July, 2022
After a strong performance in the first half year, factor performance remained roughly flat over July. tow-risk and Quality provided the strongest positive contributions, followed by a smaller positive from Value. After a very strong performance in June, Momentum detracted this month. Flows also detracted somewhat white carry contributed neutrally. From an asset class perspective government bond allocation, currency allocation and equity selection were strong positivecontributors, commodity allocation made a smaller positivecontribution. Equity, credit allocation and credit selection detracted.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return-class-b-5.pdfJune, 2022
June was another strong month for factor premiums. Momentum and Quality were the strongest factors, followed by Flow. Low risk and Value detracted from performance while Carry ends the month close to flat. From an asset class perspective credit allocation, government bond allocation, commodity allocation and equity allocation were strong. Equity and credit selection were close to neutral, while currency allocation detracted from performance.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return-class-b-4.pdfApril, 2022
April was an exceptionally strong month for factor premiums. Momentum, Quality and Carryall added substantially, followed by a positive contribution from Value, While low risk and Flow detracted. From an asset class perspective currency allocation added most too performance, followed by both equity selection and allocation, commodity allocation, credit selection reminded neutral.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return-class-b-3.pdfFebruary, 2022
February was a strong month for factor premiums. Carry was the strongest factor, followed by Momentum and Flow. Low-risk, Value, and Quality detracted from performance. From an asset class perspective equity selection, equity allocation, government bond allocation, credit allocation, and commodity allocation all performed positively. Currency allocation and credit selection detracted.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return-class-b-2.pdfOctober, 2021
October was a challenging month for factor premium. Momentum performed well, while value, Carry and quality detracted. Low risk and flow were close to neutral. From an asset class perspective, commodities did very well, but this was more than overshadowed by very weak government bond allocation performance, followed by detractors equity selection, equity allocation and currency allocation. Credit selection and credit allocation were close to neutral
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return-class-b-1.pdfSeptember, 2021
September was a challenging month for factor premiums. Value and Quality contributed positively, while Low risk, Momentum, Carry and Flow detracted. From an asset class perspective currency and commodity allocation contributed positively, while equity selection and allocation as well as government bond allocation detracted. Credit selection and allocation performance was close to neutral.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return-class-b.pdfApril, 2021
After starting the year strong, April was a more challenging month for factor premiums, while low risk, quality momentum and carry all posted positive returns, flow, and especially value detracted. From an asset class perspective, credit allocation. Main detractor was the currency allocation, followed by equity selection. Credit selection and commodity allocation were both close to flat
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return-1.pdfNovember, 2020
Over November the Fund exhibited close to neutral performance. Main positive contributors were Quality, Flow and Momentum, while Value and Carry detracted, with Low risk ending the month close to neutral. Equity selection, Credit selection, Commodities, Credit allocation and Currency allocation were all positive, but performance was for a large part offset by detractors government bond allocation and equity allocation.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/docu-factsheet-robeco-multi-factor-absolute-return.pdfticker: ETL6152AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
Bottom left -> Factsheets -> Most recent factsheet
asset_class: Alternatives
asset_category: Systematic Risk Premia
peer_benchmark: Alternatives - Systematic Risk Premia Index
broad_market_index: Credit Suisse AllHedge Fund Index
structure: Managed Fund
manager_contact_details: Array
fund_features:
The fund has a systematic absolute return strategy and invests in individual stocks, corporate bonds, equity index futures, bond futures, interest rate swaps, CDX contracts and currency forwards, across a wide range of markets.
- The Fund aims to provide long term capital growth and low long-run correlation to the traditional asset classes in a risk-balanced and ESG-aware manner.
- It has a minimum investment of $10,000 and a management fee of 0.78 per cent per annum of net asset value (NAV) of the fund plus indirect costs of 0.05 per cent per annum of NAV.