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1. 一般事項

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Robeco Capital Growth Funds以其特定的投資政策或其他特徵作識別,請小心閱讀有關Robeco Capital Growth Funds的風險:

  • 部份基金可涉及投資、市場、股票投資、流動性、交易對手、證券借貸及外幣風險及小型及/或中型公司的相關風險。

  • 部份基金所涉及投資於新興市場的風險包括政治、經濟、法律、規管、市場、結算、執行交易、交易對手及貨幣風險。

  • 部份基金可透過合格境外機構投資者("QFII")及/或 人民幣合格境外機構投資者 ("RQFII")及/或 滬港通計劃直接投資於中國A股,當中涉及額外的結算、規管、營運、交易對手及流動性風險。

  • 就分派股息類別,部份基金可能從資本中作出股息分派。股息分派若直接從資本中撥付,這代表投資者獲付還或提取原有投資本金的部份金額或原有投資應佔的任何資本收益,該等分派可能導致基金的每股資產淨值即時減少。

  • 部份基金投資可能集中在單一地區/單一國家/相同行業及/或相同主題營運。 因此,基金的價值可能會較為波動。

  • 部份基金使用的任何量化技巧可能無效,可能對基金的價值構成不利影響。

  • 除了投資、市場、流動性、交易對手、證券借貸、(反向)回購協議及外幣風險,部份基金可涉及定息收入投資有關的風險包括信貨風險、利率風險、可換股債券的風險、資產抵押證券的的風險、投資於非投資級別或不獲評級證券的風險及投資於未達投資級別主權證券的風險。

  • 部份基金可大量運用金融衍生工具。荷寶環球消費新趨勢股票可為對沖目的及為有效投資組合管理而運用金融衍生工具。運用金融衍生工具可涉及較高的交易對手、流通性及估值的風險。在不利的情況下,部份基金可能會因為使用金融衍生工具而承受重大虧損(甚至損失基金資產的全部)。

  • 荷寶歐洲高收益債券可涉及投資歐元區的風險。

  • 投資者在Robeco Capital Growth Funds的投資有可能大幅虧損。投資者應該參閱Robeco Capital Growth Funds之銷售文件內的資料﹙包括潛在風險﹚,而不應只根據這文件內的資料而作出投資。


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05-05-2017 · 因子投資挑戰

Factor investing challenges: limiting turnover

Factor-based allocation has become increasingly popular in recent years. But how to implement it in practice still remains a puzzle for many newcomers. One concern often voiced by investors is avoiding excessive portfolio rotation.

概要

  1. Factor strategies imply higher turnover than classic passive investing

  2. Turnover can be reduced without hampering gross returns too much

  3. Reducing turnover does not mean minimizing it



One oft-heard criticism of explicit allocation to factors is that it inevitably leads to high, or even excessive, portfolio turnover. Indeed, while following a cap-weighted market index can essentially be seen as a ‘buy-and-hold’ approach, with limited portfolio activity, explicit allocation to factors necessarily leads to more dynamic trading.

In cap-weighted indices, stock weights fluctuate naturally with the prices of constituent securities, and changes in the portfolio composition are only triggered by large changes in free-float capitalizations or corporate actions such as mergers, splits or new listings or delistings.

On the contrary, factor-based investment strategies generate turnover from the periodic rebalancing required to maintain optimal exposure to the targeted premiums, for example value, momentum, low volatility or quality. This necessary turnover has led many academics and investors to question whether factor-based solutions are really worthwhile, given the higher trading costs associated with these strategies.

For example, a recent study1 by Research Affiliates warned about the significant slippage between the factor returns realized by mutual fund managers and the theoretical factor returns that would have been achieved by virtual portfolios, over the 1991–2016 period. The authors attributed this gap to a number of costs related to implementation, including trading costs.

In a 2016 white paper2, Joop Huij and Georgi Kyosev, of Robeco’s Quant research team, warned specifically about the high rebalancing costs implied by the replication of some common smart beta indices. Analyzing the impact of composition changes for two popular indices, they found that these costs are actually higher than they might appear, as the rebalancing process also leads to lower index returns. This is because strategies that follow publicly available indices, for which changes are announced in advance, tend to buy stocks that have just had a price run-up, and sell stocks that have just suffered a price decrease.

