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Robeco QI GTAA Plus I EUR

Reference index: ICE BofA Merrill Lynch Euro Currency Overnight Deposit Offered Rate Index
ISIN: LU0487479064
  • Investments in multiple asset classes
  • Absolute return strategy
  • Transparent investment proces
Assets class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI GTAA Plus is a systematic, absolute return fund, which exploits opportunities within and between asset classes. The fund aims to provide attractive returns in any market condition. Based on proven quantitative models, the fund takes both long and short positions in global equity, bond, and currency markets. This fund uses mainly derivatives to implement its investment policy and is intended for individuals who are familiar with complex products.

Price development

No performance data available

Price development

Robeco QI GTAA Plus I EUR

Performance

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Fund Reference index
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The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.
Fund Reference index
The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.

Performance explanation

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Based on transaction prices, the fund's return was 0.13%. In September, Robeco QI GTAA Plus posted a positive return of 0.21%, leading to a year-to-date return of -3.59%. The fund achieved a positive return of 21 basis points in September. Equities and bonds contributed positively while currencies made a negative contribution. Bonds contributed 49 basis points in September. We were correctly positioned for rising interest rates in the US. We have held a short position in US bonds for about two years now; this has made the largest contribution to performance so far this year. Equities contributed 66 basis points. All equity markets made a positive contribution, except for the US, where we had short positions and markets rose slightly. We were particularly well-positioned for the rebound in emerging equities. Currencies had negative impact on performance, generating a total loss of 91 basis points. This loss came mainly from the short position in the EUR/JPY pair, which depreciated more than 2% in September. This was a month marked by a strong negative correlation between Japanese equities and the yen.

Statistics

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Market development

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Geopolitical risk remained a dominant topic in September, with Trump’s war rhetoric, the ongoing Brexit debate and the probability of a hard Brexit, a stand-off in EU-Swiss negotiations, and Italy’s populist government announcing a higher-than-expected budget deficit for 2019. Meanwhile, central bank monetary tightening continued, driving yields up. Overall, markets saw curves flatten and yields increase across different countries. Japan turned out to be the strongest equity market of the month. Japanese stocks rose back to their highest level since 1991, as the long-awaited return of foreign investors seems to be materializing thanks to the weakening yen and improving corporate earnings. Overseas investors bought a net total of JPY 1.47 trillion of Japanese equities and related futures in the third week of September. This is the largest volume since November 2014.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
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ESG integration
Exclusion
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Integration
Sustainability Themed Fund

Currency policy

Except for the active currency positions, currency risks are hedged to the base currency of the fund (EUR).

Dividend policy

This share class of the fund does not distribute dividend.

ESG Integration policy

For Robeco GTAA Fund, in terms of Sustainability Investing, the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.

Investment policy

Robeco QI GTAA Plus is an absolute return fund with investments in multiple asset classes and regions. The fund aims to provide positive returns in all market conditions, with low correlation to traditional assets. The GTAA strategy focuses on tactical asset allocation by taking directional views within and between asset classes. Based on proven quantitative models, the strategy takes both long and short positions in global equity, bond, and currency markets. The reliance on creating positive returns in all market conditions means risk management is crucial. Positions are carefully balanced to avoid concentration of risk in one particular source of return at any point in time. The fund uses liquid investment instruments, mostly derivatives, and offers daily liquidity. The investment process is fully transparent. The GTAA strategy leverages on an experienced team of investment and research professionals, backed by an organization with over 25 years of experience in multi-asset asset and quantitative investing.

Risk policy

Risk management is fully embedded in the investment process to ensure that the fund's positions remain within set limits at all times.

Expectation of fund manager

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At the start of October, we kept the short positions in the US and Japan both for equity and the bond market, mainly for valuation reasons. We are neutral regarding European equities and maintain a long position in emerging equities.

Shengsheng Zhang, CFA, Klaas Smits
Shengsheng Zhang, CFA, Klaas Smits

Shengsheng Zhang, CFA, Klaas Smits

Ms. Shengsheng Zhang is Portfolio Manager Global Allocations with Robeco since September 2012. Prior to joining Robeco, Shengsheng was employed by Delta Lloyd Asset Management for 6 years where she first held the position of Quantitative Analyst and later of Quantitative Portfolio Manager. She holds a Master's degree in Financial Engineering from the University of Twente and she is CFA charterholder. Mr. Smits is responsible for the management and development of Robeco's Multi Asset Quant capabilities and part of the Investment Solutions team. Prior he was responsible for developing Robeco's FamdA capabilities in both listed and private equity. Before that he worked for Robeco in New York managing the Fixed Income Allocation team. From 2000 to 2007 he was Head of the Robeco's Investment Grade and High Yield team.  Prior to joining Robeco, he worked for Interpolis, as Senior Fixed Income Portfolio Manager.  Mr. Smits began his investment career with Assicurazioni Generali in 1991. Mr. Smits holds a Bachelor's degree from the Institute for Business Administration and Economics, Groningen, the Netherlands.

Details

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Management company
Fund capital
Outstanding shares
ISINLU0487479064
BloombergROGTAAI LX
Valoren11020475
WKNA1CWL2
Availability
1st quotation date1271289600000
Close financial year31-12
Legal status
Tracking error limit (%)
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
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Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

Extra fees

max entry fee
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Fiscal product treatment

The fund is established in Luxembourg and is subject to the Luxembourg tax laws and regulations. The fund is not liable to pay any corporation, income, dividend or capital gains tax in Luxembourg. The fund is subject to an annual subscription tax ('tax d'abonnement') in Luxembourg, which amounts to 0.01% of the net asset value of the fund. This tax is included in the net asset value of the fund. The fund can in principle use the Luxembourg treaty network to partially recover any withholding tax on its income.

Fiscal treatment of investor

Investors outside Luxembourg are subject to their national tax regime applying to foreign investment funds. We advise individual investors to contact their financial or fiscal adviser regarding their specific fiscal situation.

Disclaimer

The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).

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Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.

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