Robeco QI Global Developed Sustainable Enhanced Index Equities I CHF
- Offers exposure close to an index, with an improved sustainability and risk-return profile
- Diversified exposure to an integrated multi-factor stock selection model
- Using proven return factors value, quality and momentum, with improved ESG profile and lower environmental footprints
Enhanced Indexing offers all the benefits of passive investing, while compensating for its many disadvantages.
More about enhanced indexing
About this fund
Price development
Price development
Performance
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundPerformances.date,'llll') ]}}| Fund | Index | |
|---|---|---|
| 1 month | ||
| 3 months | ||
| YTD | ||
| 1 year | ||
| 2 years | ||
| 3 years | ||
| 5 years | ||
| 10 years | ||
| {{'fund.detail.performance.period.sinceInception' | labelize:[ fundDate(fund.fundPerformances.sinceStart.startDate,'MM-YYYY') ]}} |
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 -1.24%. The objective of the Developed Markets Sustainable Enhanced Indexing strategy is to offer investors exposure close to an index, with an improved sustainability and risk-return profile. The strategy applies a large number of small overweight and underweight positions versus the index, resulting in a low tracking error. The portfolio consists of roughly 750 developed 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 risk is significantly lower 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 index.
Statistics
{{'fund.detail.general.perDate' | labelize:[ fundDate( (fund.fundStatistics.date?fund.fundStatistics.date:fund.fundCharacteristics.date) ,'llll') ]}}| 3 years | 5 years | ||
|---|---|---|---|
| Tracking error ex-post (%) |
|
||
| Information ratio | |||
| Sharpe ratio | |||
| Alpha (%) | |||
| Beta |
|
||
| Standard deviation |
|
||
| Max. monthly gain (%) |
|
||
| Max. monthly loss (%) |
|
| 3 years | 5 years | ||
|---|---|---|---|
| Months outperformance | |||
| Hit ratio (%) | |||
| Months Bull market | |||
| Months outperformance Bull | |||
| Hit ratio Bull (%) | |||
| Months Bear market | |||
| Months outperformance Bear | |||
| Hit ratio Bear (%) |
| Fund | Reference index | ||
|---|---|---|---|
| Rating | |||
| Option Adjusted Modified Duration (years) | |||
| Maturity (years) | |||
| Yield to Worst (%) | |||
| Green Bonds (%) |
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
|---|---|---|
Currency policy
The fund aims for currency exposures that are close to the benchmark.
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
The fund systematically incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets as well as voting. Firstly, the fund does not invest in stock issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. The fund also excludes stocks issued by companies that have a high or medium negative impact on the Sustainable Development Goals (SDGs). The impact of issuers on the SDGs is determined by applying Robeco's internally developed three-step SDG Framework. Secondly, financially material ESG factors are integrated in the portfolio construction to ensure the ESG score of the portfolio is at least 10% better than that of the index. In addition, the environmental footprints of the fund are made lower than that of the benchmark by restricting the GHG emissions, water use and waste generation. The target is to achieve 30% lower GHG emissions and 20% lower water use and waste generation compared to the index. With these portfolio construction rules, stocks issued by companies with better ESG scores or environmental footprints are more likely to be included in the portfolio while stocks issued by companies with worse ESG scores or environmental footprints are more likely to be divested from the portfolio. Thirdly, where a stock issuer is flagged for breaching international standards in the ongoing monitoring, the issuer will become subject to exclusion. Lastly, the fund makes use of shareholder rights and applies proxy voting in accordance with Robeco's proxy voting policy.
Investment policy
Robeco QI Global Developed Sustainable Enhanced Index Equities is an actively managed fund that invests in stocks of companies in developed 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 E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrating sustainability risks in the investment process and applying Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions, proxy voting and aims for an improved environmental footprint. The fund applies a large number of small over and underweight positions with respect to the index and aims to gain a well-diversified exposure to an integrated multi-factor stock selection model consisting of proven return factors such as value, quality and momentum. 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. The fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the applications of limits (on currencies, 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 |
|---|---|
| 10% better than index | 20% better than index |
Footprint Ownership
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}Footprint ownership expresses the total resource utilization the portfolio finances. Each assessed company's footprint is calculated by normalizing resources utilized by the company's enterprise value including cash (EVIC). Multiplying these values by the dollar amount invested in each assessed company yields the aggregate footprint ownership figures. The selected index's footprint is provided alongside. Sovereign and cash positions have no impact. The portfolios score is shown in blue and the index in grey.
ESG Risk Score
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The Portfolio Sustainalytics ESG Risk Rating chart displays the portfolio's ESG Risk Rating. This is calculated by multiplying each portfolio component's Sustainalytics ESG Risk Rating by its respective portfolio weight. If an index has been selected, those scores are provided alongside the portfolio scores, highlighting the portfolio's ESG risk level compared to the index. The Sustainalytics ESG Risk Rating distribution chart shows the portfolio allocations broken into Sustainalytics' five ESG risk levels: negligible (0-10), low (10-20), medium (20-30), high (30-40) and severe (40+), providing an overview of portfolio exposure to the different ESG risk levels. If an index has been selected, the same information is shown for the index.
