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Robeco QI Global Dynamic Duration IH USD

Index: JPM GBI Global Investment Grade Index (hedged into USD)
ISIN: LU1377968059
  • Global government bond exposure with solid credit quality
  • Anticipating the direction of the bond markets
  • Proven track record in multiple market environments
Asset class
Current price ()
Performance YTD ()
Currency USD
Total size of fund ()
Dividend payingNo

About this fund

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 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.

Price development

No performance data available

Price development

Robeco QI Global Dynamic Duration IH USD

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 -4.06%. The fund underperformed the index over August, while relative performance remains strong year-to-date. The overweight position in Germany that was opened in the last part of June explains the majority of the underperformance over August, as German yields increased substantially, reversing the July decline. The tilts in the underlying portfolio detracted somewhat from performance in August, as positive returns from tilts to Japanese bonds and away from British bonds were offset by tilts to intermediate German bonds. All active duration positions are based on the outcomes of our quantitative duration model.

Statistics

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Market development

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After the July rally, government bonds changed course again in August. Yields rose most in Europe, with Bunds down 4.8% and Gilts returning -7.8%. The German 2-year yield rose 92 bps, the largest monthly rise in at least three decades. Some ECB board members argued for a 75 bps rate hike, as high natural gas prices drove up Eurozone inflation to 9.1% YoY, a new record. In the UK, CPI inflation jumped to 10.1%. US inflation for July was below expectations, but Fed officials sounded hawkish and expressed the view that rates should remain higher for longer. In his Jackson Hole speech, Fed Chair Powell underlined this message, while referring to lessons of the high inflation period of the 1970s-80s. US Treasuries were down 2.8% in August.

Fund allocation

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Name Sector Weight
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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 priciple not be distributed as dividend. Therefore the entire result is reflected in the share price development.

ESG Integration policy

The fund incorporates sustainability in the investment process via exclusions, ESG integration, and ESG and environmental footprint targets. The fund complies with Robeco's exclusion policy for countries and does not invest in countries where serious violations of human rights or a collapse of the governance structure take place, or if countries are subject to UN, EU or US sanctions. Via portfolio construction rules the fund targets a better ESG score and a lower carbon footprint than that of the reference index. This ensures that countries with a better ESG score or a lower carbon footprint are more likely to be included in the portfolio.

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 E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrates sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions. 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.

Sustainability profile

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Exclusions

ESG Integration

ESG Target

ESG score target Footprint target
Better than index Better than index

Sustainability

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The fund incorporates sustainability in the investment process via exclusions, ESG integration, and ESG and environmental footprint targets. The fund complies with Robeco's exclusion policy for countries and does not invest in countries where serious violations of human rights or a collapse of the governance structure take place, or if countries are subject to UN, EU or US sanctions. Via portfolio construction rules the fund targets a better ESG score and a lower carbon footprint than that of the reference index. This ensures that countries with a better ESG score or a lower carbon footprint are more likely to be included in the portfolio.

Expectation of fund manager

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The fund's duration policy is driven by the outcomes of our proprietary quantitative duration model. By the end of the month, the model outcomes were neutral for US bonds and positive for German and Japanese bonds. The model's positive outlook on German and Japanese bonds is explained by positive scores for their economic growth, inflation, low-risk and season variables. The model score for the US is lower than for Germany and Japan, because the valuation and monetary policy variables have lower scores for the US.

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn
Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

Olaf Penninga is Portfolio Manager Quant Fixed Income. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. These are all quantitative fixed income strategies. His previous positions with Robeco include that of Lead Portfolio Manager for Robeco’s fundamentally-managed Euro Government Bonds strategy and Researcher with responsibility for fixed income allocation research. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University. Lodewijk van der Linden is Portfolio Manager Quant Fixed Income. He joined Robeco in August 2018. In the period 2015-2018 Lodewijk worked at Aegon Asset Management where he was Risk associate and Team Manager Client Reporting. Lodewijk started his career at PwC as an actuarial consultant in 2013. He holds a Master's in Actuarial Science from the University of Amsterdam and a Master's in Econometrics and Management Science from Erasmus University Rotterdam. Johan Duyvesteyn is Portfolio Manager Quant Fixed Income. His areas of expertise include government bond market timing, credit beta market timing, country sustainability and emerging-market debt. He has published in the Financial Analysts Journal, the Journal of Empirical Finance, the Journal of Banking and Finance, and the Journal of Fixed Income. Johan started his career in the industry in 1999 at Robeco. He holds a PhD in Finance, a Master's in Financial Econometrics from Erasmus University Rotterdam and he is a CFA® charterholder.

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

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU1377968059
BloombergRLORIHU LX
Valoren31825815
WKNA2AJEC
Availability
1st quotation date1458172800000
Close financial year31-12
Legal status
Tracking error limit (%)
Morningstar
Reference index

Cost of this fund

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This fund deducts ongoing charges 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 0.01% 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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