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.
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.
What is Robeco Multi Factor Absolute Return B Robeco Multi Factor Absolute Return B is an Managed Funds investment product that is benchmarked against Credit Suisse AllHedge Fund Index and sits inside the Alternatives - Systematic Risk Premia 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 Multi Factor Absolute Return B has Assets Under Management of 0.00 M with a management fee of 0.78%, a performance fee of 0 and a buy/sell spread fee of 0.32%.
How has the investment product performed recently?
The recent investment performance of the investment product shows that the Robeco Multi Factor Absolute Return B has returned -2.39% in the last month. The previous three years have returned -5.35% annualised and 8.53% each year since inception, which is when the Robeco Multi Factor Absolute Return B 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 Multi Factor Absolute Return B first started, the Sharpe ratio is -0.65 with an annualised volatility of 8.53%. The maximum drawdown of the investment product in the last 12 months is -4.32% and -24.75% 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 Multi Factor Absolute Return B has a 12-month excess return when compared to the Alternatives - Systematic Risk Premia Index of -0.53% and -4.55% 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 Multi Factor Absolute Return B has produced Alpha over the Alternatives - Systematic Risk Premia Index of -0.05% in the last 12 months and -0.37% since inception.
What are similar investment products?
For a full list of investment products in the Alternatives - Systematic Risk Premia Index category, you can click here for the Peer Investment Report.
What level of diversification will Robeco Multi Factor Absolute Return B provide?
Robeco Multi Factor Absolute Return B has a correlation coefficient of 0.83 and a beta of 1.07 when compared to the Alternatives - Systematic Risk Premia 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 Multi Factor Absolute Return B and its peer investments, you can click here for the Peer Investment Report.
How do I compare the Robeco Multi Factor Absolute Return B with the Credit Suisse AllHedge Fund Index?
For a full quantitative report on Robeco Multi Factor Absolute Return B compared to the Credit Suisse AllHedge Fund Index, you can click here.
Can I sort and compare the Robeco Multi Factor Absolute Return B to do my own analysis?
To sort and compare the Robeco Multi Factor Absolute Return B financial metrics, please refer to the table above.
Has the Robeco Multi Factor Absolute Return B 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 Multi Factor Absolute Return B?
How do I get in contact with the Robeco Multi Factor Absolute Return B?
Comments from SMSF Mates
SMSF Mate does not receive commissions or kickbacks from the Robeco Multi Factor Absolute Return B. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - June 30, 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.
Performance Commentary - April 30, 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.
Performance Commentary - February 28, 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.
Performance Commentary - October 31, 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
Performance Commentary - September 30, 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.
Performance Commentary - April 30, 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
Performance Commentary - November 30, 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.
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