Robeco QI Institutional Global Developed Enhanced Indexing Equities T1 EUR
Systematic, active factor approach as an alternative to passive investing.
Share classes
Share classes
Every share class of a product invests in the same portfolio of securities and has the same investment objectives and policies. However, their parameters might deviate. For instance and amongst others, their distribution type, currency exposure or fees and expenses might differ. The most common share classes at Robeco are:
a) D/DH shares, which are regular shares and available for all Investors;
b) I/IH shares, for institutional investors as defined from time to time by the Luxembourg supervisory authority.
For more information on share classes please go to the prospectus.
T1-EUR
Class and codes
Asset class:
Equities
ISIN:
NL0012375125
Bloomberg:
RQDEIT1 NA
Index
MSCI World Index
Sustainability-related information
Sustainability-related information
Under the EU Sustainable Finance Disclosure Regulation, products can be labelled as either Article 6, 8 or 9 fund.
Article 6 - The fund is not in scope of enhanced sustainability disclosures compared to Article 8 and 9.
Article 8 - The fund does not have a sustainable investment objective but promotes environmental or social characteristics and is subject to enhanced sustainability disclosures.
Article 9 - The fund has a sustainable investment objective and is subject to enhanced sustainability disclosures.
Regardless of Article 8 or 9, the companies in which investments are made must follow good governance practices, and sustainable investments must not do any significant harm.
Article 8
- Overview
- Performance & costs
- Portfolio
- Sustainability
- Commentary
- Documents
MISSING: fund.detail.tabs.
Key points
- Aims to consistently outperform the benchmark, with a low tracking error
- Diversified exposure to an integrated multi-factor stock selection model
- Using proven return factors value, quality and momentum
About this fund
Robeco QI Institutional Global Developed Enhanced Indexing Equities is an actively managed fund that invests in stocks of companies in developed markets. The selection of these stocks is based on a quantitative model.The fund's objective is to achieve a better return than the index. The fund aims to gain a well-diversified exposure to an integrated multi-factor stock selection model consisting of proven return factors such as value, quality and momentum. The portfolio overweights stocks with an attractive valuation, a profitable operating business, strong price momentum, and positive recent revisions from analysts.
Key facts
Total size of fund
€ 144,124,543
Size of share class
€ 144,124,543
Inception date share class
31-08-2004
1-year performance
23.62%
Dividend paying
Yes
Fund manager
Wilma de Groot
Tim Dröge
Machiel Zwanenburg
Dean Walsh
Han van der Boon
Vania Sulman
Wilma de Groot is Head of Core Quant Equities, Head of Factor Investing Equities and Deputy Head of Quant Equity. She is responsible for quant equity strategies and specializes in asset pricing anomalies, portfolio construction and sustainability integration. She has published in various academic publications including the Journal of Impact and ESG Investing, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Empirical Finance and the Financial Analysts Journal. She is a guest lecturer at several universities. Wilma joined Robeco as a Quant Researcher in 2001. Wilma has a PhD in Finance from Erasmus University Rotterdam and holds a Master’s in Econometrics from Tilburg University. She is a CFA® Charterholder. Tim Dröge is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant portfolios. Tim specializes in quantitative stock selection, portfolio construction and Emerging Markets. Previously, he held positions as Portfolio Manager Balanced Investments and Account Manager institutional clients. Tim has been working as a Portfolio Manager since 2001. He started his career at Robeco in 1999. He holds a Master's in Business Economics from Erasmus University Rotterdam. Machiel Zwanenburg is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant portfolios and specializes in quantitative stock selection and portfolio construction. One of his areas of expertise is sustainability integration within quantitative equities. Previously, he held positions as Risk Manager and Head of Client Portfolio Risk at Robeco. He joined Robeco in 1999 as a member of the Quant Research team. He holds a Master's in Econometrics from Erasmus University Rotterdam and a Master's in Economics from the London School of Economics. Dean Walsh is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant portfolios. Dean specializes in quantitative stock selection, portfolio construction and sustainable integration. Prior to joining Robeco in 2023, he worked at Mercer Global Investments as a currency portfolio manager and as a principal in their Portfolio Intelligence unit. In this role, he led on quantitative research, including work on factor portfolios, sustainable & Paris-aligned investing, and risk management. He joined the industry in 2013 at JP Morgan. Dean holds a Master's in Quantitative Finance from University College Dublin. He is a CFA® and CAIA® Charterholder. Han van der Boon is Portfolio Manager Quantitative Equities. He focuses on managing Core Quant strategies, both Enhanced Indexing and Active Quant portfolios and specializes in quantitative stock selection and portfolio construction. He was a Technical Portfolio Manager and Operational Portfolio Manager with a focus on equities in the period 2009-2018. He joined Robeco in 1997 as a Business Controller. He holds a Master's in Business Administration from Erasmus University Rotterdam. Vania Sulman is Portfolio Manager Quantitative Equities and focuses on managing the Core Quant strategies. She specializes in the stock selection and sustainability integration in customized portfolios. She rejoined Robeco in 2022. Previously, she worked as a data scientist for three years and prior to that as a Quant Researcher at Robeco with a focus on quantitative stock selection. She joined the industry and Robeco in 2016. She holds a Master's (cum laude) in Quantitative Finance from Erasmus University Rotterdam.
