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Robeco QI Global Diversified Carry F EUR

ISIN: LU1241711487
  • Aims to generate income from equities, fixed income and currencies in developed markets.
  • Opportunity to diversify ones portfolio from traditional equities and bonds.
  • Liquid, transparant and systematic investment approach.
Assets class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Diversified Carry invests in equity indices, fixed income markets and currencies throughout the world, such as Australia, Japan, Germany, UK and US. The aim is to continuously select the equity markets that will pay the highest dividends, the fixed income markets with the highest coupon payments, and the currencies with the highest short-term interest rates.

Price development

No performance data available

Price development

Robeco QI Global Diversified Carry F EUR

Performance

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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 0.68%. The carry factor (‘Collect income’) stands at the core of the fund. A carry strategy entails buying high income assets and selling low income assets, generating a steady income if prices do not move. Traditional carry strategies focus solely on the highest income and ignore price movement impacts, leaving them open to significant price risk. We mitigate this risk through three steps. First, we take long and short positions per asset class, effectively neutralizing systematic market risk, to harvest a strong and steady market agnostic carry premium. The second step is to supplement our decision making with a momentum factor (‘Follow the trend’), where we increase allocation to recent winners and decrease allocation to recent losers. As a third risk mitigation step we invest broadly, in currencies, fixed income and equities. The historical pairwise carry premium correlation for these asset classes is low, allowing us to diversify away unrewarded risks. Combined, the strategy harvests a steady and robust carry premium. The carry factor offers strong risk-adjusted performance, is robust to falsification, persistent, explainable and executable.

Statistics

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Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
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ESG integration
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Sustainability Themed Fund

Currency policy

Except for the active currency positions, currency risks are hedged to the base currency of the fund (EUR).

Dividend policy

This share class of the fund does not distribute dividend.

ESG Integration policy

ESG stands at the core of the fund and is integral to Robeco’s overall strategy. Environment, Social and Governance (ESG) aspects are systematically integrated in our highly disciplined investment process in several ways. Firstly, the portfolio’s ESG score is substantially better than the reference index (market for MFAR). This score is developed by sustainability expert RobecoSAM and covers approximately 4,500 companies. Also, the environmental footprint of greenhouse gas emissions, energy consumption, water use and waste generation is substantially lower than the reference index (market for MFAR). Furthermore, we exclude Controversial Weapons, companies with Controversial Behavior and Tobacco from the investable universe and we continuously monitor our universe for companies with corporate governance issues, with major litigations or regulatory risk. Finally, we conduct proxy voting and engagement activities to improve companies’ behavior on ESG themes. All the above results in an ESG profile of the fund that is, on average, substantially better than that of its peers.

Investment policy

Robeco QI Global Diversified Carry invests in equity indices, fixed income markets and currencies throughout the world, such as Australia, Japan, Germany, UK and US. The aim is to continuously select the equity markets that will pay the highest dividends, the fixed income markets with the highest coupon payments, and the currencies with the highest short-term interest rates. The fund is an absolute return fund based on quantitative models with the primary aim to generate income with limited net market exposure. This is done through long/short investing in equity indices, fixed income markets and currencies in developed markets throughout the world.

Risk policy

Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.

Guido Baltussen, Thibault Lair, Lodewijk van der Linden, Klaas Smits
Guido Baltussen, Thibault Lair, Lodewijk van der Linden, Klaas Smits

