Robeco QI Emerging Markets Sustainable Enhanced Index Equities F USD
- Aims to consistently outperform the benchmark, with a low tracking error
- Diversified exposure to an integrated multi-factor stock selection model
- Using proven return factors value, quality, momentum and analyst revisions, with improved ESG profile and lower environmental footprints
About this fund
Price development
Price development
Performance
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Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.
Performances are net of fees and based on transaction prices.
| Fund | Reference index | |
|---|---|---|
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.
Performances are net of fees and based on transaction prices.
Performance explanation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Based on transaction prices, the fund's return was -3.83%. The objective of the Emerging Markets Sustainable Enhanced Indexing strategy is to provide consistent outperformance and an improved sustainability profile against the MSCI Emerging Markets Index by applying a large number of small overweight and underweight positions versus the index, resulting in a low tracking error. The portfolio consists of roughly 450 emerging market stocks and overweights stocks with an enhanced sustainability profile, an attractive valuation, a profitable operating business, a strong price momentum and positive recent revisions from analysts. The portfolio's ESG score is significantly better than the index, while footprints for water use, greenhouse gas emissions and waste generation are reduced. By using our integrated multi-factor stock selection model, we expect the strategy to consistently outperform the benchmark.
Statistics
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Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
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Currency policy
Currency risk will not be hedged. Exchange-rate fluctuations will therefore directly affect the fund's share price.
Dividend policy
The fund does not distribute dividend. The fund retains any income that is earned, and so its entire performance is reflected in its share price.
ESG Integration policy
Environmental, Social and Governance (ESG) factors are systematically integrated in the highly disciplined investment process, by using ESG scores based on the S&P Global Corporate Sustainability Assessment. The ESG integration aims for a total ESG score of the portfolio that is at least 20% higher than the index. This ensures that stocks with higher ESG scores are more likely to be overweighted in the portfolio while stocks of companies that have very poor ESG scores are more likely to be underweighted in the portfolio. In addition, the environmental footprint of the fund is improved by restricting the GHG emissions, water use and waste generation, aiming for minimal 20% stricter levels than the index. As a result stocks with relatively low footprints have a higher probability of being selected in the portfolio compared to stocks with poor environmental footprints. Thirdly, the fund will not invest in companies exposed to the following controversial sectors or business practices, including military contracting, controversial weapons, fire arms, UN Global Compact breaches, tobacco, palm oil, nuclear power, thermal coal, arctic drilling and oil sands, according to strict revenue thresholds.
Investment policy
Robeco QI Emerging Markets Sustainable Enhanced Index Equities is an actively managed fund that invests in stocks of companies in emerging markets. The selection of these stocks is based on a quantitative model. The fund's objective is to achieve a better return than the index. The fund aims for a better sustainability profile compared to the Benchmark by promoting certain ESG (i.e. Environmental, Social and corporate Governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation and integrating ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list on the basis of controversial behavior, products (including controversial weapons, tobacco, palm oil and fossil fuel) and countries, while avoiding investment in thermal coal, weapons, military contracting and companies that severely violate labor conditions, next to proxy proxy voting and engagement . The fund also aims for an improved environmental footprint compared to the Benchmark.The fund uses a stock selection strategy which ranks stocks on their expected future relative performance using three factors: valuation, quality and momentum. The fund aims at selecting stocks with relatively low environmental footprints compared to stocks with high environmental footprints. The majority of stocks selected through this approach will be components of the Benchmark, but stocks outside the Benchmark may be selected too. The fund can deviate from the weightings of the Benchmark to a limited extent. Highly ranked stocks are overweighted against the Benchmark, whereas low-ranked stocks are underweighted, resulting in a well-diversified portfolio with a low tracking error relative to the Benchmark of the fund. The fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the applications of limits (on countries and sectors) to the extent of deviation from the Benchmark. This will consequently limit the deviation of the performance relative to the Benchmark. The Benchmark is a broad market weighted index that is not consistent with the ESG characteristics promoted by the fund.
Risk policy
Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.
Sustainability profile
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}
| ESG score target | Footprint target |
|---|---|
| ↑20% | ↓20% |
ESG Score
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The portfolio ESG score (and E,S and G score) is calculated by multiplying the RobecoSAM Smart ESG Score of each holding by its respective portfolio or index weight. The same methodology is applied in calculating the key ESG Criterion scores. The scores of the portfolio are provided alongside the scores of the index, highlighting the portfolio’s relative sustainability. The colors indicate the score of the portfolio, whilst the shading shows the index.
Environmental Footprint
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The RobecoSAM footprint ownership of the portfolio expresses the total resource consumption the portfolio finances. Each company's footprint is calculated by normalizing resources consumed by the company's enterprise value. Multiplying these values by the dollar amount invested in each company yields the aggregate footprint ownership figures. The selected index's footprint (for an equivalent $ amount invested in corporates) is provided alongside. The portfolios score is shown in blue and the index in grey.
ESG integration policy
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}Environmental, Social and Governance (ESG) factors are systematically integrated in the highly disciplined investment process, by using ESG scores based on the S&P Global Corporate Sustainability Assessment. The ESG integration aims for a total ESG score of the portfolio that is at least 20% higher than the index. This ensures that stocks with higher ESG scores are more likely to be overweighted in the portfolio while stocks of companies that have very poor ESG scores are more likely to be underweighted in the portfolio. In addition, the environmental footprint of the fund is improved by restricting the GHG emissions, water use and waste generation, aiming for minimal 20% stricter levels than the index. As a result stocks with relatively low footprints have a higher probability of being selected in the portfolio compared to stocks with poor environmental footprints. Thirdly, the fund will not invest in companies exposed to the following controversial sectors or business practices, including military contracting, controversial weapons, fire arms, UN Global Compact breaches, tobacco, palm oil, nuclear power, thermal coal, arctic drilling and oil sands, according to strict revenue thresholds.
