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Sustainable Multi-Factor Equity Indices

Sustainable Multi-Factor Equity Indices

Sustainable exposure to factors via indices

Key points:

  • Exposure to the value, momentum, low volatility and quality factors using an index approach
  • Significantly better ESG profile, smaller environmental footprint and exclusions
  • Enhanced factor definitions that aim to avoid unrewarded risk and maximize returns

Philosophy

Robeco’s quantitative investment strategies are based on the following beliefs:

Evidence-based research. We strive to identify 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

Multi-Factor equity indices are a fully quantitative equity product that exploits four factor premiums: value, momentum, low volatility and quality. Rather than using generic factor definitions, it uses enhanced definitions that attempt 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.

Quantitative investing

We’ve been a leader in quantitative investing for over 25 years.

Quantitative investing

Regions

Region

All Country

Benchmark

MSCI AC World

Number of stocks strategy

≈ 1700

Inception date

October 2018

This information is subject to change.

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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Disclaimer

This page is intended for US prospects, clients and investors only and includes information about the capabilities, staffing and history of RIAM US and its participating affiliates, which may include information on strategies not yet available in the US. SEC regulations are applicable only to clients, prospects and investors of RIAM US. Robeco BV, Robeco HK and Robeco SH are considered a “participating affiliate” of RIAM US and some of their employees are “associated persons” of RIAM US as per relevant SEC no-action guidance. Employees identified as associated persons of RIAM US perform activities directly or indirectly related to the investment advisory services provided by RIAM US. In those situations, these individuals are deemed to be acting on behalf of IUAM, a US SEC registered investment adviser.

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