Robeco QI Institutional Global Developed Momentum Equities T1 EUR
- Part of Robeco's range of factor-premium strategies, which includes Conservative Equities, Value Equities and Quality Equities
- Quantitative stock-selection strategy aimed at selecting securities with a positive momentum
- Avoid going against other factors, avoid unrewarded risk and prevent unnecessary turnover
About this fund
Price development
Price development
Performance
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundPerformances.date,'llll') ]}}| Fund | Index | |
|---|---|---|
| 1 month | ||
| 3 months | ||
| YTD | ||
| 1 year | ||
| 2 years | ||
| 3 years | ||
| 5 years | ||
| 10 years | ||
| {{'fund.detail.performance.period.sinceInception' | labelize:[ fundDate(fund.fundPerformances.sinceStart.startDate,'MM-YYYY') ]}} |
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 | |
|---|---|---|
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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Based on closing GAV, the fund's return was -2.81%. The fund aims to achieve higher risk-adjusted returns than both the broad market and generic momentum indices over a full business cycle by taking an efficient, well-diversified exposure to the enhanced momentum factor, present in stocks that have recently exhibited above-average performance.
Statistics
{{'fund.detail.general.perDate' | labelize:[ fundDate( (fund.fundStatistics.date?fund.fundStatistics.date:fund.fundCharacteristics.date) ,'llll') ]}}| 3 years | 5 years | ||
|---|---|---|---|
| Tracking error ex-post (%) |
|
||
| Information ratio | |||
| Sharpe ratio | |||
| Alpha (%) | |||
| Beta |
|
||
| Standard deviation |
|
||
| Max. monthly gain (%) |
|
||
| Max. monthly loss (%) |
|
| 3 years | 5 years | ||
|---|---|---|---|
| Months outperformance | |||
| Hit ratio (%) | |||
| Months Bull market | |||
| Months outperformance Bull | |||
| Hit ratio Bull (%) | |||
| Months Bear market | |||
| Months outperformance Bear | |||
| Hit ratio Bear (%) |
| Fund | Reference index | ||
|---|---|---|---|
| Rating | |||
| Option Adjusted Modified Duration (years) | |||
| Maturity (years) | |||
| Yield to Worst (%) | |||
| Green Bonds (%) |
Dividend paying history
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Date | Amount |
|---|---|
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
|---|---|---|
Currency policy
Currency risk is not hedged. Exchange-rate fluctuations therefore affect the fund's price directly.
Dividend policy
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.
ESG Integration policy
Environmental, Social and Governance (ESG) factors are systematically integrated in the highly disciplined investment process, by using ESG scores based on the S&P Global Corporate Sustainability Assessment. The ESG integration aims for a total ESG score of the portfolio higher than the index. This ensures that stocks with higher ESG scores are more likely to be included in the portfolio while stocks of companies that have very poor ESG scores are more likely to be divested from the portfolio. With these portfolio construction rules we aim for an ESG profile of the fund that is above average compared to its peers. In addition, stocks with corporate governance issues or stocks that have major litigation or regulatory risk may be excluded from the investable universe. Moreover, the environmental footprint of the fund is improved by restricting the GHG emissions, water use and waste generation, aiming for lower levels than the index. As a result stocks with relatively low footprints have a higher probability of being selected in the portfolio compared to stocks with poor environmental footprints. Next to ESG integration, Robeco has an exclusion policy and conducts proxy voting and engagement activities.
Investment policy
Robeco QI Institutional Global Developed Momentum Equities is part of Robeco's offering on factor premiums and invests in stocks with a positive momentum, i.e. equities benefiting from trends, factoring in both stock valuation and risk. The fund's long term aim is to harvest the momentum premium by selecting the most attractive stocks with a positive momentum. The selection of these stocks is carried out using a quantitative model, which ranks stocks, based on a number of momentum variables as well as value, quality and low-volatility variables. We expect the fund to perform particularly well in trending markets. In correcting markets, we expect the fund to lag its index but suffer relatively fewer losses than a generic momentum strategy. Over the longer term, we expect returns to exceed the market average with a risk profile in line with the market.
Risk policy
Risk management is fully integrated into the investment process to ensure that positions always meet predefined guidelines.
Sustainability profile
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}
| ESG score target | Footprint target |
|---|---|
| ↑Above Index | ↓Below Index |
ESG Score
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The portfolio ESG score (and E,S and G score) is calculated by multiplying the RobecoSAM Smart ESG Score of each holding by its respective portfolio or index weight. The same methodology is applied in calculating the key ESG Criterion scores. The scores of the portfolio are provided alongside the scores of the index, highlighting the portfolio’s relative sustainability. The colors indicate the score of the portfolio, whilst the shading shows the index.
