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Robeco QI Dynamic High Yield IH EUR

Index: Bloomberg Global High Yield Corporate (hedged into EUR)
ISIN: LU1045433247
  • Liquid exposure to global high yield corporates
  • Performance driven by a unique quantitative model
  • An alternative for passive or direct high-yield investments
Asset class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Dynamic High Yield is an actively managed fund that aims to provide long-term capital growth and offers diversified exposure to global high yield corporates, by investing primarily in CDS index derivatives. The selection of these instruments is based on a quantitative model. The performance is model-driven by taking active beta positions to decrease or increase the exposure towards the high-yield market within pre-defined risk limits.

Price development

No performance data available

Price development

Robeco QI Dynamic High Yield IH EUR

Performance

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Fund Index
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The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.
Fund Reference index
The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.

Performance explanation

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Based on transaction prices, the fund's return was 0.42%. The fund's gross return lagged the high yield cash bond market index by -0.10%. The dynamic market timing contributed neutrally, while the region allocation detracted, as the US outperformed Europe. Combined, the market timing and the region allocation contributed -0.22% to performance. The combined return of investing in CDS indices and government bonds outperformed the return of high yield cash bonds and contributed +0.12%. In the long run, we do not expect structural return differences between CDS indices and bonds.

Statistics

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Above mentioned ratios are based on gross of fees returns
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Market development

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The global high yield bond spread decreased by 12 bps. The European iTraxx Crossover Index decreased by 7 bps and the US CDX High Yield Index by 17 bps. Thus the US outperformed Europe in the high yield CDS market. The global CDS index return was 0.88%, with the underlying government bonds making a negative contribution of -0.21%. Therefore, the combined return of investing in CDS indices and government bonds was 0.67% last month, outperforming the 0.55% of the high yield cash bond index. August was a very calm month for corporate bond markets. While there was some intra-month volatility in equity markets, credit spreads hardly moved. The concerns about the economic growth prospects increased, as the Delta variant continued to spread. For example, in the US job reports disappointed and commodity markets such as oil and iron ore weakened. The so-called reopening trades continue to underperform, as investors are worried about the recovery path in sectors such as airlines and leisure. The move upwards in Treasury yields was triggered by comments from central bank officials and a jump in inflation.

Fund allocation

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Name Sector Weight
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Currency policy

Currency risks are hedged.

Dividend policy

All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.

ESG Integration policy

For Robeco QI Dynamic High Yield the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.

Investment policy

Robeco QI Dynamic High Yield offers well-diversified exposure to US and European high yield corporates by investing in highly liquid CDS indices. These indices are much more liquid than direct investments in high yield bonds. Because of their high liquidity, investors can use these CDS indices to efficiently get high yield exposure with much lower transaction costs than through high yield bonds. The performance of Robeco QI Dynamic High Yield is driven by a unique quantitative market-timing model. This proprietary model has a track record of over 10 years. The model is based on academic research and uses a variety of factors, amongst others from credit and equity markets, to forecast credit returns. Based on this forecast, the exposure of the fund to the high yield corporate bond market will be decreased or increased. As a result, the beta of the portfolio varies between 0.5 and 1.5, to reduce risk in declining markets and to benefit more in rising markets. Robeco QI Dynamic High Yield Fund aims to offer a better return than the Bloomberg Barclays Global High Yield Corporate index. The index is used to express the benefits of the strategy as an alternative to passive or direct investments in high yield bonds. Weekly positioning updates are available upon request.

Risk policy

The investment strategy of the fund aims to outperform its 100% exposure to high yield corporates by taking active beta positions based on Robeco's quantitative market timing model. These active positions are set to always meet the predefined guidelines. As the investment exposure of the fund is obtained to a material degree through derivatives, it is important to manage counterparty risk. Therefore the credit quality of the counterparties is monitored and collateral is exchanged on a daily basis to reflect market movements in the value of the instruments. The predefined guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.

Sustainability profile

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Exclusions

Engagement

ESG integration policy

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For Robeco QI Dynamic High Yield the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.

