Robeco Global Tactical Asset Allocation (GTAA) celebrates its fifth anniversary this month. And the icing on the birthday cake for investors has been a great track record, with consistent and considerable return in turbulent markets.
The world was a very different place when the strategy was launched in April 2010. The great financial crisis was still fresh in many investors’ memories; some had realized to their cost that investments considered ‘safe’ were far from that. Portfolios that were not diversified such as conventional allocation funds suffered large losses. And others that were over-exposed to risky assets – often unintentionally – did not survive. Investors started looking for alternative ways of spreading risk while securing returns.
It was in this environment that Robeco launched its global tactical asset allocation strategy, offering investors diversification and transparency in a liquid alternative. GTAA is a multi-asset absolute return strategy that aims to offer attractive and differentiated returns by exploiting opportunities across main global markets. The fund systematically combines market timing and relative attractiveness indicators across asset classes in various markets, based on proven proprietary quantitative strategies.
The GTAA strategy soon proved its worth. The financial crisis was a wake-up call for the world, but just when the dust had begun to settle, the Eurozone crisis erupted. With alarming speed, it brought the near collapse of Greece and threatened the continued existence of the single currency project itself. The Greek bailout had huge and lasting repercussions for the whole financial system. Many doubted that it would work, eventually prompting European Central Bank President Mario Draghi to say in 2012 that he would do “whatever it takes to save the euro”.
How the fund has generated cumulative returns over the geopolitical events of the past five years. Source: Robeco
Indeed, the action that was taken led to interest rates declining to their current historical lows, producing a bonanza for bond investors and a bull market for equities. Evidence of the success of central bank policy became clearer in 2013 when the US Federal Reserve announced that its trillion-dollar quantitative easing program could now be ‘tapered’. And while the Fed scaled down its monetary easing, the ECB scaled up, beginning its own trillion-euro program.
It created a changing – and diverging – world. The extent to which global markets and economies have restructured was clearly seen when the oil price collapsed in 2014, as alternative energy supplies such as shale gas soared while recession-hit demand for oil slumped at the same time. This produced huge benefits for many in the form of cheaper fuel, and large problems for others, such as the oil companies and those invested in them.
Amid such an environment, investors have realized that they need alternative strategies to not only navigate a rapidly changing world, but to benefit from the diversification that it entailed. The GTAA strategy offered such a means, and its success has become evident in its cumulative performance over the past five years.
In the last full calendar year of 2014 the fund returned 9.29%. GTAA’s record year was 2013, when the fund returned 38.94%. Since its inception in April 2010, the fund has averaged double-digit annual returns amounting to 14.12%.
But how does the fund compare to other asset classes? In fact, the five-year period was not the best one to demonstrate differentiated returns, due to the bull market that has simultaneously existed for both bonds and stocks. Nevertheless, GTAA is well positioned in the risk/return space compared to other asset classes. In volatility terms the risk profile has been in-between that of stocks and high yield, while in terms of return the fund ranked among the highest.
‘Since its inception in April 2010, the fund has averaged double-digit annual returns'
The fund’s positioning among other asset classes. Source: Robeco, Datastream, Credit Suisse.
Many investors doubt whether markets can continue to rise as before. Since 2009, despite economic turmoil, investors have enjoyed a period of attractive returns from both bonds and stocks. Bond yields are so low – in many cases, they are negative – that it must be questionable whether they can fall any further. Rising yields would cause bond values to fall, potentially eating into returns.
Meanwhile, equity markets have reached record levels, with some investors worrying that a ‘correction’ is imminent. It is questionable whether bonds can take up their traditional role as equity diversifier. Therefore conventional allocation funds might not have the flexibility to deliver capital preservation. It is in such a challenging environment that the GTAA strategy has been proven to be able to provide diversification and in doing so, dampen portfolio risk. As a transparent and liquid alternative, GTAA is ready to weather the next five years!
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商号等： ロベコ・ジャパン株式会社 金融商品取引業者 関東財務局長（金商）第２７８０号
加入協会： 一般社団法人 日本投資顧問業協会