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Robeco QI Inst Global Developed Sustainable Multi-Factor Equities T9 EUR

Index: MSCI World Index
ISIN: NL0013216450
  • Invests in stocks that are attractive according to one or more quantitative factor strategies
  • Aims to have a better environmental footprint and a better sustainability profile compared to the Benchmark.
  • Removes unrewarded risks, avoids going against proven factor premiums and limits unnecessary turnover
Asset class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingYes

About this fund

Robeco QI Institutional Global Developed Sustainable MultiFactor Equities is an actively managed fund that invests in stocks in developed countries across the world. 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 follows a bottom-up driven investment strategy to gain efficient, well-diversified exposure to the proven factors value, momentum, low-volatility and quality. The fund uses enhanced factor definitions to avoid unrewarded risk and unwanted and unintended factor tilts. The fund aims at selecting stocks with relatively low environmental footprints compared to stocks with high environmental footprints.

Price development

No performance data available

Price development

Robeco QI Inst Global Developed Sustainable Multi-Factor Equities T9 EUR

Performance

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The value of the investments may fluctuate. Past performance is no guarantee of future results.
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
The value of the investments may fluctuate. Past performance is no guarantee of future results.
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

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Based on closing GAV, the fund's return was 2.76%. The fund aims to achieve higher risk-adjusted returns than both the broad market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced proven factors. The value, momentum, low-volatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund offers a significantly improved sustainability profile compared to the broad market.

Statistics

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Above mentioned ratios are based on gross of fees returns
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Dividend paying history

Date Amount
Download dividend history

Fund allocation

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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

All of the fund's income is reinvested after deduction of costs and withholding tax. Within three months of the close of the financial year, participants can indicate whether they want the dividend to be reinvested or distributed.

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 included in the portfolio while stocks of companies that have very poor ESG scores are more likely to be divested from 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, gambling, adult entertainment, palm oil, nuclear power, thermal coal, arctic drilling and oil sands, according to strict revenue thresholds.

Investment policy

Robeco QI Institutional Global Developed Sustainable MultiFactor Equities is an actively managed fund that invests in stocks in developed countries across the world. 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 follows a bottom-up driven investment strategy to gain efficient, well-diversified exposure to the proven factors value, momentum, low-volatility and quality. The fund uses enhanced factor definitions to avoid unrewarded risk and unwanted and unintended factor tilts. The fund aims at selecting stocks with relatively low environmental footprints compared to stocks with high environmental footprints. The majority of stocks selected 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. The fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the applications of limits (on countries, sectors and issuers) 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

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Exclusions++

Full ESG Integration

Voting & Engagement

ESG Target

ESG score target Footprint target
↑20% ↓20%

ESG Score

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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.

IUF FENNEL_20210831-FENNEL_20210831-smartESGScoreTotal.png IUF FENNEL_20210831-FENNEL_20210831-smartESGScoreDimensions.png IUF FENNEL_20210831-FENNEL_20210831-keySmartESGCriteria.png

Environmental Footprint

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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.

IUF FENNEL_20210831-FENNEL_20210831-footprintOwnershipCo2.png
Robeco data based on Trucost data. *
IUF FENNEL_20210831-FENNEL_20210831-footprintOwnershipWaste.png
Source: Data based on RobecoSAM impact data.
IUF FENNEL_20210831-FENNEL_20210831-footprintOwnershipWater.png
Source: Data based on RobecoSAM impact data.
* Source: S&P Trucost Limited © Trucost 2021. All rights in the Trucost data and reports vest in Trucost and/or its licensors. Neither Trucost, not its affliates, nor its licensors accept any liability for any errors, omissions, or interruptions in the Trucost data and/or reports. No further distribution of the Data and/or Reports is permitted without Trucost's express written consent.

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 included in the portfolio while stocks of companies that have very poor ESG scores are more likely to be divested from 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, gambling, adult entertainment, palm oil, nuclear power, thermal coal, arctic drilling and oil sands, according to strict revenue thresholds.

Guido Baltussen, Daniel Haesen, Wouter Tilgenkamp
Guido Baltussen, Daniel Haesen, Wouter Tilgenkamp

Guido Baltussen, Daniel Haesen, Wouter Tilgenkamp

Guido Baltussen is Executive Director and responsible for Robeco’s Factor Investing and quantitative Liquid Alternatives / Multi Asset strategies. He also holds a position as Professor of Behavioral Finance and Financial Markets at Erasmus University Rotterdam. Before joining Robeco in 2017, Guido was Head of Quantitative Research Fixed Income and Multi Asset at NN Investment Partners. He started his career in the investment industry in 2004. He has published in top-ranked academic journals such as the Journal of Financial Economics, the American Economic Review, Management Science and the Journal of Financial and Quantitative Analyses. He has worked together in research projects with the 2017 Nobel Prize laureate Richard Thaler. Guido holds a PhD and a Master's (cum laude) in Financial and Business Economics from Erasmus University Rotterdam. Daniel Haesen is Portfolio Manager within the Factor Investing Equities team and is responsible for Value-, Momentum, Quality- and Multi-Factor portfolios. He specializes in factor research. Daniel started his career in the industry at Robeco in 2003 as a Researcher with a focus on quant selection research, working on both equity and corporate bond multi-factor selection models. He was also responsible for quantitative sustainability and quantitative allocation research. He holds a Master's in Econometrics and Quantitative Finance from Tilburg University in the Netherlands and is a CFA® charterholder. Wouter Tilgenkamp is Portfolio Manager Quantitative Equities and focuses on managing Factor Investing portfolios, such as the Value-, Momentum-, Quality- and Multi-Factor portfolios. Wouter joined Robeco in 2016 as a Data Scientist, with a specific focus on Equity Trading Research, automatization of portfolio processes, portfolio construction, and optimal execution of strategies. He started his financial career in 2014 as Derivative Trader at Optiver. He holds a Bachelor of Science in Applied Mathematics from Technical University of Delft and a master’s degree in Quantitative Finance.

Details

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Management company
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ISINNL0013216450
BloombergRQGDST9 NA
Valoren
WKN
Availability
1st quotation date1550448000000
Close financial year31-12
Legal status
Tracking error limit (%)
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Cost of this fund

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