By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.
Robeco has introduced a new version of the Enhanced Indexing fund for developed markets, which has been tax-optimized for Dutch retail investors. Enhanced Indexing, which has an excellent 12-year track record of over 1% outperformance per year at a tracking error of around 1%, offers a credible alternative to passive investing.
Robeco’s enhanced index strategies are based on the experience we’ve gained from over 25 years of quantitative equity research and portfolio management. We spoke to Wilma de Groot and Michael Strating, senior members of our Quantitative Equities team.
All Robeco Quantitative Equity strategies integrate ESG factors. To measure sustainability, we use the scores based on RobecoSAM’s Corporate Sustainability Assessment. Recently, RobecoSAM has introduced the Smart ESG score. This is more suitable for investment purposes, as it removes undesired biases and gives more weight to elements with more predictive power for future returns.
Managing transaction costs is one of the major considerations in Robeco’s Quantitative Equity strategies, and over the years we have put considerable effort into finding ways to keep them as low as possible. In this article, Weili Zhou, a senior researcher in our Quantitative Equities team, describes the approaches we adopt to achieve this aim.
The poor long-term live performance of the first generation of value indices indicates that capturing the value premium is not easy. This does not mean, however, that the value premium is beyond the reach of investors. We argue that a value premium still exists, but that harvesting it requires an approach that is much more sophisticated than simply following a straightforward value index.
Investing in a purely passive manner is increasingly popular. Although we do not deny that passive investing has its merits, we argue that enhanced indexing may be an even better alternative. It is supported by theory and evidence, allows for better ESG integration, and contributes to a liquid and efficient market.
Robeco is committed to sustainable investing. All Robeco Quantitative Equity strategies already integrated ESG factors (Environment, Social and Governance), and since December 2014, we have taken this one step further.
Robeco Enhanced Indexing invests in global developed markets equities, and has a low tracking error against its benchmark, the MSCI World index. In recent years, performance has been strong. In this article we focus on one element that distinguishes Robeco’s strategy from those of others: our short-term stock selection model (SHOT).
New research from Robeco identifies and corrects for biases in analyst earnings revisions, says Senior Quantitative Equities Researcher, Joop Huij.
A short-term reversal strategy based on residual momentum reduces exposure to systematic factors and results in lower risk and better returns than a conventional momentum strategy.
An optimal portfolio allocation will have large exposures to value, momentum and low-volatility strategies, according to a study of US equity returns over 40 years.
Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once transaction costs are taken into account.
This comprehensive investigation of the relation between the value anomaly and distress risk finds that value stocks are not cheaper than growth stocks due to the risk of financial distress.