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{{'fund.detail.performance.period.sinceInception' | labelize:[ fundDate(fund.fundPerformances.sinceStart.startDate,'MM-YYYY') ]}} |
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Based on transaction prices, the fund's return was -0.44%. The dynamic duration strategy limited the impact of rising yields on the fund's return. The portfolio had its maximum underweight duration of six years below index level throughout the month. The underweight duration position contributed positively to the return of the portfolio, as yields increased in all three markets with active duration positions: Germany, the US and Japan. The tilts in the underlying portfolio detracted slightly from performance. All active duration positions are based on the outcomes of our quantitative duration model.
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Green Bonds (%) |
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Government bond yields rose in January, especially in the US and the UK. US Treasuries returned -1.3%, German Bunds -0.5% and Japanese government bonds -0.3% (all hedged to euros). The rise in US yields can be explained by heightened inflation expectations, anticipation of sizable fiscal stimulus with a Democrat majority in Congress and speculation on a tapering of Fed bond purchases. UK Gilts reversed their December gains, when Brexit negotiations had spurred a flight to safety. The ECB stated after its January meeting that "the PEPP envelope need not be used in full", i.e. it could buy fewer bonds than previously announced. The Bank of Japan minutes revealed that its board discussed widening the bandwidth within which it allows 10-year yields to move.
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Sustainability Themed Fund |
All currency risks are hedged.
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 is distributed annually.
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.
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. The aim of the fund is to protect against rising yields and to benefit from rallying bond markets. Duration positioning is based on our proprietary quantitative duration model, which predicts the direction of the bond markets using financial market data. The model uses market expectations for variables such as economic growth, inflation and monetary policy, as well as valuation and technical variables such as 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 strategy 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 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.
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 the US, Germany and Japan. The positions are driven by the growth, inflation, low-risk, season and trend variables.
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.
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.
Management company | |
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ISIN | LU1664640726 |
Bloomberg | ROQIEHU LX |
Valoren | 37873596 |
WKN | A2DWFS |
Availability | |
1st quotation date | 1502928000000 |
Close financial year | 31-12 |
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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.
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.
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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