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Based on closing GAV, the fund's return was 8.10%. 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.
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Sustainability Themed Fund |
Currency risk is not hedged. Exchange-rate fluctuations therefore affect the fund's price directly.
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.
Environmental, Social and Governance (ESG) factors are systematically integrated in the highly disciplined investment process, by using the ESG scores from the RobecoSAM Corporate Sustainability Assessment. The ESG integration aims for a total ESG score of the portfolio higher than the index. Moreover, the scores on the Environmental, Social and Governance dimensions should also be higher than the index, to ensure that the ESG enhancement is reached across all three dimensions. 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. Next to ESG integration, Robeco has an exclusion policy and conducts proxy voting and engagement activities based on International Corporate Governance Network objectives.
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 management is fully integrated into the investment process to ensure that positions always meet predefined guidelines.
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 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. Mr. Lansdorp is Portfolio Manager with the Factor Investing Equities team and is responsible for the Value-, Momentum-, Quality- and Multi-Factor portfolios, Bespoke Factor Investing portfolios as well as on customizing factor investing solutions. His areas of expertise include factor allocation, stock selection and portfolio construction. Mr. Lansdorp joined Robeco as a Researcher in 2009. Within the Factor Investing Research team, he did factor-related research; developed the Value, Momentum and Quality factor strategies and (multi-)factor indexes; and built tailored factor solutions. He holds an MSc in Economics from the Erasmus University Rotterdam and a PhD in Finance from the Tinbergen Institute. He has published in the Journal of Financial Markets. 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.
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ISIN | NL0012375091 |
Bloomberg | RQIMT1E NA |
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1st quotation date | 1511136000000 |
Close financial year | 31-12 |
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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.
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.
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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