Netherlands-headquartered Robeco has unveiled seven new multi-factor equity indices, building on the asset manager’s existing quant-based line-up. The indices, which target global, global developed, emerging markets, Europe, US, Asia-Pacific, and Japan, may be used as the basis for product development, including ETFs.
Each index uses a traditional market-cap weighted index provided by S&P Dow Jones Indices as the investment universe for its construction. S&P’s indexing division will also act as calculating agent for the new Robeco indices.
The Robeco multi-factor equity indices are designed to provide exposure to four factors – value, momentum, low volatility and quality – while keeping costs low. Stock ranking and portfolio construction are based on Robeco’s proprietary models, which the firm notes have been extensively tested in historical simulations and have a live track record for numerous years. Furthermore, each index explicitly integrates ESG criteria in its construction process by ensuring that the weighted sustainability score of the index is at least as high as that of the related cap-weighted benchmark.
Robeco will further prevent the damaging effects of overcrowding and front-running on performance by making the indices transparent for clients only.
Joop Huij, head of factor investing equities and head of factor index research at Robeco, said: “Robeco has long been a thought leader in the field of quantitative investing. Building on our experience, our cautious pioneering approach combined with our close cooperation with clients, we want to keep on bringing innovative solutions to the market. The Robeco multi-factor equity indices are a perfect example of this. The objective of our evidence-based solution is to achieve risk-adjusted returns that are higher than those of both cap-weighted market benchmarks and comparable generic factor indices, over a full market cycle and at low cost to our clients.”
Marius Baumann, global head of custom indices, S&P DJI, added: “We are delighted to be the independent calculation agent for the Robeco multi-factor equity indices and for our market-cap weighted indices to be used as its universe. S&P DJI has a strong track record in calculating custom indices globally and we are pleased to combine this experience with our deep understanding of multi-factor indices.”