More generally, an FTSE Russell survey carried out in 2016 suggested that avoiding excessive portfolio turnover ranked fourth among investor concerns, when considering factor-oriented allocation.

Turnover can be reduced without lowering gross returns too much, but only up to a certain point.

Reducing, not minimizing, turnover

But while the risk of excessive turnover should not be overlooked, it should not be exaggerated, either. In fact, it is possible to considerably reduce turnover without hampering performance too much. Robeco’s in-house research shows that when investors start keeping securities with less attractive factor qualities in their portfolios for longer, trading costs tend to decrease faster than the gross return. As a result, the net return/risk ratio tends to increase when turnover starts to decline.

This finding does not mean that portfolio changes should be minimized. Turnover can be reduced without lowering gross returns too much, but only up to a certain point. And gross returns also tend to drop rapidly once we allow unattractive securities to remain in the portfolio for too long or rebalance too infrequently. Investors must therefore find the optimal trade-off between factor exposure and rebalancing costs, in order maximize after-cost performance.

Common techniques

There are many ways to reduce and control portfolio turnover, and that can be applied to all kinds of factor-based strategies. The most obvious one is setting and adjusting fixed rebalancing intervals, in order to reassess factor exposures more or less frequently. Another option is allowing a portfolio to deviate more or less from its ideal composition, if only factor exposures were taken into account and implementation costs were neglected. The greater the deviation tolerance, the lower the turnover will tend to be.

In addition to these general techniques, which are widely used by investment managers and index providers, there are also more strategy-specific ways to reduce turnover. Empirical studies carried out on the short-term reversal phenomenon, which has been extensively documented in the academic literature, provide a good illustration of this.

Short-term reversal strategies exploit the fact that stocks that experience huge gains or losses during one month tend to reverse that trend the following month. However, many investors remain skeptical about this kind of approach because they involve huge turnover, as signals typically change completely every month.

But a 2011 paper3 by Wilma de Groot, Joop Huij and Weili Zhou, of Robeco’s Quant Equity research team, showed that the high transaction costs incurred in many these investment strategies implemented in the US stock market could largely be attributed to excessive trading in small caps. Trading costs could therefore be significantly reduced by limiting the stock universe to large caps. Similarly, comparable ways to reduce turnover can often be found for different kinds of quantitative strategies.

All of Robeco’s quantitative strategies use portfolio-construction processes designed to keep trading low and trading costs under control, using a securities-ranking approach. This kind of method is less sensitive to changing market inputs. Moreover, for credit markets, which lack the immediacy seen in equity markets and where keeping transaction costs under control proves more challenging, we have developed a specific investment process, in which liquidity management is actually embedded in the portfolio construction process itself. This enables us to send only those orders which have a high probability of being executed.

Important information

The contents of this document have not been reviewed by the Securities and Futures Commission ("SFC") in Hong Kong. If you are in any doubt about any of the contents of this document, you should obtain independent professional advice. This document has been distributed by Robeco Hong Kong Limited (‘Robeco’). Robeco is regulated by the SFC in Hong Kong. This document has been prepared on a confidential basis solely for the recipient and is for information purposes only. Any reproduction or distribution of this documentation, in whole or in part, or the disclosure of its contents, without the prior written consent of Robeco, is prohibited. By accepting this documentation, the recipient agrees to the foregoing This document is intended to provide the reader with information on Robeco’s specific capabilities, but does not constitute a recommendation to buy or sell certain securities or investment products. Investment decisions should only be based on the relevant prospectus and on thorough financial, fiscal and legal advice. Please refer to the relevant offering documents for details including the risk factors before making any investment decisions. The contents of this document are based upon sources of information believed to be reliable. This document is not intended for distribution to or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. Investment Involves risks. Historical returns are provided for illustrative purposes only and do not necessarily reflect Robeco’s expectations for the future. The value of your investments may fluctuate. Past performance is no indication of current or future performance.