Performance
Per period
Per annum
- Per period
- Per annum
1 month
0.39%
3 months
7.29%
YTD
17.43%
1 year
23.62%
2 years
14.00%
3 years
12.19%
5 years
13.71%
10 years
12.76%
Since inception 09/2004
10.17%
2023
21.05%
2022
-10.93%
2021
34.38%
2020
3.90%
2019
29.17%
2021-2023
13.15%
2019-2023
14.22%
Statistics
Statistics
Hit-ratio
- Statistics
- Hit-ratio
Tracking error ex-post (%)
The ex-post tracking error is defined as the volatility of the fund's achieved excess return over the index return. In fund management, most managers are subject to an ex-ante (pre-determined) tracking error, which defines the extent of the additional risk they may take when aspiring to outperform the fund's benchmark. The ex-post tracking error explains the distribution of past fund performances compared to those of its underlying benchmark. With a higher tracking error, the fund's returns deviate more from its index's returns, hence there is a greater chance that the fund may outperform. The wider the spread of returns relative to the benchmark, the more "actively" a fund has been managed. In contrast, a low tracking error indicates more "passive" management.
1.20
1.39
Information ratio
This ratio serves to evaluate the quality of the excess return a fund manager has achieved because it takes the active risk involved into account. The information ratio is defined as the excess return over the benchmark return divided by the fund's tracking error. The higher the information ratio, the better. For example, a fund with a tracking error of 4% and an excess return of 2% over benchmark has an information ratio of 0.5, which is quite good.
1.70
0.73
Sharpe ratio
This ratio measures the risk-adjusted performance and allows the performance quality of different investments to be compared. It is calculated by subtracting the risk-free rate from the fund's returns and dividing the result by the fund's standard deviation (risk). So the Sharpe ratio tells us whether a fund's returns are the result of smart investment decisions or stem from taking extra risk. The higher the ratio, the better, meaning that a greater return is achieved per unit of risk. This ratio is named after its inventor, Nobel Laureate, William Sharpe.
0.75
0.82
Alpha (%)
Alpha measures the difference between a portfolio's actual return and its expected performance, given the level of risk, compared to the benchmark. A positive alpha figure indicates that the fund has performed better than expected, given the level of risk. Beta is used to calculate the level of risk compared to the benchmark..
1.98
0.75
Beta
Beta is a measure of a portfolio's volatility, or systematic risk, in comparison to the benchmark. A beta of 1 indicates that the portfolio will move with the benchmark. A beta of less than 1 means that the portfolio will be less volatile than the benchmark. A beta of more than 1 indicates that the portfolio will be more volatile than the benchmark. For example, if a portfolio's beta is 1.2 it is theoretically 20% more volatile than the benchmark.
0.98
1.02
Standard deviation
Standard deviation is a measure of the dispersion of a set of data from its mean. The more spread out the data is, the higher the deviation. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility (risk).
13.88
15.61
Max. monthly gain (%)
The maximum (i.e. highest) absolute positive monthly performance in the underlying period.
10.39
11.66
Max. monthly loss (%)
The maximum (i.e. highest) absolute negative monthly performance in the underlying period.
-7.63
-14.38
Months out performance
Number of months in which the fund outperformed the benchmark in the underlying period.
24
35
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
66.7
58.3
Months Bull market
Number of months of positive benchmark performance in the underlying period.
22
38
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
13
21
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
59.1
55.3
Months Bear market
Number of months of negative benchmark performance in the underlying period.
14
22
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
11
14
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
78.6
63.6
Dividend paying history
16-06-2023
€ 3.46
29-06-2022
€ 3.29
18-06-2021
€ 3.27
25-06-2020
€ 1.00
Costs
Ongoing charges
Indication of annual charges that are deducted for this fund. This indication is based on the costs over the last calendar year and may vary from year to year. Transaction costs incurred by the fund, any performance fees and other one-off costs are not included in the ongoing charges.
0.35%
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
0.30%
Transaction costs
The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.
0.03%
Fiscal product treatment
The fund is established in the Netherlands. The fund is closed for corporate-income tax purposes (fiscally transparent). This means that all results are attributed directly to the participants. As a consequence, the fund is not liable to corporate-income tax and withholds no dividend tax.
