Combining quant and sustainable investing? In 2018, a large, fast growing UK defined contribution multiemployer pension scheme was looking for an efficient factor-based investment solution for its equity portfolio, that would also feature an ambitious sustainability profile, including a values-based exclusion list and a significantly better ESG profile than the market index. Environmental footprint reduction was also among the aspects deemed important by the client.
One very particular request from this pension trust was that, for cost and transparency reasons, it wanted the solution to be managed in the form of a bespoke index, that could be replicated. At the same time, however, the client was aware of the pitfalls of generic products offered by index providers, in particular in terms of practical implementation. The client was therefore more inclined to consider a solution run by an active asset manager.
Meanwhile, Robeco had already been closely working with the scheme’s consultant, for several years at the time, conveying our approach to efficiently harvesting factor premiums in a sustainable way. As a result, turning to our Factor Index offering came as a natural move for this client.
The chosen solution, Robeco Global Sustainable Multi-Factor Equities Index, harvests factor premiums in a systematic manner, allocating to individual stocks based on four factors: value, momentum, quality, and low volatility. The strategy also considers ESG and environmental footprint attributes of each stock and the overall portfolio as key parts of the index construction.
The involvement of RobecoSAM’s teams during the selection process was important to convince the client
More specifically, on top of applying RobecoSAM’s standard exclusion list, the strategy also targets an ESG score that is 20% better than that of the benchmark. It also targets a 20% reduction of the portfolio’s environmental footprint in terms of greenhouse gas emissions, energy use, water consumption and waste generation. The involvement of RobecoSAM’s teams during the selection process was important to convince the client that the sustainability component of the mandate was of the highest quality.
Please read this important information before proceeding further. It contains legal and regulatory notices relevant to the information contained on this website.
The information contained in the Website is NOT FOR RETAIL CLIENTS - The information contained in the Website is solely intended for professional investors, defined as investors which (1) qualify as professional clients within the meaning of the Markets in Financial Instruments Directive (MiFID), (2) have requested to be treated as professional clients within the meaning of the MiFID or (3) are authorized to receive such information under any other applicable laws. The value of the investments may fluctuate. Past performance is no guarantee of future results. Investors may not get back the amount originally invested. Neither Robeco Institutional Asset Management B.V. nor any of its affiliates guarantees the performance or the future returns of any investments. If the currency in which the past performance is displayed differs from the currency of the country in which you reside, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency.
In the UK, Robeco Institutional Asset Management B.V. (“ROBECO”) only markets its funds to institutional clients and professional investors. Private investors seeking information about ROBECO should visit our corporate website www.robeco.com or contact their financial adviser. ROBECO will not be liable for any damages or losses suffered by private investors accessing these areas.
In the UK, ROBECO Funds has marketing approval for the funds listed on this website, all of which are UCITS funds. ROBECO is authorized by the AFM and subject to limited regulation by the Financial Conduct Authority. Details about the extent of our regulation by the Financial Conduct Authority are available from us on request.
Many of the protections provided by the United Kingdom regulatory framework may not apply to investments in ROBECO Funds, including access to the Financial Services Compensation Scheme and the Financial Ombudsman Service. No representation, warranty or undertaking is given as to the accuracy or completeness of the information on this website.
If you are not an institutional client or professional investor you should therefore not proceed. By proceeding please note that we will be treating you as a professional client for regulatory purposes and you agree to be bound by our terms and conditions.