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Sustainable Enhanced Indexing Equity

Sustainable Enhanced Indexing Equity

A sustainable alternative to passive investing

Key points

  • Delivering advanced sustainability exposure while offering market-like returns after costs
  • Significantly better ESG profile, smaller environmental footprint and exclusions
  • Proven track record in developed markets with information ratio > 0.5 since inception in 2013

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. Risks that are not adequately rewarded should be avoided.

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

Process

Robeco's Sustainable Enhanced Indexing offers the advantages of passive investing but also targets a superior sustainability profile and better returns by incorporating 50 years of academic insights. We overweight those index constituents that score highly on sustainability measures and on characteristics proven to deliver superior returns, and slightly underweight those that score poorly.

These characteristics are value, quality, momentum and analyst revisions.

Furthermore, we take into account the following aspects of sustainability:

  • At least 20% higher sustainability score than the market.
  • 20% reduction of environmental footprint based on impact scores.
  • Exclusion of companies with an controversial business model such as tobacco and firearms.
  • Voting and engagement for portfolio holdings

Regions

The strategy is available for different investment regions: global developed and emerging markets.

Region

Global developed

Emerging markets

Benchmark

MSCI World Index

MSCI Emerging Markets

Information ratio target

0.5

0.7

Tracking error (expected average)

1.0%

1.5%

Number of stocks strategy

≈ 750

≈ 450

Inception date

November 2013

September 2019

Proven alternative to passive investing

Enhanced Indexing offers all the benefits of passive investing, while compensating for its many disadvantages.

Read more

Team

Our strategy is managed by an experienced group of investment professionals within an organization which is fully committed to quantitative investing. The team consists of more than 40 portfolio managers and quantitative researchers dedicated solely to quantitative investing, research and model development. The team closely cooperates with RobecoSAM, which focuses exclusively on ESG. RobecoSAM provides the stock-specific sustainability information for the strategy.

Get in touch with us

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

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Disclaimer

The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).

The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.

Neither information nor any opinion expressed on the 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 product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.

By clicking Proceed I confirm that I am a professional investor and that I have read, understood and accept the terms of use for this website.

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