Transamerica Global Multifactor Macro
Data updated: 2020-03-27
C000152517 — Transamerica Global Multifactor Macro. Money Market · $66.45M AUM · 1.61% expense ratio. Holdings, fees, performance and SEC filings.
C000152517 Fund Overview
Transamerica Global Multifactor Macro is a US mutual fund managed by Transamerica Funds, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Transamerica Funds
- Category: Money Market
- Assets under management: $66.45M
- SEC CIK: 0000787623
- SEC series ID: S000048269
- Share class ID: C000152517
C000152517 Investment Objective and Strategy
Transamerica Global Multifactor Macro describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Transamerica Funds.
Investment objective
Seeks positive absolute returns.
Principal investment strategy
Under normal circumstances, the funds sub-adviser, AQR Capital Management, LLC (the sub-adviser), pursues the funds investment objective by investing globally across a wide range of asset classes, including equities, fixed income, currencies and commodities. The fund may take both long and short positions in each of the asset classes using derivative instruments. The sub-adviser generally expects that the fund will have exposure in long and short positions across four major asset classes (commodities, currencies, fixed income and equities), but at any one time the fund may emphasize one or two of the asset classes or a limited number of exposures within an asset class. The fund obtains exposure to asset classes primarily through derivative instruments, such as forwards and futures contracts, options and swaps, including, but not limited to, global developed and emerging market equity index futures, swaps on equity index futures, equity swaps, options, global developed and emerging market currency forwards and futures, commodity futures and swaps, global developed and emerging market fixed income futures, and bond and interest rate futures and swaps (collectively, the Instruments), either by investing directly in those Instruments, or indirectly by investing in a wholly-owned subsidiary of the fund organized as a company under the laws of the Cayman Islands (the Subsidiary) that invests in those Instruments.
The fund may also gain asset class exposures through direct investments. The fund has the flexibility to shift its allocation across asset classes and markets around the world, including emerging markets, based on the sub-advisers assessment of their relative attractiveness. Under normal market conditions, the fund invests at least 40% of its assets (or, if conditions are not favorable, at least 30% of its assets) outside of the U.S. through direct investments, the Instruments or depositary receipts (Foreign Securities). The funds portfolio normally will be composed of investments that are economically tied to no less than three different countries, including the United States. Foreign Securities may include foreign currencies and interest rates, sovereign debt, equity indices representing countries other than the United States and through exposure to companies (i) organized or located outside the United States, (ii) whose primary trading market is located outside the United States or (iii) doing a substantial amount of business outside the United States, which the fund considers as a company that derives at least 50% of its revenue from business outside the United States or has at least 50% of its assets outside the United States.
The sub-adviser allocates among the different asset classes based on their assessed contribution to the funds risk budgeti.e., the targeted level of risk or volatility. The allocation process allows the sub-adviser to make tactical risk adjustments while maintaining long-term strategic risk weights. Within each asset class, approximately 50% of the funds target risk is expected to be allocated based on the macroeconomic indicators, and the remaining 50% of target risk is expected to be allocated based on the value, momentum, and carry indicators discussed below. These relative weights, and the relative weights to each of the value, momentum and carry indicators, can vary depending on market conditions. The sub-adviser will use quantitative and qualitative methods to assess the level of risk (i.e., volatility of return) for the fund.
Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. Higher volatility generally indicates higher risk. The sub-adviser, on average, will target an annualized volatility level for the fund of 8%. The sub-adviser expects that the funds targeted annualized forecasted volatility will typically range between 4% and 12%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Actual or realized volatility can and will differ from the forecasted or target volatility described above. The fund may take a long or short position in an Instrument. The owner/holder of a long position in an Instrument will benefit from an increase in the price of the underlying security or instrument.
The owner/holder of a short position in an Instrument will benefit from a decrease in the price of the underlying security or instrument. The fund goes long Instruments deemed overall attractive, and short Instruments deemed overall unattractive. When there is strong agreement among the indicators of attractiveness discussed below, the long or short position in an Instrument or asset class will generally be given a greater weighting in the portfolio, while conflicting indicators will generally result in a lesser weighting. Individual investments are bought or sold in accordance with periodic re-ranking and rebalancing, the frequency of which is expected to vary depending on the sub-advisers assessment of the investments attractiveness and global market conditions. The sub-adviser uses a bottom up systematic process that considers four primary indicators of attractiveness in determining whether to take a long and/or short position in an asset class through a direct investment or an Instrument: macroeconomic data, value, momentum, and carry.
