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Robeco QI Institutional Global Developed Momentum Equities T8 CAD

ISIN: NL0012879340
  • 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
Asset class
Current price ()
Performance YTD ()
Currency CAD
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Dividend payingYes

About this fund

Robeco QI Institutional Global Developed Momentum Equities is an actively managed fund that 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.

Price development

No performance data available

Price development

Robeco QI Institutional Global Developed Momentum Equities T8 CAD

Performance

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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.

Statistics

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Fund allocation

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Fund Classification

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Sustainability Themed Fund

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 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.

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 reference 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.

Expectation of fund manager

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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.

JoopHuij, Guido Baltussen, Simon Lansdorp, Daniel Haesen
JoopHuij, Guido Baltussen, Simon Lansdorp, Daniel Haesen

JoopHuij, Guido Baltussen, Simon Lansdorp, Daniel Haesen

Joop Huij, Head of Robeco Indices and Disruptive Innovation, is responsible for Robeco’s Factor Investing, ESG, and Thematic Indices. Joop also holds a part-time position as Associate Professor of Finance (with tenure) at Rotterdam School of Management. He has published in various academic journals including the Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Markets, and Financial Analyst Journal. Joop started his career at Robeco as a researcher in 2007. He holds a PhD in Empirical Finance from Rotterdam School of Management (2007, winner of the ERIM Dissertation Award) and a MSc in Informatics & Economics from Erasmus University Rotterdam (2002, with appellation Cum Laude). 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.

Details

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Management company
Fund capital
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ISINNL0012879340
BloombergRQIMT8C NA
Valoren
WKN
Availability
1st quotation date1536105600000
Close financial year31-12
Legal status
Tracking error limit (%)
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Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
Management fee
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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 the Netherlands. The fund is tax transparent for Dutch corporate-income tax purposes. This means that all results, from a Dutch tax perspective, deemed to be attributed directly to the investors. As a consequence, the fund is not liable to corporate income tax and is not required to withhold Dutch withholding tax on any distribution.

Fiscal treatment of investor

As the fund is tax transparent for Dutch income tax purposes, all net income profits and losses of the fund are deemed received directly by the investor. Therefore the fund will pay out all net income annually. Due to its tax transparent status the fund will apply as much as possible the withholding tax rates applicable to the investor. The above is based on the current fiscal legislation and regulations in the Netherlands. We advise 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.