Robeco QI Institutional Global Developed Momentum Equities T8 CAD
Systematic approach to efficiently benefit from trends by harvesting the momentum factor
Share classes
Share classes
Every share class of a product invests in the same portfolio of securities and has the same investment objectives and policies. However, their parameters might deviate. For instance and amongst others, their distribution type, currency exposure or fees and expenses might differ. The most common share classes at Robeco are:
a) D/DH shares, which are regular shares and available for all Investors;
b) I/IH shares, for institutional investors as defined from time to time by the Luxembourg supervisory authority.
For more information on share classes please go to the prospectus.
T8-CAD
T1-EUR
T12-EUR
Class and codes
Asset class:
Equities
ISIN:
NL0012879340
Bloomberg:
RQIMT8C NA
Index
MSCI World Index
Sustainability-related information
Sustainability-related information
Under the EU Sustainable Finance Disclosure Regulation, products can be labelled as either Article 6, 8 or 9 fund.
Article 6 - The fund is not in scope of enhanced sustainability disclosures compared to Article 8 and 9.
Article 8 - The fund does not have a sustainable investment objective but promotes environmental or social characteristics and is subject to enhanced sustainability disclosures.
Article 9 - The fund has a sustainable investment objective and is subject to enhanced sustainability disclosures.
Regardless of Article 8 or 9, the companies in which investments are made must follow good governance practices, and sustainable investments must not do any significant harm.
Article 8
Morningstar
Morningstar
Copyright © Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Download The Morningstar Rating for Funds (chapter: The Morningstar Rating: Three-, Five-, and 10-Year) on the Morningstar website.
Rating (30/11)
- Overview
- Performance & costs
- Portfolio
- Sustainability
- Commentary
- Documents
MISSING: fund.detail.tabs.
Key points
- Aims to capture the momentum premium and outperform the benchmark over the long run
- Quantitative stock-selection strategy aimed at selecting securities with a positive momentum
- Avoids going against other factors, mitigates unrewarded risk and prevents unnecessary turnover
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.
Key facts
Total size of fund
$ 90,926,227
Size of share class
$ 47,552,463
Inception date share class
05-09-2018
1-year performance
40.68%
Dividend paying
Yes
Fund manager
Daniel Haesen
Wouter Tilgenkamp
Pim van Vliet
Daniel Haesen is Portfolio Manager Quantitative Equities and focuses on managing Factor Investing portfolios such as the Value-, Momentum-, Quality- and Multi-Factor portfolios. He specializes in factor research and portfolio management. Daniel joined Robeco in 2003 as a quantitative researcher, with a specific 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 has published in several academic journals, including the Journal of Banking and Finance. He holds a Master's degree in Econometrics and Quantitative Finance from Tilburg University in the Netherlands and is a CFA® charterholder. Wouter Tilgenkamp is Portfolio Manager Quantitative Equities and focuses on managing Factor Investing portfolios, such as the Value-, Momentum-, Quality- and Multi-Factor portfolios. Wouter joined Robeco in 2016 as a Data Scientist, with a specific focus on Equity Trading Research, automatization of portfolio processes, portfolio construction, and optimal execution of strategies. He started his financial career in 2014 as Derivative Trader at Optiver. He holds a Bachelor of Science in Applied Mathematics from Technical University of Delft and a master’s degree in Quantitative Finance. Pim van Vliet is Head of Conservative Equities and Chief Quant Strategist. As Head of Conservative Equities, he is responsible for a wide range of global, regional, and sustainable low-volatility strategies. He specializes in low-volatility investing, asset pricing, and quantitative finance. He is the author of numerous academic research papers including publications in the Journal of Banking and Finance, Management Science, and the Journal of Portfolio Management. Pim is a guest lecturer at several universities, author of an investment book and speaker at international seminars. He became Portfolio Manager in 2010. Pim joined Robeco in 2005 as a Researcher with responsibility for asset allocation research. Pim holds a PhD and a Master's cum laude in Financial and Business Economics from Erasmus University Rotterdam.
Performance
Per period
Per annum
- Per period
- Per annum
1 month
5.90%
3 months
9.73%
YTD
37.85%
1 year
40.68%
2 years
22.53%
3 years
11.22%
5 years
12.91%
Since inception 09/2018
10.55%
2023
14.70%
2022
-15.01%
2021
28.39%
2020
6.43%
2019
19.10%
2021-2023
7.77%
2019-2023
9.67%
Statistics
Statistics
Hit-ratio
- Statistics
- Hit-ratio
Tracking error ex-post (%)
The ex-post tracking error is defined as the volatility of the fund's achieved excess return over the index return. In fund management, most managers are subject to an ex-ante (pre-determined) tracking error, which defines the extent of the additional risk they may take when aspiring to outperform the fund's benchmark. The ex-post tracking error explains the distribution of past fund performances compared to those of its underlying benchmark. With a higher tracking error, the fund's returns deviate more from its index's returns, hence there is a greater chance that the fund may outperform. The wider the spread of returns relative to the benchmark, the more "actively" a fund has been managed. In contrast, a low tracking error indicates more "passive" management.
5.63
5.63
Information ratio
This ratio serves to evaluate the quality of the excess return a fund manager has achieved because it takes the active risk involved into account. The information ratio is defined as the excess return over the benchmark return divided by the fund's tracking error. The higher the information ratio, the better. For example, a fund with a tracking error of 4% and an excess return of 2% over benchmark has an information ratio of 0.5, which is quite good.