Macroeconomic Data: The sub-adviser seeks to evaluate the impact of macroeconomic news and macroeconomic trends on the attractiveness of Instruments and asset classes around the world. Macroeconomic themes considered include, but are not limited to, business cycles, international trade, monetary policy, investor sentiment and asset-specific fundamentals. The evaluation of macroeconomic attractiveness includes both quantitative and qualitative components. Quantitative analysis measures an Instruments attractiveness based on the current level and historical evolution of key macroeconomic measures. These measures include, but are not limited to, growth and inflation forecasts, demand for exports, central bank actions and equity market performance. Qualitative input adds a perspective not available through quantitative analysis.
These considerations include, but are not limited to, the sub-advisers assessment of fiscal and monetary policy, trade policy, geo-political risks and supply and demand conditions. Value: Value strategies favor investments that appear cheap over those that appear expensive based on fundamental measures related to price, seeking to capture the tendency for relatively cheap assets to outperform relatively expensive assets. The fund will seek to buy assets that are cheap and sell those that are expensive relative to similar investments globally and relative to their historical averages. Examples of value measures include using price-to-earnings and price-to-book ratios for selecting equities. Momentum: Momentum strategies favor investments that have performed relatively well over those that have underperformed over the medium-term, seeking to capture the tendency that an assets recent performance will continue in the near future.
The fund will seek to buy assets that recently outperformed and sell those that recently underperformed relative to similar investments globally and relative to their historical averages. Examples of momentum measures include simple price momentum for selecting equities and price- and yield-based momentum for selecting bonds. Carry: Carry strategies favor investments with higher yields over those with lower yields, seeking to capture the tendency for higher-yielding assets to provide higher returns than lower-yielding assets. The fund will seek to buy high-yielding assets and sell low-yielding assets relative to similar investments globally and relative to their historical averages. An example of carry measures includes using interest rates to select currencies and bonds. The sub-adviser generally expects that the funds performance will have a low correlation to the performance of the general global equity, fixed income, currency and commodity markets over any given market cycle; however, the funds performance may correlate to the performance of any one or more of those markets over short-term periods.
A significant portion of the funds assets may be invested directly or indirectly in short-term investments, which may include, but are not limited to, U.S. government securities, U.S. government agency securities, short-term fixed income securities, overnight and/or fixed term repurchase agreements, money market mutual fund shares, and cash and cash equivalents with one year or less term to maturity. These cash or cash equivalent holdings serve as collateral for the positions the fund takes and also earn income for the fund. While the fund normally does not engage in any direct borrowing, leverage is implicit in the futures and other derivatives it trades. The funds returns may be volatile due to the significant use of Instruments that have a leveraging effect. The fund generally intends to gain exposure to commodities by investing up to 25% of its total assets in the Subsidiary.
The Subsidiary has the same investment objective as the fund and is advised by Transamerica Asset Management, Inc. and sub-advised by the sub-adviser. The Subsidiary, unlike the fund, may invest without limitation in commodities, commodity index-linked securities and other commodity-linked securities and derivative instruments, such as swaps and futures that provide exposure to the performance of the commodities markets. The Subsidiary may also invest in other instruments, including fixed income instruments, either as investments or to serve as margin or collateral for its derivative positions. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the 1940 Act), and is not subject to the investor protections of the 1940 Act. The Subsidiary will comply with the same 1940 Act asset coverage requirements with respect to its investments in derivatives that are applicable to the funds transactions in derivatives.
The fund may invest in exchange traded funds or exchange traded notes. The fund is non-diversified.
C000152517 Costs and Fees
C000152517 costs about $161 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.61%
- Gross expense ratio: 2.59%
- Portfolio turnover: 0%
- Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)
C000152517 Cashflows
Over the 12 months to 2020-01, Transamerica Global Multifactor Macro had net outflows of $9.97M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2020-01 | −$1.85M |
| 2019-12 | $394.68K |
| 2019-11 | −$886.67K |
| 2019-10 | −$1.51M |
| 2019-09 | −$1.03M |
| 2019-08 | −$5.07M |
C000152517 Debt Constituents
No individual debt constituents are reported in Transamerica Global Multifactor Macro's latest SEC N-PORT filing.
C000152517 Prospectus and SEC Filings
Official Transamerica Global Multifactor Macro filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
Related Funds
Other Money Market funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.