Sustainability
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The fund systematically incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets as well as voting. Firstly, the fund does not invest in stock issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. The fund also excludes stocks issued by companies that have a high or medium negative impact on the Sustainable Development Goals (SDGs). The impact of issuers on the SDGs is determined by applying Robeco's internally developed three-step SDG Framework. Secondly, financially material ESG factors are integrated in the portfolio construction to ensure the ESG score of the portfolio is at least 10% better than that of the index. In addition, the environmental footprints of the fund are made lower than that of the benchmark by restricting the GHG emissions, water use and waste generation. The target is to achieve 30% lower GHG emissions and 20% lower water use and waste generation compared to the index. With these portfolio construction rules, stocks issued by companies with better ESG scores or environmental footprints are more likely to be included in the portfolio while stocks issued by companies with worse ESG scores or environmental footprints are more likely to be divested from the portfolio. Thirdly, where a stock issuer is flagged for breaching international standards in the ongoing monitoring, the issuer will become subject to exclusion. Lastly, the fund makes use of shareholder rights and applies proxy voting in accordance with Robeco's proxy voting policy.
Wilma de Groot, Tim Dröge, Machiel Zwanenburg, Jan de Koning, Yaowei Xu, Han van der Boon
Wilma de Groot is Head of the Core Quant Equities capability and Head of the Quant Equity Portfolio Management team. She is responsible for Enhanced Indexing, Active Quant and Sustainable Beta strategies and specializes in asset pricing anomalies, portfolio construction and sustainability integration. She has published in various academic publications including the Journal of Impact and ESG Investing, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Empirical Finance and the Financial Analysts Journal. She is a guest lecturer at several universities. Wilma joined Robeco as a Quant Researcher in 2001. Wilma has a PhD in Finance from Erasmus University Rotterdam and holds a Master’s in Econometrics from Tilburg University. She is a CFA® charterholder. Tim Dröge is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant portfolios. Tim specializes in quantitative stock selection, portfolio construction and Emerging Markets. Previously, he held positions as Portfolio Manager Balanced Investments and Account Manager institutional clients. Tim has been working as a Portfolio Manager since 2001. He started his career at Robeco in 1999. He holds a Master's in Business Economics from Erasmus University Rotterdam. Machiel Zwanenburg is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant portfolios and specializes in quantitative stock selection and portfolio construction. One of his areas of expertise is sustainability integration within quantitative equities. Previously, he held positions as Risk Manager at RobecoSAM and Head of Client Portfolio Risk at Robeco. He joined Robeco in 1999 as a member of the Quant Research team. He holds a Master's in Econometrics from Erasmus University Rotterdam and a Master's in Economics from the London School of Economics. Jan de Koning is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant strategies and specializes in quantitative stock selection, portfolio construction and sustainability integration. He is also the author of a book on quantitative investing and has published in The Journal of Impact and ESG Investing. Before joining Robeco in 2015, he worked as a fiduciary manager at NN Investment Partners. He started his investment career in 2005 with Centuria Capital and was a Portfolio Manager at Somerset Capital Partners. Jan holds a Master's in Organizational Studies from Tilburg University, is a CFA®, CAIA®, CIPM® and CMT charterholder. He is also a PhD Researcher at the University of Amsterdam focusing on index capitalism in the age of sustainable investing. Yaowei Xu is Portfolio Manager Quantitative Equities with a special focus on emerging markets and Chinese market strategies. Previously, she was part of the Robeco fundamental Emerging Markets team. Prior to joining Robeco in 2014, Yaowei was Senior Portfolio Manager at Pelargos Capital where she co-managed the long/short hedge fund focusing on Asia Pacific ex Japan equities. She started her investment career in 2004 at ABN AMRO Asset Management as Portfolio Risk Manager. Yaowei holds a Master’s in Financial Management from Nyenrode Business University. Han van der Boon is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant portfolios and specializes in quantitative stock selection and portfolio construction. 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 | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU1793227817 |
| Bloomberg | RQSEIIC LX |
| Valoren | 40916146 |
| WKN | |
| Availability | |
| 1st quotation date | 1522108800000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
| Morningstar |
|
| Reference index |
Cost of this fund
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundCosts.managementFees.date,'llll') ]}}Ongoing charges |
|
|---|---|
| This fund deducts ongoing charges of |
| These charges comprise | ||
|---|---|---|
| Management fee | ||
| Service fee | ||
Transaction costs |
|
|---|---|
| The expected transaction costs are |
Performance fee |
|
|---|---|
| This fund may also deduct a performance fee of |
Extra fees
| max entry fee | ||
| Max exit fee | ||
| Max sub fee | ||
| Max switch fee |
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 0.01% 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
Investors who are not subject to (exempt from) Dutch corporate-income tax (e.g. pension funds) are not taxed on the achieved result. Investors who are subject to Dutch corporate-income tax can be taxed for the result achieved on their investment in the fund. Dutch bodies that are subject to corporate-income tax are obligated to declare interest and dividend income, as well as capital gains in their tax return. Investors residing outside the Netherlands are subject to their respective national tax regime applying to foreign investment funds. We advise individual 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.
