Enhanced Indexing Equity
Key points:
- An alternative to passive investing for investors looking for stable outperformance after costs, with a low tracking error
- Disciplined and transparent investment approach that integrates sustainability
- Proven track records in developed and emerging 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 take an active approach to investor stewardship reflected in portfolio positioning.
Process
Robeco's Enhanced Indexing strategies offer the advantages of passive investing but can generate better returns by incorporating 50 years of research. We slightly overweight those index constituents that score highly on characteristics proven to deliver superior returns, and slightly underweight those that score poorly. These characteristics are value, quality, momentum and analyst revisions.
Regions
The strategy is available for different investment regions: globally developed, European, US and emerging markets.
Region |
Global developed markets |
Emerging markets |
Benchmark |
MSCI World Index |
MSCI Emerging Markets Index |
Information ratio target |
1 |
1 |
Tracking error (expected average) |
1.0% |
1.2% |
Number of stocks strategy |
≈ 750 |
≈ 500 |
Inception date |
August 2004 |
May 2007 |
Region |
Europe |
US |
Benchmark |
MSCI Europe |
S&P 500 |
Information ratio target |
1 |
0.7 |
Tracking error (expected average) |
1.0% |
1.5% |
Number of stocks strategy |
≈ 350 |
≈ 400 |
Inception date |
September 2017 |
September 2017 |
Enhanced Indexing offers all the benefits of passive investing, while compensating for its many disadvantages.
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.
