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Momentum Harmony Global Enhanced Index Equity Fund (GEnIE) An ESG Integrated, Direct Equity portfolio

  • Global equity strategy
  • Actively managed
  • Strong ESG (sustainability) profile
  • Well diversified across sectors and countries
  • Direct equity holdings
  • Daily traded, highly liquid
  • UCITS fund, Assets Under Management $330m as at July 2020
  • Total expense ratio target below 1.15%

What is ESG?

ESG refers to three factors which are central to a class of investing also known as “sustainable investing.”

This approach to investing incorporates a detailed assessment of a business’s governance practices as well as of its long-term impact on society and the environment.

While these are mostly non-financial factors, businesses with higher ESG standards are considered to be less risky and more likely to succeed in the long run.

Learn more about ESG Investing

Learn more about Momentum Harmony


Key Features


Actively managed global equity strategy available at very low, passive like, cost level


Focused on businesses with better than average ESG (environment, social,governance) scores…


…and with lower environmental footprints (carbon, energy, waste and water impact)


Diversified across all major developed market sectors and regions, with circa 650 direct stock holdings


Multi-style approach (growth, value, quality, size) designed to outperform MSCI World index


Strategy implemented by Robeco, a world class quantitative investment specialist

An active approach

  • The enhanced indexing approach aims to deliver stable outperformance after costs compared to capitalization weighted market indices with a low tracking error
  • Designed to systematically capture the market return and, in addition, benefit from well-rewarded factor premiums while avoiding non-rewarded risks
  • The relative attractiveness of stocks is based on value, quality, momentum and analyst revision factors.
  • Slightly higher weights are given to stocks with attractive characteristics, and slightly lower weights to those with unattractive characteristics. ESG factors are ncorporated in every step of the investment and decision-making process.
  • These factors and variables have been thoroughly tested over time and most have been included since inception of the enhanced index strategy in 2004

Sustainability inside

  • ESG integrated approach using a combination of positive and negative screening to achieve:
    • Minimum 20% higher ESG score for the portfolio vs. MSCI World index
    • Minimum 20% reduction in environment footprint of the portfolios across four dimensions: carbon, energy, waste and water
    • No exposure to businesses deriving significant revenue from controversial areas*
  • Sophisticated ESG scoring approach to adjust for known biases and materiality
  • Enhanced engagement reflected in portfolio positioning

(* Revenue threshold for exclusion varies per activity but is 10% or less for all listed areas, except 30% in the case of nuclearpower (production))

Momentum Harmony Global Enhanced Index Equity Fund (GEnIE) Portfolio Construction

  • Max overweight positions of 0.24% to the most attractive stocks in each sector and country, relative to the benchmark

  • Max underweight positions of 0.36% to the least attractive stocks.

  • Broadly neutral in terms of sectors, industry groups, regions, countries and beta, relative to the benchmark.

  • Portfolios are rebalanced monthly to ensure optimal exposure to the best-scoring stocks over time.

  • Approximately 650 individual stock holdings.

  • Active share of >40% (vs. 0% for passive index trackers)

  • Tracking error of approximately 1.0-1.5% versus MSCI World index.

  • Download the latest fund performance data


Momentum Harmony Management Commentary Regarding The Global Equity Enhanced Index Fund (GEnIE) Fund

The Global Equity Enhanced Index Fund (GEnIE) represents a well-diversified, low-cost global equity strategy that is actively managed and incorporates a strong sustainability bias.

The investment mandate has a focus on sustainability through explicitly controlling for ESG (environmental, social and governance) related factors and risks. Momentum Harmony have an integrated ESG approach which uses a combination of positive and negative screening to achieve a portfolio level ESG score that is at least 20% higher than the MSCI World index, whilst also delivering a minimum 20% reduction in environmental footprint across four dimensions: carbon, energy, waste and water.

Momentum Harmony also exclude all businesses that derive significant revenue from controversial activities such as the production of tobacco, coal, palm oil or nuclear power.

The portfolio holdings are well balanced across companies that exhibit value, momentum, quality and defensive characteristics, representing style factors which have each been proven to exhibit a positive risk premium over the long term.

Momentum Harmony believe this makes the Fund more likely to achieve long term outperformance versus the MSCI World benchmark.

This approach results in a well-diversified portfolio that has a substantial ‘active share’ relative to the MSCI World index, with less than 60% direct overlap with that benchmark in terms of position weightings. This is achieved through many small deviations from the benchmark weightings at the individual stock level, whilst deviations in overall sector and country weightings are tightly controlled in order to make efficient use of the risk budget.

The strategy is expected to exhibit a low tracking error versus the MSCI World index, of less than 2%.

The Fund is invested on a direct basis in individual equity securities, as opposed to following a multi-manager or fund of funds approach. This brings several advantages for clients including lower underlying management fees and full transparency of underlying holdings, as well as access to a bespoke strategy that is tailored for this fund.

All positions are selected and continuously reviewed based on a quantitative approach designed and implemented by Robeco, who were selected after extensive research and due diligence by the Momentum Harmony investment team.

Typical Fund Data

Exact Fund Composition Will Vary Over Time (Details Below Are As At June 2020)

Download the latest fund performance document for current allocation data