Sustainable Europe multi-factor equity
Capture equity premia in a sustainable way¹ with well-chosen investment factors and a rigorous risk-control approach
The opportunity
After a European five-year equity bull market with high volatility, we anticipate more modest investment returns supported by an improving cyclical outlook, a more favourable structural backdrop, and possibly more reasonable valuations over the secular horizon.
In this environment, a systematic factor investing approach to sustainable stocks can help to deliver a more stable performance and offer a better risk-return ratio for investors, thereby achieve potential higher returns we believe. Factor investing, if applied with a systematic and structural approach, can help to access returns in a long-term perspective, while mitigating risk.
Strategy highlights
Capitalise on key performance factors, evidenced by quantitative research
Academic research shows the bulk of investment returns can be attributed to a small number of stock market factors. At BNP Paribas Asset Management, we have identified four complementary, uncorrelated and purified key performance factors – value, quality, momentum, low volatility– to both select what we consider the most attractive European stocks and mitigate associated risk, applying equal risk contribution for each of the four factors.
Benefit from solid risk-adjusted returns in different market conditions
In addition to a low correlation between factors to benefit from increased diversification, we keep tight controls over the sources of risk and return. This has allowed our strategy to enjoy a robust performance versus the MSCI Europe index² across changing market conditions since we launched it in July 2016.³
Integrate sustainability⁴
Maintaining a focus on sustainability, we integrate different levels of climate and sustainable objectives into the strategy at every stage of the investment process, collaborating closely with BNP Paribas Asset Management’s dedicated Sustainable Centre. Notably, we exclude the bottom 10% of worst ESG-rated stocks in accordance with BNP Paribas Asset Management’s responsible business conduct policies. As a result, the strategy exhibits a better ESG⁵ score and smaller carbon footprint compared to its benchmark, the MSCI Europe index⁶.
Team and expertise
A global leader in factor investing strategies, BNP Paribas Asset Management’s sustainable Europe multi-factor equity strategy is actively managed by senior quant equity portfolio manager Jean-Baptiste Simoen, a seasoned quantitative equity expert with nearly two decades of industry experience.⁷ He is supported in his activities by a dedicated team of six portfolio managers and the quant portfolio team manager, Olivier Laplénie, with altogether an average of 18 years’ industry experience.⁸ Based out of Paris, Jean-Baptiste serves as a key member of our wider factor investing capability, encompassing more than 40 experts with a solid academic foundation, numerous publications, and the support of 150+ investment professionals.⁹
Capitalising on the expertise of a large global organisation, Jean-Baptiste and the team benefit from access to our Quantitative Research Group, dedicated Sustainability Centre, and Macro Research team, as well as global technology research resources, trading and risk management platform.
Investment Risks
Investments are subject to market fluctuations and other risks inherent to investing in securities. The value of investments and the income they generate may rise or fall and it is possible that investors may not recover their initial investment. The strategy may be exposed to specific risks, including Equity Risk, Risk of Capital Loss, Market Volatility, Model Risk, Liquidity Risk, Operational & Custody Risk, and Environmental, Social and Governance (ESG) Investment Risk.
For a complete description and definition of the strategy’s generic and specific risks, please refer to the Prospectus and offering document.
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[1,4,5] ESG: Environmental, Social, and Governance. ESG assessments are based on BNP Paribas Asset Management’s proprietary methodology, which integrates all three aspects of E, S and G.
[2,6] The MSCI Europe (NR)1 index is used as a comparative index for this strategy. The strategy does not aim to replicate either the composition or the performance of the comparative index as the strategy characteristics may deviate to varying degrees from those of the index.
[3] Past performance is not indicative of future performance. BNP Paribas Asset Management, as of 31 December 2025. Prior to BNP Paribas Europe Multi Factor Equity, the strategy was initially implemented in BNP Paribas L1 Equity Europe DEFI on 13 July 2016. BNP Paribas Europe Multi-Factor Equity absorbed BNPP L1 Equity Europe DEFI on 13 September 2019. For the period July 2016 to September 2019: Following a corporate action on 13/09/2019, the performance mentioned includes BNP Paribas L1 Equity Europe Defi.
[7,8,9] BNP Paribas Asset Management, as of 31 December 2025.
Important information
BNP PARIBAS ASSET MANAGEMENT Singapore Limited, “the investment management company”, is a company incorporated in Singapore with its registered office at 20 Collyer Quay, #01-01 Collyer Quay, Singapore 049319, Company Registration No. 199308471D.
This material is issued and has been prepared by the investment management company. This advertisement has not been reviewed by the Monetary Authority of Singapore. It contains opinions and statistical data that are considered lawful and correct on the day of their publication according to the economic and financial environment at the time.
This document is produced for information purposes and does not constitute:
- an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or;
- investment advice.
This document does not have any regard to the specific investment objectives, financial situation or particular needs of any person. Investors should consult their own professional advisors in respect of legal, accounting, domicile and tax advice prior to investing in the fund in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Investors considering subscribing for the fund should read carefully the most recent prospectus, offering document or other information material and consult the fund’s most recent financial reports before investing, as available from the investment management company or its authorized distributors. Given the economic and market risks, there can be no assurance that the fund will achieve its investment objectives. Investments in the fund are not deposits or other obligations of, or guaranteed, or insured by the investment management company or its authorized distributors or their affiliates and are subject to investment risks, including the possible loss of principal amount invested. Returns may be affected by, amongst other things, investment strategies or objectives of the fund and material market and economic conditions, including interest rates, market terms and general market conditions. Past performance of the fund or the managers, and any economic and market trends or forecast, are not necessarily indicative of the future or likely performance of the fund or the manager. The value of shares in the fund, and the income accruing to the shares (if any), may fall as well as rise and investors may not get back the full amount invested. Funds which are invested in emerging markets, smaller companies and derivative instruments may also involve a higher degree of risk and are usually more sensitive to price movements.
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