Fiscal treatment of investor
Investors who are not subject to (exempt from) Dutch corporate-income tax (e.g. pension funds) are not taxed on the achieved result. Dutch tax-exempt bodies may seek a full refund on the 15% dividend tax withheld on dividends (25% prior to 1 January 2007). Interest income is exempt from tax withheld at source. Investors who are subject to Dutch corporate-income tax can be taxed for the result achieved on their investment in the fund. Dutch bodies that are subject to corporate-income tax are obligated to declare interest and dividend income in their tax return. In principle, Dutch bodies that are subject to corporate-income tax may offset the 15% dividend tax withheld on dividends (25% prior to 1 January 2007) against the corporate-income tax and seek a refund of the excess amount. Investors residing outside the Netherlands are subject to their respective national tax regime applying to foreign investment funds. Shareholders who do not pay tax in the Netherlands and who are resident in countries that have a tax treaty with the Netherlands to prevent double taxation may seek a refund for part of the Dutch dividend tax from the Dutch tax authorities, depending on the treaty. As of 1 January 2007, a pension fund having its registered office in another EU member state is also entitled to a Dutch dividend-tax refund. The above is based on the current fiscal legislation and regulations in the Netherlands. We advise individual investors to consult their financial or tax adviser about the tax consequences of an investment in this fund in their specific circumstances before deciding to invest in the fund.
Fund allocation
Asset
Country
Sector
Top 10
- Asset
- Country
- Sector
- Top 10
Policies
The fund may use currency forwards to achieve currency exposures that are close to the benchmark.
All of the fund's income is reinvested after deduction of costs and withholding tax. Within three months of the close of the financial year, participants can indicate whether they want the dividend to be reinvested or distributed.
Robeco QI Institutional Global Developed Enhanced Indexing Equities is an actively managed fund that invests in stocks of companies in developed markets. The selection of these stocks is based on a quantitative model.The fund's objective is to achieve a better return than the index. The fund aims to gain a well-diversified exposure to an integrated multi-factor stock selection model consisting of proven return factors such as value, quality and momentum. The portfolio overweights stocks with an attractive valuation, a profitable operating business, strong price momentum, and positive recent revisions from analysts. The fund aims for a better sustainability profile compared to the Benchmark by promoting E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrating sustainability risks in the investment process and applying Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions, proxy voting and engagement. The Sub-fund is actively managed and uses the MSCI World Standard Index for asset allocation purposes. However, although securities may be components of the Benchmark, securities outside the Benchmark may be selected too. The Manager has discretion over the composition of the Portfolio subject to the Investment Guidelines. The Sub-fund can deviate from the weightings of the Benchmark to a limited extent. Highly ranked stocks are overweighted against the Benchmark, whereas low-ranked stocks are underweighted, resulting in a well-diversified portfolio with a low tracking error relative to the Benchmark of the Sub-fund. The Sub-fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the applications of limits (on currencies, countries and sectors) to the extent of deviation from the Benchmark. This will consequently limit the deviation of the performance relative to the Benchmark. The Benchmark is a broad market weighted index that is not consistent with the environmental, social and governance characteristics promoted by the Sub-fund.
Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.
Sustainability-related disclosures
Sustainability profile
ESG Important Information
The sustainability information below can help investors integrate sustainability considerations in their process. This information is for informational purposes only. The reported sustainability information may not at all be used in relation to binding elements for this fund. A decision to invest should take into account all characteristics or objectives of the fund as described in the prospectus.
Sustainability
The fund systematically incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, engagement and voting. The fund does not invest in stocks issued by companies that are in breach of international norms or where its activities have been deemed detrimental to society following Robeco's basic exclusion policy. Financially material ESG factors are integrated in the portfolio construction to ensure the ESG score of the portfolio is better than that of the index. In addition, the environmental footprints of the fund are made lower than that of the benchmark by restricting the GHG emissions, water use and waste generation. With these portfolio construction rules, stocks issued by companies with better ESG scores or environmental footprints are more likely to be included in the portfolio while stocks issued by companies with worse ESG scores or environmental footprints are more likely to be divested from the portfolio. In addition, where a stock issuer is flagged for breaching international standards in the ongoing monitoring, the issuer's stock will become subject to engagement. Lastly, the fund makes use of shareholder rights and applies proxy voting in accordance with Robeco's proxy voting policy.The following sections display the ESG-metrics for this fund along with short descriptions. For more information please visit the sustainability-related disclosures.The index used for all sustainability visuals is based on MSCI World Index.
Performance explanation
Based on closing GAV, the fund's return was 0.39%. The objective of the Developed Markets Enhanced Indexing strategy is to consistently outperform the MSCI World Index by applying a large number of small overweight and underweight positions with respect to the index, resulting in a low tracking error. The portfolio consists of roughly 650 developed market stocks and overweights stocks with an attractive valuation, a profitable operating business, strong price momentum and positive recent revisions from analysts. By using our integrated multi-factor stock selection model, we expect the strategy to consistently outperform the benchmark. Furthermore, the fund has a lower environmental footprint on carbon emissions compared to the benchmark.