Wilma de Groot, Tim Dröge, Machiel Zwanenburg, Jan de Koning, Yaowei Xu, Han van der Boon
Mrs. De Groot is Head of Core Quant Equities and responsible for managing Enhanced Indexing and Active Quant strategies. She specializes in asset pricing anomalies and portfolio construction. Mrs. de Groot joined Robeco as a Researcher in 2001 and is a Portfolio Manager since 2014. She has published in various academic publications including the Journal of Banking and Finance, Journal of International Money and Finance, Journal of Empirical Finance and Financial Analysts Journal. She is a guest lecturer at several universities. Mrs. de Groot graduated in Econometrics from Tilburg University. She has a PhD in Finance from Erasmus University Rotterdam and is a CFA® charter holder. She has 17 years of experience in the investment industry. Mr. Dröge is a Portfolio Manager within the Core Quant Equities team. He is responsible for managing Enhanced Indexing and Active Quant strategies. He specializes in portfolio management Emerging Markets. Previously, he held positions as Portfolio Manager Balanced Investments and Account Manager institutional clients. Mr. Dröge has been working as a Portfolio Manager since 2001. He started his career at Robeco in 1999. He holds a Master's degree in Business Economics from Erasmus University Rotterdam. He has 19 years of experience in the investment industry. Mr. Zwanenburg is a Portfolio Manager within the Core Quant Equities team. He is responsible for managing Enhanced Indexing and Active Quant strategies. Mr. Zwanenburg specializes in portfolio management with sustainability integration. Previously, he held positions as Risk Manager RobecoSAM and Head of Client Portfolio Risk at Robeco. He joined Robeco in 1999 as a member of the Quantitative Research department. He holds a Master's degree in Econometrics from Erasmus University Rotterdam and a Master's degree in Economics from the London School of Economics and Political Science. He has 19 years of experience in the investment industry. Mr. De Koning is a Portfolio Manager within the Core Quant Equities team. He is responsible for managing Enhanced Indexing and Active Quant strategies. He started his investment career in 2005 with Centuria Capital and was a Portfolio Manager at Somerset Capital Partners. Before joining Robeco in January 2015 he worked as a fiduciary manager at NN Investment Partners. Jan is a graduate from the University of Tilburg and holds a Master's degree in Organizational Studies and is the author of a book on quantitative investing which is translated into several languages. He is a CFA®, CAIA®, CIPM® and CMT charter holder. He has 13 years of experience in the investment industry. Ms. Xu is a Portfolio Manager Quant Equities at Robeco. She is responsible for Robeco’s Conservative, Enhanced Indexing and Active Quant strategies. Ms. Xu specializes in portfolio management Emerging Markets. She started her investment career in 2004 with ABN AMRO Asset Management in The Netherlands as Portfolio Risk Manager performing quantitative risk modelling and analysis for equity portfolios. In 2006 she became Telecommunication and Utilities Analyst for Global Emerging Market Equity. In 2008 she joined Pelargos Capital BV in the Netherlands as Senior Portfolio Manager to co-manage the long/short hedge fund focusing on Asia Pacific ex Japan equities. She joined the Robeco Emerging Markets team in 2014 to focus on Greater China equities. In March 2018 she joined the Robeco Quantitative Equities team. She holds a degree of Master of Science in Financial Management from Nyenrode Business University, The Netherlands. She has 14 years of experience in the investment industry. Mr. Van der Boon is Portfolio Manager within the Core Quant Equities team. He was a Technical Portfolio Manager and Operational Portfolio Manager with a focus on equities in the period 2009-2018. He joined Robeco in 1997 as a Business Controller. He holds a Master's in Business Administration from Erasmus University Rotterdam.
Details
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
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| Outstanding shares | |
| ISIN | LU2035182000 |
| Bloomberg | ROENIEF LX |
| Valoren | 49964688 |
| WKN | |
| Availability | |
| 1st quotation date | 1567641600000 |
| Close financial year | 31-12 |
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Cost of this fund
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Transaction costs |
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Extra fees
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Fiscal product treatment
The fund is established in Luxembourg and is subject to the Luxembourg tax laws and regulations. The fund is not liable to pay any corporation, income, dividend or capital gains tax in Luxembourg. The fund is subject to an annual subscription tax ('tax d'abonnement') in Luxembourg, which amounts to 0.05% of the net asset value of the fund. This tax is included in the net asset value of the fund. The fund can in principle use the Luxembourg treaty network to partially recover any withholding tax on its income.
Fiscal treatment of investor
The fiscal consequences of investing in this fund depend on the investor's personal situation. For private investors in the Netherlands real interest and dividend income or capital gains received on their investments are not relevant for tax purposes. Each year investors pay income tax on the value of their net assets as at 1 January if and inasmuch as such net assets exceed the investor’s tax-free allowance. Any amount invested in the fund forms part of the investor's net assets. Private investors who are resident outside the Netherlands will not be taxed in the Netherlands on their investments in the fund. However, such investors may be taxed in their country of residence on any income from an investment in this fund based on the applicable national fiscal laws. Other fiscal rules apply to legal entities or professional investors. We advise investors to consult their financial or tax adviser about the tax consequences of an investment in this fund in their specific circumstances before deciding to invest in the fund.
