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 0.76%. The fund started the month with an overweight position in Japan and opened a long position in the US during the month. Towards the end of the month, both positions made a small positive contribution 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 (%) |
Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}German Bunds gained 1.0% in July and Japanese government bonds 0.15%, while US Treasuries returned -0.35% (all returns hedged to euros). Yields rose in early July, in the wake of better European production and US payroll data. However, bond markets rallied again in the second half of the month, with German yields hitting new record lows. The Federal Reserve cut rates by 25 bps, but did not signal further rate cuts. The ECB did not deliver a rate cut just yet, but it paved the way for a rate cut at the next meeting in September and potentially a new bond buying program. The Bank of Japan also signaled that it may ease its policy further.
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 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 Global Dynamic Duration invests worldwide in government bonds with investment grade quality. The fund uses bond futures to adjust the duration (interest-rate sensitivity) of the portfolio. Duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The aim of the fund is to protect against rising yields and to benefit from rallying bond markets. The fund is quantitatively driven, as the duration positioning is always based on the outcome of our duration model. The model uses market expectations for variables such as economic growth, inflation and monetary policy, as well as technical variables such as valuation, seasonality and trend to predict the direction of bond markets. Depending on the outcome of the model, the duration of the basis portfolio is increased or decreased by maximum 6 years. The model has shown a solid track record since its inception in 1994. The quantitative duration has proven to have forecasting ability in periods with rising yields as well as in periods with declining yields. Therefore Robeco QI Global Dynamic Duration serves as a very good diversifier in a fixed income portfolio and can function as an airbag during adverse markets.Weekly positioning updates are available upon request.
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. During the month, the model’s bond market outlook improved. This was driven by rising scores for the inflation, season and economic growth variables. Declining commodity prices signal a more benign inflation environment, and declining stock prices signal weakening economic growth expectations; both are positive for expected bond returns. At the end of July, the fund had overweight positions in Japanese and US bonds. In early August, the fund further increased the overweight to six years, as the model added an overweight position in German bonds.
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.
