Robeco launches sustainable enhanced index fund
Robeco has launched the Robeco QI Emerging Markets Sustainable Enhanced Index Equities with a strategy that aims for a 20 per cent higher score on Environmental, Social and Governance (ESG) criteria than the benchmark (MSCI Emerging Markets Index).
It also aims to reduce the environmental footprint for greenhouse gas emissions, water use, waste generation and energy consumption by 20 per cent compared to the benchmark, while maintaining the ability to provide alpha in emerging markets. The strategy uses an extensive values-based exclusion list and includes voting and engagement, which will be carried out by Robeco’s Active Ownership team.
The fund uses a quantitative stock selection strategy which ranks stocks according to sustainability criteria as well as their expected future relative performance using the factors: valuation, quality, momentum, resulting in a well-diversified portfolio with a low tracking error relative to the index. The portfolio overweights stocks with a strong sustainable profile, attractive valuation, a profitable operating business, strong price momentum, and positive recent revisions from analysts. It is managed by Robeco’s Core Quant Equities team, responsible for managing a wide range of Enhanced Indexing strategies including global, European, US and emerging market strategies.
Wilma de Groot (pictured), Head of Core Quant Equities, says: “We are excited to add this new fund to our existing range of successful quantitative equity strategies. The fund is an alternative to passive investing, and an interesting solution for investors looking for stable outperformance after costs, with a low tracking error. Our Enhanced Indexing strategies have a similar absolute risk profile as passive strategies, but can generate better returns by actively integrating sustainability criteria as well as incorporating 50 years of factor investing research.”
The newly launched strategy builds on the knowledge and expertise of the existing Emerging Markets Enhanced Indexing strategy, and the sustainability approach of the existing Developed Markets Sustainable Enhanced Index strategy and Active Emerging Markets Sustainable strategy.