in multiple ways:

• Companies with potentially harmful business practices or products are precluded from the investable universe in line with the Robeco exclusion policy.

• The portfolio is constructed so that it has higher exposure to companies that contribute positively to the SDGs than the market.

• The portfolio is built so that it reflects a better ESG risk profile and environmental footprint (carbon, waste and water) compared to the market.

• Voting and engagement duties are carried out on behalf of clients and a direct link between the enhanced engagement program and the portfolio is applied.
  

We have versions of Active Equities available in our product range that offer improved sustainability compared to our flagship Active Equities strategies. These apply a more extended exclusion list, and also preclude companies with highly and moderately negative SDG scores from the investment universe. They also offer a significantly better ESG risk profile than the index and at least a 30% lower carbon footprint.