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Enhanced Indexing Equity

Enhanced Indexing Equity

An alternative to passive investing in equity markets

Key points:

  • An alternative to passive investing for investors looking for stable outperformance after costs, with a low tracking error
  • Disciplined and transparent investment approach that integrates sustainability
  • Proven track records in developed and emerging markets

Philosophy

Robeco’s quantitative investment strategies are based on the following beliefs: 

Evidence-based research. Identifying 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

Robeco's Enhanced Indexing strategies offer the advantages of passive investing but can generate better returns by incorporating 50 years of research. We slightly overweight those index constituents that score highly on characteristics proven to deliver superior returns, and slightly underweight those that score poorly. These characteristics are value, quality, momentum and analyst revisions.

Regions

The strategy is available for different investment regions: globally developed, European, US and emerging markets.

Region

Global developed markets

Emerging markets

Benchmark

MSCI World Index

MSCI Emerging Markets Index

Information ratio target

1

1

Tracking error (expected average)

1.0%

1.2%

Number of stocks strategy

≈ 750

≈ 500

Inception date

August 2004

May 2007





Region

Europe

US

Benchmark

MSCI Europe

S&P 500

Information ratio target

1

0.7

Tracking error (expected average)

1.0%

1.5%

Number of stocks strategy

≈ 350

≈ 400

Inception date

September 2017

September 2017

Proven alternative to passive investing

Enhanced Indexing offers all the benefits of passive investing, while compensating for its many disadvantages.

Read more

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 topic.

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Disclaimer

BY CLICKING ON “I AGREE”, I DECLARE I AM A WHOLESALE CLIENT AS DEFINED IN THE CORPORATIONS ACT 2001.

What is a Wholesale Client?
A person or entity is a “wholesale client” if they satisfy the requirements of section 761G of the Corporations Act.
This commonly includes a person or entity:

  • who holds an Australian Financial Services License
  • who has or controls at least $10 million (and may include funds held by an associate or under a trust that the person manages)
  • that is a body regulated by APRA other than a trustee of:
    (i) a superannuation fund;
    (ii) an approved deposit fund;
    (iii) a pooled superannuation trust; or
    (iv) a public sector superannuation scheme.
    within the meaning of the Superannuation Industry (Supervision) Act 1993
  • that is a body registered under the Financial Corporations Act 1974.
  • that is a trustee of:
    (i) a superannuation fund; or
    (ii) an approved deposit fund; or
    (iii) a pooled superannuation trust; or
    (iv) a public sector superannuation scheme
    within the meaning of the Superannuation Industry (Supervision) Act 1993 and the fund, trust or scheme has net assets of at least $10 million.
  • that is a listed entity or a related body corporate of a listed entity
  • that is an exempt public authority
  • that is a body corporate, or an unincorporated body, that:
    (i) carries on a business of investment in financial products, interests in land or other investments; and
    (ii) for those purposes, invests funds received (directly or indirectly) following an offer or invitation to the public, within the meaning of section 82 of the Corporations Act 2001, the terms of which provided for the funds subscribed to be invested for those purposes.
  • that is a foreign entity which, if established or incorporated in Australia, would be covered by one of the preceding paragraphs.
I Disagree