-0.14
-0.12
Sharpe ratio
This ratio measures the risk-adjusted performance and allows the performance quality of different investments to be compared. It is calculated by subtracting the risk-free rate from the fund's returns and dividing the result by the fund's standard deviation (risk). So the Sharpe ratio tells us whether a fund's returns are the result of smart investment decisions or stem from taking extra risk. The higher the ratio, the better, meaning that a greater return is achieved per unit of risk. This ratio is named after its inventor, Nobel Laureate, William Sharpe.
0.49
0.67
Alpha (%)
Alpha measures the difference between a portfolio's actual return and its expected performance, given the level of risk, compared to the benchmark. A positive alpha figure indicates that the fund has performed better than expected, given the level of risk. Beta is used to calculate the level of risk compared to the benchmark..
-1.16
-1.34
Beta
Beta is a measure of a portfolio's volatility, or systematic risk, in comparison to the benchmark. A beta of 1 indicates that the portfolio will move with the benchmark. A beta of less than 1 means that the portfolio will be less volatile than the benchmark. A beta of more than 1 indicates that the portfolio will be more volatile than the benchmark. For example, if a portfolio's beta is 1.2 it is theoretically 20% more volatile than the benchmark.
1.09
1.09
Standard deviation
Standard deviation is a measure of the dispersion of a set of data from its mean. The more spread out the data is, the higher the deviation. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility (risk).
15.37
15.66
Max. monthly gain (%)
The maximum (i.e. highest) absolute positive monthly performance in the underlying period.
8.62
8.62
Max. monthly loss (%)
The maximum (i.e. highest) absolute negative monthly performance in the underlying period.
-8.42
-13.07
Months out performance
Number of months in which the fund outperformed the benchmark in the underlying period.
20
34
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
55.6
56.7
Months Bull market
Number of months of positive benchmark performance in the underlying period.
23
40
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
15
25
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
65.2
62.5
Months Bear market
Number of months of negative benchmark performance in the underlying period.
13
20
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
5
9
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
38.5
45
Dividend paying history
28-06-2024
$ 1.07
19-06-2023
$ 2.11
29-06-2022
$ 1.07
21-06-2021
$ 1.12
Costs
Ongoing charges
Indication of annual charges that are deducted for this fund. This indication is based on the costs over the last calendar year and may vary from year to year. Transaction costs incurred by the fund, any performance fees and other one-off costs are not included in the ongoing charges.
0.71%
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
0.64%
Transaction costs
The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.
0.04%
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
投资于本基金的财务影响视乎投资者的个人情况而定。就荷兰私人投资者而言，自投资所得的实际利息和股息收益或资本增值无须课税。如投资者的净资产超过投资者所享有的免税额，则每年须按其截至1月1日的资产净值缴付所得税，而任何在本基金的投资金额为投资者净资产的一部分。至于居于荷兰以外地区的私人投资者，无须因投资于本基金而在荷兰课税，但该等投资者可能须根据适用税务法律，就投资于本基金所得的任何收益于其居住地课税。法律实体或专业投资者须受其他税务规则约束。我们建议投资者在决定投资于本基金前，应就投资于本基金在其具体情况下所带来的税务影响咨询其财务或税务顾问。
Fund allocation
Asset
Sector
Top 10
- Asset
- Sector
- Top 10
Policies
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.
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. The fund aims for a better sustainability profile compared to the Benchmark by promoting E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrating sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions, proxy voting and engagement. The Sub-fund is actively managed and uses the MSCI World Standard Index for asset allocation purposes. However, although securities may be components of the Benchmark, securities outside the Benchmark may be selected too. The Sub-fund can deviate from the weightings of the Benchmark. The Manager has discretion over the composition of the Portfolio subject to the Investment Guidelines. The Sub-fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the applications of limits (on countries, sectors and issuers) to the extent of deviation from the Benchmark. This will consequently limit the deviation of the performance relative to the Benchmark. The Benchmark is a broad market weighted index that is not consistent with the environmental, social and governance characteristics promoted by the Sub-fund.
Risk management is fully integrated into the investment process to ensure that positions always meet predefined guidelines.
Sustainability-related disclosures
Sustainability profile
ESG Important Information
The sustainability information below can help investors integrate sustainability considerations in their process. This information is for informational purposes only. The reported sustainability information may not at all be used in relation to binding elements for this fund. A decision to invest should take into account all characteristics or objectives of the fund as described in the prospectus.
Sustainability
The fund systematically incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, engagement and voting. The fund does not invest in stocks issued by companies that are in breach of international norms or where its activities have been deemed detrimental to society following Robeco's exclusion policy. Financially material ESG factors are integrated in the portfolio construction to ensure the ESG score of the portfolio is better than that of the index. In addition, the environmental footprints of the fund are made lower than that of the benchmark by restricting the GHG emissions, water use and waste generation. With these portfolio construction rules, stocks issued by companies with better ESG scores or environmental footprints are more likely to be included in the portfolio while stocks issued by companies with worse ESG scores or environmental footprints are more likely to be divested from the portfolio. In addition, where a stock issuer is flagged for breaching international standards in the ongoing monitoring, the issuer will become subject to engagement. Lastly, the fund makes use of shareholder rights and applies proxy voting in accordance with Robeco's proxy voting policy.The following sections display the ESG-metrics for this fund along with short descriptions. For more information please visit the sustainability-related disclosures.The index used for all sustainability visuals is based on MSCI World Index.
Performance explanation
Based on closing GAV, the fund's return was 5.90%. 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.
Expectation of fund manager
Daniel Haesen
Wouter Tilgenkamp
Pim van Vliet
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.