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Multi-Factor equity indices
Factor investing equities

Multi-Factor equity indices

Exposure to proven factors via indices

Key points:

  • Exposure to the Value, Momentum, Low Vol and Quality factors using an index approach
  • Enhanced factor definitions to avoid unrewarded risk and maximize returns
  • Not prone to arbitrage or overcrowding: only transparent to the client

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. We enhance proven quantitative factors to avoid unrewarded risks.

Prudent investing. We manage easily explainable portfolios and prevent unnecessary trading costs, and we integrate environmental, social and governance (ESG) factors.

Process

Multi-Factor equity indices are a fully quantitative equity product that exploits four proven factor premiums: Value, Momentum, Low Vol and Quality. Rather than using generic factor definitions, it uses enhanced definitions to avoid unrewarded risk and maximize returns. The parent index is an S&P Dow Jones index. Robeco researchers create new index data based on quantitative stock rankings and a proprietary index construction algorithm. S&P Dow Jones Indices updates the index for market events and sends the bespoke index to an asset manager for portfolio construction. This results in an index with efficient exposure to factors and a high capacity.

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Team

An experienced and dedicated team is responsible for the creation and delivery of the indices. The team uses Robeco quantitative research for stock selection, but acts independently from our portfolio managers. The daily maintenance such as corporate actions and calculation of the indices is outsourced to the third party index provider S&P Dow Jones Indices. We have a long term partnership with this leading global index provider.

Get in touch with us

Contact us if you would like to know more about this strategy.

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