Fact sheet: Robeco Momentum Equities

Fund information
Fund name
Robeco Momentum Equities I EUR
Fund manager company
Robeco Luxembourg S.A.
Fund type
No data available.
Fund managers
  • Willem Jellemasince 27/03/2014
  • Rob Van Bommelsince 27/03/2014
Fund objective
The Momentum Equities fund invests in stocks with a positive momentum, i.e. equities benefiting from trends, factoring in both stock valuation and risk. By avoiding unrewarded risk and preventing unnecessary turnover, the fund aims to efficiently harvest the momentum premium.
Benchmark
  • No Specified Index
Investment style
None
Investment method
Shares
Quick stats
1 Year return
24.2%
1 Year rank in sector
-
Sector
FO Equity - International
Yield
-
Fund size
£106m
FE Risk score
?FE Risk Scores measure the riskiness of instruments relative to the FTSE 100 index of shares. Weekly volatility is measured over three years with recent behaviour counting more heavily than earlier behaviour. Cash-type investments will have scores close to zero. Funds will tend to have scores in the 0-150 range. The FTSE 100 is always scored at 100. There is no upper limit.
109
Top in this sector
Fund name1 Year
Heptagon Kprnk GblAlCpEq68.7%
Orbis SICAV Global Equity53.1%
SKAGEN Focus51.2%
Sanlam FOUR Gbl Equity47%
Orbis Global Equity45.2%
...more in FO Equity - International

Performance snapshot

Holdings snapshot

  • USA44.9%
    Others11.7%
    UK7.4%
    Japan7%
    Canada5.9%
  • Information Technology18.8%
    Industrials14.3%
    Consumer Discretionary13.8%
    Materials13.2%
    Financials12.8%
  • US Equities44.9%
    International Equities11.7%
    UK Equities7.4%
    Japanese Equities7%
    Canadian Equities5.9%

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund5.1%9.3%10.7%24.2%47%-
Sector2.4%7.4%6.8%22.7%20.6%51.2%
Rank within sector------
Quartile
Calendar performance
 YTD - 20172016201520142013
Fund6.7%6%13.5%16%25.5%
Sector4.3%7.9%0.7%6%21.3%
Rank within sector-----
Quartile
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
7.17
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
0.84
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
0.79
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
11.55
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
8.61
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
0.67
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
0.46
Price movement
52 week high186.77
52 week low149.79
Current bid price-
Current offer price-
Current mid price185.9
Region
1USA44.86%
2Others11.66%
3UK7.38%
4Japan6.98%
5Canada5.88%
6Korea4.09%
7Taiwan3.39%
8China3.29%
9Australia2.79%
Industry sector
1Information Technology18.84%
2Industrials14.26%
3Consumer Discretionary13.76%
4Materials13.16%
5Financials12.76%
6Consumer Staples7.68%
7Health Care6.28%
8Utilities3.89%
9Real Estate3.69%
Asset type
1US Equities44.86%
2International Equities11.66%
3UK Equities7.38%
4Japanese Equities6.98%
5Canadian Equities5.88%
6South Korean Equities4.09%
7Taiwanese Equities3.39%
8Chinese Equities3.29%
9Australian Equities2.79%
Individual holdings
1ALPHABET INC1.38%
2AMAZON.COM INC1.1%
3NVIDIA CORP1.09%
4SAMSUNG ELECTRONICS CO GDR EACH REP 1/2 KRW5000(REG`S`/144A)0.85%
5INTERDIGITAL INC0.82%
6ADIDAS AG0.7%
7MOL HUNGARIAN OIL & GAS0.7%
8QUALCOMM INC0.7%
9LOTTE CHEMICAL CORP0.69%
Management
Fund manager group
Robeco Luxembourg
Fund manager company
Robeco Luxembourg S.A.
Fund type
No data available.
Fund objective
The Momentum Equities fund invests in stocks with a positive momentum, i.e. equities benefiting from trends, factoring in both stock valuation and risk. By avoiding unrewarded risk and preventing unnecessary turnover, the fund aims to efficiently harvest the momentum premium.
Benchmark
  • No Specified Index
Investment style
None
Investment method
Shares
Fund managers
NameSinceBiography
Willem Jellema27/03/2014Mr. Willem Jellema is a Senior Portfolio Manager with Robeco since 2010. Before that, he worked as a Senior Quantitative Researcher with Robeco's Quantitative Research department since 2004. His areas of expertise focus around equity research and the investment process for Quantitative Equities. His main contribution lies in the improvement of this process, among others through the maintenance and further development of the applications used for the model updates and portfolio management. Willem is a graduate from the University of Groningen and holds a Master's degree in Econometrics.
Rob Van Bommel27/03/2014Mr. Rob van Bommel is a Portfolio Manager within the Quantitative Equities team. His primary responsibilities are Robeco's Factor Investing strategies. He joined Robeco in 1990 as a quant analyst. He subsequently became portfolio manager UK Equities and Head of the European Equities team. He then managed Global Equities excl. US for US institutional clients. He was also closely involved in the establishment of Robeco's quantitative equity investing activities in the mid-1990s. Subsequently he held various management positions, including Structured Finance, Global Product Management and Client Portfolio Management. He holds a Master's degree in Business Economics from Erasmus University in Rotterdam.
Compliance
UCITS IV Compliant
Domicile
No data available.
Fund for sale in
Belgium, Germany, Spain, France, United Kingdom, Luxembourg, Netherlands, Offshore
Robeco Momentum Equities D EUR
Initial charge5%
Annual charge1%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)1.22%
Bid price-
Offer price-
Mid price131.06
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeFILV
Robeco Momentum Equities F EUR
Initial charge5%
Annual charge0.5%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)0.72%
Bid price-
Offer price-
Mid price153.83
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFH2C
Robeco Momentum Equities I EUR
Initial charge0.5%
Annual charge0.55%
Min single investment£500,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)0.69%
Bid price-
Offer price-
Mid price185.9
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeGNBR
Robeco Momentum Equities Z EUR
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)0.06%
Bid price-
Offer price-
Mid price150.53
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFJHO
Data provided by

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