投資機會：指數增強策略
A smarter alternative to passive investing
Unlock your core equity allocation with Enhanced Indexing, which aims to deliver returns ahead of the market after costs while limiting relative risk.
Why Enhanced Indexing?
For investors currently drawn to passive solutions for core allocations, Enhanced Indexing is a smart alternative. This strategy combines the benefits of passive investing, such as transparency, benchmark awareness, predictable risk-return characteristics, diversification and cost efficiency, with highly appealing active features such as balanced multi-factor exposure to generate alpha and a sophisticated risk management approach to deliver high risk-adjusted returns.
Wilma de Groot
核心量化股票策略總監，量化股票投資組合管理總監及量化股票副總監
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Our systematic approach is geared towards investors seeking stable alpha with limited relative risk
Why now?
In recent years, catchphrases like FAANG, Magnificent Seven, and GRANOLA have highlighted the narrow market leadership that has increased concentration risk in market-cap-weighted indices. While these indices have recently outperformed equal-weighted ones, history suggests this won’t always be the case, leaving investors vulnerable to the performance of a few dominant stocks. Given its active nature, Enhanced Indexing can potentially mitigate these concentration risks.
In addition, the current macro environment, characterized by high interest rates and increasing geopolitical instability, coupled with high equity market valuations, might lead to lower future equity returns in the next 10 to 15 years. In this scenario, the low tracking error nature of Enhanced Indexing can allow investors to allocate their risk budget elsewhere while still harvesting the equity premium (market-beating returns after cost).
Why Robeco?
Robeco’s Enhanced Indexing strategies have shown strong risk-adjusted performance, distinguishing themselves in both developed and emerging markets. This can be seen in the figure below, which uses data gleaned from the eVestment database - a reliable manager search database for many professional investors.
Our 20-year track record in Enhanced Indexing demonstrates stable alpha and a high information ratio. The Developed Markets (DM) strategy boasts an information ratio (IR) of 0.75, placing it in the top 2% of its peers in terms of IR. Our Emerging Markets (EM) strategy ranks first in its peer group with an IR of 1.26. These high IRs indicate an efficient use of the risk budget (c. 1%) in generating alpha for clients.1
Source: Robeco2
The strategy is built on decades of investment research and uses proven return signals. It avoids arbitrage risk, which can impact passive solutions due to front-running ahead of index rebalances, and can, in fact, take advantage of these opportunities. Moreover, our rich heritage in quant and sustainable investing allows us to effectively integrate sustainability into these strategies according to evolving sustainability preferences.
Moreover, the big data revolution and exponential growth in computational power are opening up more possibilities in the world of quant investing. Given its research-driven culture, Robeco is well-positioned to navigate and exploit these opportunities. Our cautious pioneering mindset serves us well: we have a robust infrastructure, a notably large quant team, and a history of innovation. To this end, our research agenda continues to focus on refining and diversifying our investment approach, for example, through the use of uncorrelated alternative signals from novel data sources and advanced modeling techniques.
We aim to deliver the best of Enhanced Indexing in terms of risk, return, and sustainability. Importantly, as a cost-effective, low-tracking error solution, this strategy is also well-placed to mitigate concerns about fees.
Footnotes
1Methodology for the eVestment peer group
In terms of information ratio, the Robeco Global Developed Enhanced Index Equities strategy, Robeco Emerging Markets Enhanced Index Equities strategy, and Robeco Emerging Markets Active Equities strategy are ranked in the top 2% out of all funds in their respective universes since their inception, based on Robeco research using the eVestment database.
For this analysis we extract performance data from the eVestment database, which contains over 16,000 strategies. We narrow this down to a more representative sample by applying the following filters: (i) only consider equity strategies, (ii) remove single country (e.g. Switzerland or India) and single sector strategies (e.g. health care or REITS strategies), (iii) remove micro-cap stock strategies, (iv) remove strategies with a tracking error below 0.5% (all index strategies, manually verified), and (v) remove strategies with shorter live track records than our strategies. After applying these filters, we have peer groups consisting of 2,132 broad equity strategies for our developed markets enhanced indexing strategy (with data going back to 2004) and 2,812 broad equity strategies for our emerging markets enhanced indexing proposition (data going back to 2007).
2Source: Robeco, Kenneth French data library. Blitz, D., 2024, “The unique alpha of Robeco Quant Equity strategies”, Robeco article. This is based on the annualized information ratios of the Robeco Composite Global Developed Enhanced Indexing Equities (since inception in November 2004), gross of fees in EUR, the Robeco Composite Emerging Enhanced Indexing Equities (since inception in July 2007), gross of fees in EUR, and the Robeco Composite Active Quant Emerging Markets Equities (since inception in March 2008), gross of fees in EUR as at end October 2023. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.