Disclaimer Robeco Switzerland Ltd.
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The Funds are domiciled in Luxembourg and The Netherlands. ACOLIN Fund Services AG, postal address: Leutschenbachstrasse 50, CH-8050 Zürich, acts as the Swiss representative of the Fund(s). UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zurich, postal address: Europastrasse 2, P.O. Box, CH-8152 Opfikon, acts as the Swiss paying agent.
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Quantitative investing
Momentum factor
Stocks tend to maintain recent price trends in the future, and the momentum strategy takes advantage of this phenomenon. When using a momentum strategy, it is important to be aware of the risk of trend reversals and of how that risk can be mitigated.
The momentum premium is one of the largest factor premiums, but it is hard to capture because of two practical problems. First, a substantial drawdown can occur if there is a trend break like a market reversal, as the strategy will select equities with high market sensitivity in a bull market. Second, the group of stocks with the strongest trends changes all the time, causing high turnover in the portfolio. The transaction costs that this turnover generates eat into the momentum premium.
Figure: Improved risk-return ratio with Robeco's Momentum factor approach
Source: Robeco, Quantitative Research, 2014.
Invisible layers surface to deliver attractive returns
Unlike ‘traditional’ momentum based on total returns, Robeco calculates ‘residual’ momentum, adjusted for market risk in particular. This avoids the unrewarded risks of a traditional momentum strategy. Furthermore, smart portfolio construction rules ensure only necessary trades are done and transaction costs are minimised.
