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US enhanced indexing equity
エンハンスト・インデックス株式

US enhanced indexing equity

An alternative to passive investing in US markets

Key points:

  • Alternative to passive investing for investors looking for higher returns than the broader market and a low tracking error
  • Systematic research driven investment approach to benefit from persistent behavioral biases
  • Proven track record since 2004 with an information ratio of >1 in developed markets

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.

Proven alternative to passive investing

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

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Process

The performance driver is our stock-selection model, selecting stocks with a balance of attractive valuation and positive momentum. We enhance these factors to avoid non-rewarded risks and aim to improve performance. The weights resemble the index but with slightly higher weights to attractive stocks and lower weights to unattractive ones. Our proprietary rules-based portfolio construction algorithm limits turnover.

We have launched our global developed enhanced indexing equity strategy in 2004.

The strategy is also available for other regional universes such as Europe and with an enhanced sustainability profile.

クオンツ運用
クオンツ運用

ロベコは25年以上にわたりクオンツ運用をリードし、応用研究を実践的なソリューションに適用してきました。

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Team

Our strategies are 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.