Today’s fund profile in Barron’s features the Robeco Boston Partners All-Cap Value Fund (BPAVX, Investor Class; BPAIX, Institutional Class). The Investor Class of this $977 million, no-load fund sports a net expense ratio of 0.95% (after a contractual fee waiver through 2015) and a 26% turnover. According to the article

Over the past decade, the fund’s 9.3% average return beat 98% of large-value peers… So far this year, the All-Cap Value fund is down 1.1%, behind the market and large-value peers.

The prospectus benchmark for the fund is the Russell 3000® Value index. One of the accessible implementations of this index is the iShares Core U.S. Value ETF (IUSV).

The first full month of the current manager’s tenure with the fund was September 2005. Alpholio™’s calculations show that, since then through 2014, the fund returned more than the ETF in about 56% of all rolling 12-month periods. Moreover, the fund outperformed the ETF in 62% of all rolling 24-month periods and 78% of 36-month periods.

Over the same analysis interval, the fund had a total cumulative return of about 130% (annualized 9.2%), with a standard deviation of 15.1%, Sharpe ratio of 0.58, and maximum drawdown of 44%. For the ETF, these figures were 89% (annualized 7%), 16.1% (higher volatility), 0.42 (lower risk-adjusted returns), and 55.4% (bigger drawdown), respectively. In addition, the fund’s beta was 0.95 compared to 1.01 for the ETF. Clearly, the fund’s performance was superior to that of its benchmark.

Let’s take a closer look at the performance of Robeco Boston Partners All-Cap Value fund using Alpholio™’s patented methodology. In the simplest form thereof, the reference portfolio has both fixed ETF membership and weights over the entire analysis period. This type of analysis shows that the fund’s top-five equivalent positions were in the PowerShares Dynamic Large Cap Value Portfolio (PWV; weight of 17.2%), iShares Morningstar Mid-Cap Value ETF (JKI; 14.8%), PowerShares Dynamic Market Portfolio (PWC; 10.2%), Health Care Select Sector SPDR® Fund (XLV; 9.7%), and Energy Select Sector SPDR® Fund (XLE; 8.2%). This static reference portfolio had an annualized standard deviation of 14.9%. The fund generated approximately 1.36% of annualized discounted cumulative RealAlpha™ vs. this reference portfolio (to learn more, please visit our FAQ).

In a more elaborate form, Alpholio™’s methodology allows for the weights of ETFs in the reference portfolio to fluctuate over the analysis period. The following chart shows the resulting cumulative RealAlpha™ for the fund:

Cumulative RealAlpha™ for Robeco Boston Partners All-Cap Value Fund (BPAVX)

The cumulative RealAlpha™ exhibited two low-growth phases (from 2005 through 2008, and from 2010 through 2012) as well as two high-growth phases (in 2009 and since 2013). Over the entire analysis period, the fund produced about 2.8% or regular and 2% of lag annualized discounted RealAlpha™. Since the latter figure was smaller than the former one, not all of new investment ideas worked out as well as intended for the fund: In some months, the investor would have been better off by sticking to the reference ETF portfolio. The fund’s RealBeta™ in that period was approximately 0.96.

The following chart illustrates changes of ETF weights in the reference portfolio for the fund over a slightly broader interval:

Reference Weights for Robeco Boston Partners All-Cap Value Fund (BPAVX)

The fund’s top equivalent positions were in the Vanguard Value ETF (VTV; average weight of 15.6%), Vanguard Financials ETF (VFH; 12.1%), iShares Core U.S. Value ETF (IUSV; 10.9%), Vanguard Health Care ETF (VHT; 10.3%), and Vanguard Consumer Discretionary ETF (VCR; 8.2%). The fixed-income holdings of the fund were represented by the iShares 1-3 Year Treasury Bond ETF (SHY; 8.9%). The Other component of the chart collectively represents six additional ETFs with smaller average weights.

Under current management, the Robeco Boston Partners All-Cap Value Fund exhibited a solid risk-adjusted performance. The fund’s no-load structure and relatively low fees (although, limited by contract that will soon expire) certainly add to its appeal. Substantial historical distributions, ranging from 7.3% of the net asset value (NAV) in 2011 to 4.9% in 2014, indicate that the fund may be more suitable for tax-deferred accounts.

To learn more about the Robeco Boston Partners All-Cap Value and other mutual funds, please register on our website.

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