Expectation of fund manager

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The positions of the fund are fully determined by the outcome of our proprietary model. By the end of the month, the fund had a neutral beta position of 1.0. The positive momentum variable is offset by the negative season, macro and valuation variables. The region allocation had an overweight position in Europe and an underweight position in the US, based on relative valuation.

Johan Duyvesteyn, Patrick Houweling
Johan Duyvesteyn, Patrick Houweling

Johan Duyvesteyn, Patrick Houweling

Mr. Johan Duyvesteyn is Portfolio Manager and Quantitative Researcher with Robeco. Johan has been active in the industry and with Robeco since 1999. He started his career as researcher. His areas of expertise are government bond market timing, country sustainability and emerging debt. Johan has published several articles in the academic finance literature, including the Journal of Empirical Finance, the Journal of Banking and Finance and the Journal of Fixed Income. Johan holds a Ph.D. in Finance as well as a Master's degree in Financial Econometrics from the Erasmus University Rotterdam. He became a CFA charter holder in 2005 and is registered with the Dutch Securities Institute. Patrick Houweling is Lead Portfolio Manager and Researcher Quant Credits. Prior to joining Robeco in 2003, he was Risk Manager at Rabobank International where he started his career in 1998. Patrick has published articles in academic finance literature, including the Journal of Banking and Finance, the Journal of Empirical Finance and the Financial Analysts Journal. The article 'Factor Investing in the Corporate Bond Market', co-written by Jeroen van Zundert, received a Graham and Dodd Scroll Award of Excellence for 2017. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU1045433247
BloombergRQHIHEU LX
Valoren23932568
WKNA1XFMA
Availability
1st quotation date1395964800000
Close financial year31-12
Legal status
Tracking error limit (%)
Morningstar
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
Management fee
Service fee

Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

Extra fees

max entry fee
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Fiscal product treatment

The fund is established in Luxembourg and is subject to the Luxembourg tax laws and regulations. The fund is not liable to pay any corporation, income, dividend or capital gains tax in Luxembourg. The fund is subject to an annual subscription tax ('tax d'abonnement') in Luxembourg, which amounts to 0.01% of the net asset value of the fund. This tax is included in the net asset value of the fund. The fund can in principle use the Luxembourg treaty network to partially recover any withholding tax on its income.

Fiscal treatment of investor

Investors who are not subject to (exempt from) Dutch corporate-income tax (e.g. pension funds) are not taxed on the achieved result. Investors who are subject to Dutch corporate-income tax can be taxed for the result achieved on their investment in the fund. Dutch bodies that are subject to corporate-income tax are obligated to declare interest and dividend income, as well as capital gains in their tax return. Investors residing outside the Netherlands are subject to their respective national tax regime applying to foreign investment funds. We advise individual investors to consult their financial or tax adviser about the tax consequences of an investment in this fund in their specific circumstances before deciding to invest in the fund.

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Disclaimer Robeco Switzerland Ltd.

The information contained on these pages is for marketing purposes and solely intended for Qualified Investors in accordance with the Swiss Collective Investment Schemes Act of 23 June 2006 (“CISA”) domiciled in Switzerland, Professional Clients in accordance with Annex II of the Markets in Financial Instruments Directive II (“MiFID II”) domiciled in the European Union und European Economic Area with a license to distribute / promote financial instruments in such capacity or herewith requesting respective information on products and services in their capacity as Professional Clients. 

The Funds are domiciled in Luxembourg and The Netherlands. ACOLIN Fund Services AG, postal address: Affolternstrasse 56, 8050 Zürich, acts as the Swiss representative of the Fund(s). UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zurich, postal address: Europastrasse 2, P.O. Box, CH-8152 Opfikon, acts as the Swiss paying agent. The prospectus, the Key Investor Information Documents (KIIDs), the articles of association, the annual and semi-annual reports of the Fund(s) may be obtained, on simple request and free of charge, at the office of the Swiss representative ACOLIN Fund Services AG. The prospectuses are also available via the website www.robeco.ch. Some funds about which information is shown on these pages may fall outside the scope of the Swiss Collective Investment Schemes Act of 26 June 2006 (“CISA”) and therefore do not (need to) have a license from or registration with the Swiss Financial Market Supervisory Authority (FINMA). 

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