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.
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.
What is Robeco Glb DM Multi-Fac Eqs Alpha AUD Robeco Glb DM Multi-Fac Eqs Alpha AUD is an Managed Funds investment product that is benchmarked against Developed -World Index and sits inside the Foreign Equity - Currency Hedged Index. Think of a benchmark as a standard where investment performance can be measured. Typically, market indices like the ASX200 and market-segment stock indexes are used for this purpose. The Robeco Glb DM Multi-Fac Eqs Alpha AUD has Assets Under Management of 0.00 M with a management fee of 0.65%, a performance fee of 0 and a buy/sell spread fee of 0.21%.
How has the investment product performed recently?
The recent investment performance of the investment product shows that the Robeco Glb DM Multi-Fac Eqs Alpha AUD has returned 1.87% in the last month. The previous three years have returned 7.26% annualised and 13.6% each year since inception, which is when the Robeco Glb DM Multi-Fac Eqs Alpha AUD first started.
How is risk measured in this investment product?
There are many ways that the risk of an investment product can be measured, and each measurement provides a different insight into the risk present. They can be used on their own or together to perform a risk assessment before investing, but when comparing investments, it is common to compare like for like risk measurements to determine which investment holds the most risk. Since Robeco Glb DM Multi-Fac Eqs Alpha AUD first started, the Sharpe ratio is 0.49 with an annualised volatility of 13.6%. The maximum drawdown of the investment product in the last 12 months is -14.03% and -19.61% since inception. The maximum drawdown is defined as the high-to-low decline of an investment during a particular time period.
What is the relative performance of the investment product?
Relative performance is what an asset achieves over a period of time compared to similar investments or its peers. Relative return is a measure of the asset's performance compared to the return to the other investment. The Robeco Glb DM Multi-Fac Eqs Alpha AUD has a 12-month excess return when compared to the Foreign Equity - Currency Hedged Index of 12.48% and 1.62% since inception.
Does the investment product produce Alpha over its Peers?
Alpha is an investing term used to measure an investment's outperformance relative to a market benchmark or peer investment. Alpha describes the excess return generated when compared to peer investment. Robeco Glb DM Multi-Fac Eqs Alpha AUD has produced Alpha over the Foreign Equity - Currency Hedged Index of 0.16% in the last 12 months and 0.29% since inception.
What are similar investment products?
For a full list of investment products in the Foreign Equity - Currency Hedged Index category, you can click here for the Peer Investment Report.
What level of diversification will Robeco Glb DM Multi-Fac Eqs Alpha AUD provide?
Robeco Glb DM Multi-Fac Eqs Alpha AUD has a correlation coefficient of 0.82 and a beta of 0.34 when compared to the Foreign Equity - Currency Hedged Index. Correlation measures how similarly two investments move in relation to one another. This establishes a 'correlation coefficient', which has a value between -1.0 and +1.0. A 100% correlation between two investments means that the correlation coefficient is +1. Beta in investments measures how much the price moves relative to the broader market over a period of time. If the investment moves more than the broader market, it has a beta above 1.0. If it moves less than the broader market, then the beta is less than 1.0. Investments with a high beta tend to carry more risk but have the potential to deliver higher returns.
How do I compare the investment product with its peers?
For a full quantitative report on Robeco Glb DM Multi-Fac Eqs Alpha AUD and its peer investments, you can click here for the Peer Investment Report.
How do I compare the Robeco Glb DM Multi-Fac Eqs Alpha AUD with the Developed -World Index?
For a full quantitative report on Robeco Glb DM Multi-Fac Eqs Alpha AUD compared to the Developed -World Index, you can click here.
Can I sort and compare the Robeco Glb DM Multi-Fac Eqs Alpha AUD to do my own analysis?
To sort and compare the Robeco Glb DM Multi-Fac Eqs Alpha AUD financial metrics, please refer to the table above.
Has the Robeco Glb DM Multi-Fac Eqs Alpha AUD been independently verified by SMSF Mate?
This investment product is in the process of being independently verified by SMSF Mate. Once we have verified the investment product, you will be able to find more information here.
How can I invest in Robeco Glb DM Multi-Fac Eqs Alpha AUD?
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Comments from SMSF Mates
SMSF Mate does not receive commissions or kickbacks from the Robeco Glb DM Multi-Fac Eqs Alpha AUD. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - August 31, 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.
Performance Commentary - July 31, 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.
Performance Commentary - June 30, 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.
Performance Commentary - May 31, 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.
Performance Commentary - April 30, 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.
Performance Commentary - March 31, 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.
Performance Commentary - February 28, 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.
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