switzerlanden
Client story: pension scheme embraces sustainability via factor indices

Client story: pension scheme embraces sustainability via factor indices

31-05-2019 | Insight

Combining quant and sustainable investing? In 2018, a large, fast growing UK defined contribution multiemployer pension scheme was looking for an efficient factor-based investment solution for its equity portfolio, that would also feature an ambitious sustainability profile, including a values-based exclusion list and a significantly better ESG profile than the market index. Environmental footprint reduction was also among the aspects deemed important by the client.

  • Viorel Roscovan
    Viorel
    Roscovan
    Portfolio Manager
  • Peter Walsh
    Peter
    Walsh
    Head of Robeco UK

Speed read

  • Client wanted to replace its existing passive allocation to equities
  • Transparency and cost efficiency were considered of utmost importance
  • High-quality sustainability integration was also deemed essential
Stay informed on Quant investing with monthly mail updates
Stay informed on Quant investing with monthly mail updates
Subscribe

One very particular request from this pension trust was that, for cost and transparency reasons, it wanted the solution to be managed in the form of a bespoke index, that could be replicated. At the same time, however, the client was aware of the pitfalls of generic products offered by index providers, in particular in terms of practical implementation. The client was therefore more inclined to consider a solution run by an active asset manager.

Meanwhile, Robeco had already been closely working with the scheme’s consultant, for several years at the time, conveying our approach to efficiently harvesting factor premiums in a sustainable way. As a result, turning to our Factor Index offering came as a natural move for this client.

Factor and Sustainable investing in an index

The chosen solution, Robeco Global Sustainable Multi-Factor Equities Index, harvests factor premiums in a systematic manner, allocating to individual stocks based on four factors: value, momentum, quality, and low volatility. The strategy also considers ESG and environmental footprint attributes of each stock and the overall portfolio as key parts of the index construction.

The involvement of RobecoSAM’s teams during the selection process was important to convince the client

More specifically, on top of applying RobecoSAM’s standard exclusion list, the strategy also targets an ESG score that is 20% better than that of the benchmark. It also targets a 20% reduction of the portfolio’s environmental footprint in terms of greenhouse gas emissions, energy use, water consumption and waste generation. The involvement of RobecoSAM’s teams during the selection process was important to convince the client that the sustainability component of the mandate was of the highest quality.

Subjects related to this article are:
Logo

Disclaimer Robeco Switzerland Ltd.

The information contained on these pages is for marketing purposes and solely intended for Qualified Investors in accordance with the Swiss Collective Investment Schemes Act of 23 June 2006 (“CISA”) domiciled in Switzerland, Professional Clients in accordance with Annex II of the Markets in Financial Instruments Directive II (“MiFID II”) domiciled in the European Union und European Economic Area with a license to distribute / promote financial instruments in such capacity or herewith requesting respective information on products and services in their capacity as Professional Clients. 

The Funds are domiciled in Luxembourg and The Netherlands. ACOLIN Fund Services AG, postal address: Affolternstrasse 56, 8050 Zürich, acts as the Swiss representative of the Fund(s). UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zurich, postal address: Europastrasse 2, P.O. Box, CH-8152 Opfikon, acts as the Swiss paying agent. The prospectus, the Key Investor Information Documents (KIIDs), the articles of association, the annual and semi-annual reports of the Fund(s) may be obtained, on simple request and free of charge, at the office of the Swiss representative ACOLIN Fund Services AG. The prospectuses are also available via the website www.robeco.ch. Some funds about which information is shown on these pages may fall outside the scope of the Swiss Collective Investment Schemes Act of 26 June 2006 (“CISA”) and therefore do not (need to) have a license from or registration with the Swiss Financial Market Supervisory Authority (FINMA). 

Some funds about which information is shown on this website may not be available in your domicile country. Please check the registration status in your respective domicile country. To view the RobecoSwitzerland Ltd. products that are registered/available in your country, please go to the respective Fund Selector, which can be found on this website and select your country of domicile. 

Neither information nor any opinion expressed on this website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco Switzerland Ltd. product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports. 

By clicking “I agree” you confirm that you/the company you represent falls under one of the above-mentioned categories of addressees and that you have read, understood and accept the terms of use for this website.

I Disagree