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Robeco Multi-Factor Equity Indices

Published in Thematic Indices

Robeco Institutional Asset Management B.V. is a privately owned investment manager. The firm launches and manages equity, balanced, fixed income and multi-asset mutual funds, as well as hedge funds and private funds.

The Robeco Multi-Factor equity indices target different geographic areas – global, global developed, emerging markets, Europe, US, Asia-Pacific and Japan. Robeco have selected S&P Dow Jones Indices (S&P DJI) to be the calculation agent for the Robeco Multi-Factor equity indices. The indices use S&P DJI’s traditional market-cap weighted indices as the investment universes and are then calculated using Robeco’s stock ranking and portfolio construction models which have been extensively tested in historical simulations.

The Robeco Multi-Factor equity indices are designed to provide efficient exposure to four well-rewarded factors, i.e. value, momentum, low volatility and quality, while keeping costs low and preventing the damaging effects of overcrowding and front-running on performance by making them transparent for clients only. The Robeco Multi-Factor equity indices explicitly integrate ESG criteria in their 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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts the Robeco Customized Global Developed Multi-Factor ESG Equity Index and approximately 1880 companies.

Some of the data items available include:

  • Company Items – Adjustment Factor, Bloomberg Ticker, Closing Market Capitalization, Country Code, Currency Code, Daily Price/ Total Return in Euros, Dividend Per Share , Exchange Country, Exchange Rate, Free Float Factor, GICS Codes, GICS Sub-Industry Classification Code, Gross Adjustment Factor, Gross Investable Market Value, Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight, ISIN Code, Last Price Date, Local Code, Market Identifier Code, Market Value, Net Adjustment Factor, Net Investible Weight, Next Day Market Capitalization, Opening Unadjusted Price, Reuters Identification Code (RIC), S&P Company Global Vantage Key, S&P Index Level ID, Shares Outstanding, Total Return Investible Weight, Unadjusted Price, Weight in Index, etc.
  • Index Items – Branding, Country, Dividend Points, Divisor Factor, Gross Index, Index Family, Index Type, Market Capitalization, Net Dividend Points, Net Index, Next Day Divisor, Next Day, Market Capitalization, Next Day Number of Constituents, Number of Constituents, Price Index in Weight Type, etc.


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