Guido Baltussen, Thibault Lair, Lodewijk van der Linden, Klaas Smits

Guido Baltussen is Head of the Quant Allocation team and Lead Portfolio Manager Liquid Alternatives and Multi Asset strategies. He also holds a position as Associate Professor at Erasmus University Rotterdam. Before joining Robeco in 2017, Guido was Head of Fixed Income and Multi Asset Research at NN Investment Partners. He started his career in the investment industry in 2004 and has published in highly ranked academic journals such as the American Economic Review, Management Science and the Journal of Financial and Quantitative Analyses. Guido holds a PhD and a Master's (cum laude) in Financial and Business Economics from Erasmus University Rotterdam. Thibault Lair is Portfolio Manager Quant Multi Asset products in the Quant Allocation team. His areas of expertise include the development and review of directional and relative value systematic strategies across asset classes. Prior to joining Robeco in 2018, Thibault was a Quantitative Stategist at NN Investment Partners in the period 2008-2018. He started his career in the investment industry in 2007 at RBC Dexia. Thibault is a PhD candidate and holds a Master's in Finance from the Université du Québec à Montréal. He also is a CFA® charterholder and Certified FRM. Lodewijk van der Linden is Portfolio Manager within the Quant Allocation team. His area of expertise is multi-asset factor investing. Prior to joining Robeco in August 2018, Lodewijk held several positions at Aegon, most recently as Team Manager of Client Reporting at Aegon Asset Management. He started his career as an actuarial consultant at PwC. He holds a Master's degree in Actuarial Science from the University of Amsterdam and a Master's degree in Econometrics and Management Science from the Erasmus University Rotterdam. Mr. Smits is responsible for the management and development of Robeco's Multi Asset Quant capabilities and part of the Investment Solutions team. Prior he was responsible for developing Robeco's FamdA capabilities in both listed and private equity. Before that he worked for Robeco in New York managing the Fixed Income Allocation team. From 2000 to 2007 he was Head of the Robeco's Investment Grade and High Yield team.  Prior to joining Robeco, he worked for Interpolis, as Senior Fixed Income Portfolio Manager.  Mr. Smits began his investment career with Assicurazioni Generali in 1991. Mr. Smits holds a Bachelor's degree from the Institute for Business Administration and Economics, Groningen, the Netherlands.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU1241711487
BloombergRGDFEUR LX
Valoren28419474
WKNA2AHFJ
Availability
1st quotation date1440460800000
Close financial year31-12
Legal status
Tracking error limit (%)
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Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
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Transaction costs

The expected transaction costs are

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This fund may also deduct a performance fee of

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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 0.05% 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

The fiscal consequences of investing in this fund depend on the investor's personal situation. For private investors in the Netherlands real interest and dividend income or capital gains received on their investments are not relevant for tax purposes. Each year investors pay income tax on the value of their net assets as at 1 January if and inasmuch as such net assets exceed the investor’s tax-free allowance. Any amount invested in the fund forms part of the investor's net assets. Private investors who are resident outside the Netherlands will not be taxed in the Netherlands on their investments in the fund. However, such investors may be taxed in their country of residence on any income from an investment in this fund based on the applicable national fiscal laws. Other fiscal rules apply to legal entities or professional investors. We advise 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.

Important legal information

The content displayed on this website is exclusively directed at qualified investors, as defined in the swiss collective investment schemes act of 23 june 2006 ("cisa") and its implementing ordinance, or at “independent asset managers” which meet additional requirements as set out below. Qualified investors are in particular regulated financial intermediaries such as banks, securities dealers, fund management companies and asset managers of collective investment schemes and central banks, regulated insurance companies, public entities and retirement benefits institutions with professional treasury or companies with professional treasury.

The contents, however, are not intended for non-qualified investors. By clicking "I agree" below, you confirm and acknowledge that you act in your capacity as qualified investor pursuant to CISA or as an “independent asset manager” who meets the additional requirements set out hereafter. In the event that you are an "independent asset manager" who meets all the requirements set out in Art. 3 para. 2 let. c) CISA in conjunction with Art. 3 CISO, by clicking "I Agree" below you confirm that you will use the content of this website only for those of your clients which are qualified investors pursuant to CISA.

Representative in Switzerland of the foreign funds registered with the Swiss Financial Market Supervisory Authority ("FINMA") for distribution in or from Switzerland to non-qualified investors is ACOLIN Fund Services AG, Affolternstrasse 56, 8050 Zürich, and the paying agent is UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zürich. Please consult www.finma.ch for a list of FINMA registered funds.

Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco/RobecoSAM AG product should only be made after reading the related legal documents such as management regulations, articles of association, prospectuses, key investor information documents and annual and semi-annual reports, which can be all be obtained free of charge at this website, at the registered seat of the representative in Switzerland, as well as at the Robeco/RobecoSAM AG offices in each country where Robeco has a presence. In respect of the funds distributed in Switzerland, the place of performance and jurisdiction is the registered office of the representative in Switzerland.

This website is not directed to any person in any jurisdiction where, by reason of that person's nationality, residence or otherwise, the publication or availability of this website is prohibited. Persons in respect of whom such prohibitions apply must not access this website.

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