Environmental Footprint
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The RobecoSAM footprint ownership of the portfolio expresses the total resource consumption the portfolio finances. Each company's footprint is calculated by normalizing resources consumed by the company's enterprise value. Multiplying these values by the dollar amount invested in each company yields the aggregate footprint ownership figures. The selected index's footprint (for an equivalent $ amount invested in corporates) is provided alongside. The portfolios score is shown in blue and the index in grey.
ESG integration policy
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}Environmental, Social and Governance (ESG) factors are systematically integrated in the highly disciplined investment process, by using ESG scores based on the S&P Global Corporate Sustainability Assessment. The ESG integration aims for a total ESG score of the portfolio higher than the index. This ensures that stocks with higher ESG scores are more likely to be included in the portfolio while stocks of companies that have very poor ESG scores are more likely to be divested from the portfolio. With these portfolio construction rules we aim for an ESG profile of the fund that is above average compared to its peers. In addition, stocks with corporate governance issues or stocks that have major litigation or regulatory risk may be excluded from the investable universe. Moreover, the environmental footprint of the fund is improved by restricting the GHG emissions, water use and waste generation, aiming for lower levels than the index. As a result stocks with relatively low footprints have a higher probability of being selected in the portfolio compared to stocks with poor environmental footprints. Next to ESG integration, Robeco has an exclusion policy and conducts proxy voting and engagement activities.
Expectation of fund manager
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The fund follows a bottom-up driven investment strategy to gain exposure to the proven momentum factor. Rather than using generic factor definitions, it uses Robeco's enhanced momentum definition to avoid unrewarded risk and maximize its return potential. Generic momentum strategies tend to take dynamic style bets resulting in high sensitivity towards market reversals. Robeco's enhanced momentum factor is designed to avoid these unwanted effects. Furthermore, the strategy aims to prevent that exposure to the momentum factor results in negative exposure to other factors, like value, low-volatility and quality. By doing so, the strategy avoids unwanted and unintended factor tilts. It is a rules-based process that tries to avoid unnecessary transaction costs by only buying stocks if the expected gains outweigh the costs of the trade.
Guido Baltussen, Daniel Haesen, Wouter Tilgenkamp
Guido Baltussen is Executive Director and responsible for Robeco’s Factor Investing and quantitative Liquid Alternatives / Multi Asset strategies. He also holds a position as Professor of Behavioral Finance and Financial Markets at Erasmus University Rotterdam. Before joining Robeco in 2017, Guido was Head of Quantitative Research Fixed Income and Multi Asset at NN Investment Partners. He started his career in the investment industry in 2004. He has published in top-ranked academic journals such as the Journal of Financial Economics, the American Economic Review, Management Science and the Journal of Financial and Quantitative Analyses. He has worked together in research projects with the 2017 Nobel Prize laureate Richard Thaler. Guido holds a PhD and a Master's (cum laude) in Financial and Business Economics from Erasmus University Rotterdam. Daniel Haesen is Portfolio Manager within the Factor Investing Equities team and is responsible for Value-, Momentum, Quality- and Multi-Factor portfolios. He specializes in factor research. Daniel started his career in the industry at Robeco in 2003 as a Researcher with a focus on quant selection research, working on both equity and corporate bond multi-factor selection models. He was also responsible for quantitative sustainability and quantitative allocation research. He holds a Master's in Econometrics and Quantitative Finance from Tilburg University in the Netherlands and is a CFA® charterholder. Wouter Tilgenkamp is Portfolio Manager Quantitative Equities and focuses on managing Factor Investing portfolios, such as the Value-, Momentum-, Quality- and Multi-Factor portfolios. Wouter joined Robeco in 2016 as a Data Scientist, with a specific focus on Equity Trading Research, automatization of portfolio processes, portfolio construction, and optimal execution of strategies. He started his financial career in 2014 as Derivative Trader at Optiver. He holds a Bachelor of Science in Applied Mathematics from Technical University of Delft and a master’s degree in Quantitative Finance.
Details
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | NL0012375091 |
| Bloomberg | RQIMT1E NA |
| Valoren | |
| WKN | |
| Availability | |
| 1st quotation date | 1511136000000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
| Morningstar |
|
| Reference index |
Cost of this fund
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundCosts.managementFees.date,'llll') ]}}Ongoing charges |
|
|---|---|
| This fund deducts ongoing charges of |
| These charges comprise | ||
|---|---|---|
| Management fee | ||
| Service fee | ||
Transaction costs |
|
|---|---|
| The expected transaction costs are |
Performance fee |
|
|---|---|
| This fund may also deduct a performance fee of |
Extra fees
| max entry fee | ||
| Max exit fee | ||
| Max sub fee | ||
| Max switch fee |
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.
