September, 2023
Based on transaction prices, the fund's return was -0.46%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202309-profgloben.pdfAugust, 2023
Based on transaction prices, the fund's return was -0.42%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202308-profgloben.pdfJuly, 2023
Based on transaction prices, the fund's return was 0.94%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202307-profgloben.pdfJune, 2023
Based on transaction prices, the fund's return was 3.70%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202306-profgloben.pdfMay, 2023
Based on transaction prices, the fund's return was 1.17%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202305-profgloben.pdfApril, 2023
Based on transaction prices, the fund's return was -0.50%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors
The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File:March, 2023
Based on transaction prices, the fund's return was -0.86%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors.
The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202303-profgloben.pdfFebruary, 2023
Based on transaction prices, the fund's return was 0.37%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202302-profgloben.pdfDecember, 2022
Based on transaction prices, the fund's return was -6.28%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in December, based on the NAV closing prices. The value, quality and low-risk factors outperformed the index. The momentum factor detracted. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to positive selection effects, while allocation effects detracted.
File:November, 2022
Based on transaction prices, the fund's return was 2.79%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility.
In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund underperformed the market index in November, based on the NAV closing prices. The value factor outperformed the index. The momentum, low-risk and quality factors detracted. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to both negative selection effects and negative allocation effects.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202211-profgloben.pdfOctober, 2022
Based on transaction prices, the fund's return was 6.38%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility.
In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in October, based on the NAV closing prices. The value, momentum, quality and low-risk factors outperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to both positive selection effects and positive allocation effects.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202210-profgloben.pdfSeptember, 2022
Based on transaction prices, the fund's return was -6.42%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility.
In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in September, based on the NAV closing prices. The momentum, quality and low-risk factors outperformed the index. The value factor underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to both positive selection effects and positive allocation effects.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202209-profgloben.pdfAugust, 2022
Based on transaction prices, the fund's return was -1.82%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in August, based on the NAV closing prices. The value, momentum and low-risk factors outperformed the index. The quality factor underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to both positive selection effects and positive allocation effects.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202208-profgloben.pdfJune, 2022
Based on transaction prices, the fund's return was -6.16%.
The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in June, based on the NAV closing prices. The low-risk factor outperformed the index. The value, momentum and quality factors underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to both positive selection effects and positive allocation effects.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202206-profgloben.pdfMay, 2022
Based on transaction prices, the fund's return was -0.99%.
The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in May, based on the NAV closing prices. The value factor outperformed the index. The momentum, quality and low-risk factors underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to positive selection effects, while allocation effects contributed negatively.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202205-profgloben.pdfApril, 2022
Based on transaction prices, the fund's return was -0.66%.
The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-risk and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in April, based on the NAV closing prices. The value, quality and low-risk factors outperformed the index. The momentum factor underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the outperformance can be attributed to positive selection effects, while allocation effects contributed negatively
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202204-profgloben.pdfMarch, 2022
Based on transaction prices, the fund's return was 1.61%.
The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund underperformed the market index in March, based on the NAV closing prices. The value, momentum and quality factors underperformed the index. The low-risk factor outperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that both the selection and allocation effect were negative.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202203-profgloben.pdfFebruary, 2022
Based on transaction prices, the fund's return was -1.97%.
The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in February, based on the NAV closing prices. The value, momentum and low-risk factors outperformed the index. The quality factor underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the selection effect was positive and that the allocation effect was negative.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202202-profgloben.pdfJanuary, 2022
Based on transaction prices, the fund's return was -3.29%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in January, based on the NAV closing prices. The value and low-risk factors outperformed the index. The momentum and quality factors underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that both the selection and allocation effects were positive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202201-profgloben.pdfDecember, 2021
Based on transaction prices, the fund's return was 3.88%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in December, based on the NAV closing prices. The value, momentum and low-risk factors outperformed the index. The quality factor underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the allocation effect was negative and the selection effect was positive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202112-profgloben.pdfOctober, 2021
Based on transaction prices, the fund's return was 4.09%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, low-volatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund performed in line with the market index in October, based on the NAV closing prices. The momentum factor outperformed the index, while the value, quality and low-risk factors lagged. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the allocation effect was positive and the selection effect was negative.
File:September, 2021
Based on transaction prices, the fund's return was -2.80%.
The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund performed in line with the market index in September, based on the NAV closing prices. The value and low-risk factors outperformed the index, while the momentum and quality factors lagged. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the allocation effect was positive and the selection effect was negative.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202109-profgloben.pdfAugust, 2021
Based on transaction prices, the fund's return was 2.40%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund underperformed the market index in August, based on the NAV closing prices. The momentum factor outperformed the index, while the value, quality and low-risk factors lagged. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that both the allocation and selection effect were negative.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202108-profgloben.pdfJuly, 2021
Based on transaction prices, the fund's return was 0.78%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund underperformed the market index in July, based on the NAV closing prices. The quality and low-risk factors outperformed the index, while the value and momentum factors lagged. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that both the allocation and selection effect were negative.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202107-profgloben-1.pdfJune, 2021
Based on transaction prices, the fund's return was 4.19%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund performed in line with the market index in June, based on the NAV closing prices. The momentum and quality factors outperformed the index, while the low-risk and value factors lagged. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that both the allocation and selection effect were flat.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202106-profgloben.pdfMay, 2021
Based on transaction prices, the fund's return was 0.62%.
The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums. The fund outperformed the market index in May, based on the NAV closing prices.
The value, quality, momentum and low-risk factors outperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that the allocation and selection effects were both positive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202105-profgloben.pdfApril, 2021
Based on transaction prices, the fund's return was 1.08%. The fund aims to achieve higher risk-adjusted returns than both the broader market and generic factor indices over a full business cycle by building efficient, well-diversified exposure to enhanced factors. The value, momentum, lowvolatility and quality factors have all shown to provide better risk-adjusted performance than the broader market on an individual basis – either by providing higher returns than the market with similar volatility, or by providing returns in line with the market but with reduced volatility. In addition, the fund is benefiting from the diversification effect of exposure to four factor premiums.
The fund underperformed the market index in April, based on the NAV closing prices. The quality and momentum factors outperformed the index, while the value and low-risk factors underperformed the index. Attributing the factor performances to sectors (split into allocation and stock selection effects), we find that both the allocation and selection effect were negative.
File: https://commentary.quantreports.net/wp-content/uploads/2021/05/RG_GMFAC_E_G-fact-202104-profgloben.pdfasset_class:
asset_category:
peer_benchmark:
broad_market_index:
manager_contact_details: Array
ticker: ETL7610AU
release_schedule: Monthly
structure: Managed Fund
commentary_block: Array
factsheet_url:
Fact Sheet
Note:
in the PDF is under ‘Performance”
fund_features:
Robeco Global DM Multi-Factors Equities Alpha Fund invests in stocks in developed and emerging countries across the world. The selection of these stocks is based on a quantitative model.
- The fund’s objective is to achieve a better return than the index.
- The fund follows a bottom-up driven investment strategy to gain efficient, well-diversified exposure to the proven factors value, momentum, low-volatility and quality.
- The fund uses enhanced factor definitions to avoid unrewarded risk and unwanted and unintended factor tilts.