Robeco QI Global Dynamic Duration DH USD
- Global government bond exposure with solid credit quality
- Anticipating the direction of the bond markets
- Proven track record in multiple market environments
About this fund
Price development
Performance
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundPerformances.date,'llll') ]}}| Fund | Index | |
|---|---|---|
| 1 month | ||
| 3 months | ||
| YTD | ||
| 1 year | ||
| 2 years | ||
| 3 years | ||
| 5 years | ||
| 10 years | ||
| {{'fund.detail.performance.period.sinceInception' | labelize:[ fundDate(fund.fundPerformances.sinceStart.startDate,'MM-YYYY') ]}} |
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 | |
|---|---|---|
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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Based on transaction prices, the fund's return was 0.10%. The fund's gross return was similar to the benchmark return. The portfolio started the month with underweight duration positions in Germany and Japan; during the month, an underweight in the US was opened and closed before the end of the month. The underweight position in Germany contributed positively as German yields increased, while the underweight positions in Japan and the US detracted as their yields declined. The tilts in the underlying portfolio contributed positively to performance. All active duration positions are based on the outcomes of our quantitative duration model.
Statistics
{{'fund.detail.general.perDate' | labelize:[ fundDate( (fund.fundStatistics.date?fund.fundStatistics.date:fund.fundCharacteristics.date) ,'llll') ]}}| 3 years | 5 years | ||
|---|---|---|---|
| Tracking error ex-post (%) |
|
||
| Information ratio | |||
| Sharpe ratio | |||
| Alpha (%) | |||
| Beta |
|
||
| Standard deviation |
|
||
| Max. monthly gain (%) |
|
||
| Max. monthly loss (%) |
|
| 3 years | 5 years | ||
|---|---|---|---|
| Months outperformance | |||
| Hit ratio (%) | |||
| Months Bull market | |||
| Months outperformance Bull | |||
| Hit ratio Bull (%) | |||
| Months Bear market | |||
| Months outperformance Bear | |||
| Hit ratio Bear (%) |
| Fund | Reference index | ||
|---|---|---|---|
| Rating | |||
| Option Adjusted Modified Duration (years) | |||
| Maturity (years) | |||
| Yield to Worst (%) | |||
| Green Bonds (%) |
Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Government bonds posted a small positive return in April, after the sell-off in the first quarter. The bond markets where yields had risen most in the first months (US, UK, Australia), recovered a bit in April. German yields rose in April, after falling in March. US Treasuries returned 0.8%, German Bunds -0.7% and Japanese government bonds 0.2%. Macroeconomic data confirmed that the US economy is recovering quickly, supported by the large fiscal packages. Financial markets have already moved a lot in the first months of the year to reflect this recovery. The Fed deemed it too early to discuss tapering its bond purchases; it requires a string of strong data releases to do so. The speed of vaccination is now increasing in the Eurozone and lockdown measures are being loosened. The economy is expected to recover and German yields have risen to the highest levels since early 2020, despite the ECB temporarily increasing its bond buying operations.
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
|---|---|---|
Fund Classification
| Yes | No | N/A | ||
|---|---|---|---|---|
| Voting | ||||
| Engagement | ||||
| ESG integration | ||||
| Exclusion |
| Yes | No | N/A | ||
|---|---|---|---|---|
| Screening | ||||
| Integration | ||||
| Sustainability Themed Fund |
Currency policy
All currency risks are hedged.
Derivative policy
Robeco QI Global Dynamic Duration makes use of derivatives in order to implement the duration overlay. In addition, derivatives are used to hedge the currency risks of the portfolio. These derivatives are very liquid.
Dividend policy
All income earned will be accumulated and will in principle not be distributed as dividend. Therefore the entire result is reflected in the share price development.
ESG Integration policy
For Robeco QI Global Dynamic Duration the ESG analysis is systematically incorporated in the highly disciplined investment process by using the RobecoSAM Country Sustainability Ranking. In the portfolio construction we ensure that more sustainable countries are more likely to be included in the portfolio and that the ESG profile of the fund is more sustainable than that of the benchmark.
Investment policy
Robeco QI Global Dynamic Duration is an actively managed fund that invests worldwide in government bonds with investment grade quality.The fund's objective is to provide long term capital growth. The fund promotes ESG (i.e. Environmental, Social and corporate Governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation and integrates ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list on the basis of controversial behavior, products (inclAuding controversial weapons, tobacco, palm oil and fossil fuel) and countries. The fund uses derivatives to dynamically adjust the duration (interest-rate sensitivity) of the portfolio. The duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The ESG scores of countries are a integral part of our bottom-up country allocation decisions. Benchmark: JPM GBI Global Investment Grade Index (hedged into CHF), The majority of bonds selected through this approach will be components of the benchmark, but bonds outside the benchmark index may be selected too. The fund can deviate from the weightings of the benchmark. The fund aims to outperform the benchmark over the long run, whilst still controlling relative risk through the applications of limits (on currencies) to the extent of deviation from the benchmark. This will consequently limit the deviation of the performance relative to the benchmark. The Benchmark is a broad market weighted index that is not consistent with the ESG characteristics promoted by the fund.
Risk policy
Risk management systems continuously monitor the extent to which the portfolio differs from the benchmark. Extreme discrepancies are prevented in this way. The duration model makes use of futures, which can lead to leverage.
Expectation of fund manager
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. By the end of the month, the strategy was positioned for higher bond yields in Germany and Japan. The positions were driven by the growth, inflation, season and trend variables. The strategy had a neutral position in the US, as the negative variables were offset by positive outcomes of the valuation, monetary policy and low-risk variables.
Olaf Penninga
Olaf Penninga is Lead Portfolio Manager for the Dynamic Duration strategy and Portfolio Manager for the Dynamic High Yield strategy. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. One of his previous positions within Robeco was that of Researcher with responsibility for fixed income allocation research, including the research underlying the Dynamic Duration strategy. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in the industry in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University.
Team
Robeco QI Global Dynamic Duration is managed within Robeco’s Quant Allocation team, which consists of six portfolio managers. The team is focused on quantitative allocation strategies including quantitative duration strategies. The team works closely together with fundamental portfolio management teams and with seven dedicated quant allocation researchers. On average, the members of the quant allocation team have an experience in the asset management industry of eighteen years, of which fourteen years with Robeco.
Details
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU0239949414 |
| Bloomberg | RGLUXUD LX |
| Valoren | 2387370 |
| WKN | A0H0UP |
| Availability | |
| 1st quotation date | 1136160000000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
| Morningstar |
|
| Reference index |
Cost of this fund
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundCosts.managementFees.date,'llll') ]}}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 | ||
| Max exit fee | ||
| Max sub fee | ||
| Max switch fee |
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.
