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Robeco QI Global Multi-Factor Credits CH EUR

Index: Bloomberg Barclays Global Aggregate - Corporates (hedged into EUR)
ISIN: LU1246236340
  • Factor investing in investment grade corporate bonds
  • Aiming to generate higher returns with a market-like risk profile
  • For experienced investors looking for style-diversification in a balanced portfolio
Asset class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingYes

About this fund

Robeco QI Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model.The fund's objective is to provide long term capital growth.The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (Low Risk factor), an attractive valuation (Value), a strong performance trend (Momentum) and a small market value of debt (Size). The investment universe includes bonds with at least a BB- rating.

Price development

No performance data available

Price development

Robeco QI Global Multi-Factor Credits CH EUR

Performance

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Fund Index
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YTD
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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 1.16%. Based on closing prices, the fund provided a neutral relative return versus the benchmark. Both issue(r) selection and beta allocation contributed neutrally. The best factor was low-risk/quality, as the underweight in underperforming longer-dated bonds worked well. The size factor also contributed positively, followed by smaller, but still positive, contributions from value and momentum. Sector allocation detracted, with negative effects coming from the overweight in the technology sector and the underweight in REITs. Allocations to countries detracted slightly, with negative contributions from the underweight in France and the overweight in the US. Currency denomination allocation detracted too, due to the underweight in EUR bonds and the overweight in USD bonds. The allocation to subordination groups contributed neutrally, with a positive contribution from the overweight in corporate hybrids being offset by a negative contribution from the underweight in senior financials. Rating allocation within investment grade contributed slightly positively due to a positive contribution from the underweight in A-rated bonds. The off-benchmark position in BBs contributed slightly positively.

Statistics

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Above mentioned ratios are based on gross of fees returns
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Above mentioned ratios are based on gross of fees returns
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Dividend paying history

Date Amount

Market development

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The Bloomberg Barclays Global Aggregate Corporates Index posted a credit return of -0.19% as credit spreads widened somewhat from 86 to 89 bps. The (euro-hedged) total return was 1.20%, as underlying government bond yield curves decreased further. After strong positive momentum in the first half of the year, financial markets faced more volatility in July. The increased spread of the Covid delta variant led investors to question rosy growth forecasts. Although most of the volatility was in other markets, credit markets also weakened during July. The earnings season has started and in general companies are reporting strong Q2 results. In Europe, the ECB frontloaded net PEPP purchases in the first three weeks of July, as issuance and liquidity is usually very thin in August. Chips and several commodities continue to extend their price increases, caused by supply imbalances and higher freight costs. Investment grade outperformed high yield; EUR and GBP bonds outperformed USD bonds; the technology sector underperformed, while REITs and utilities outperformed; subordinated bonds outperformed senior bonds; all on a risk-adjusted basis.

Fund allocation

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Name Sector Weight
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Currency policy

Currency risks are hedged.

Dividend policy

In principle, this share class of the fund will distribute an quarterly dividend.

ESG Integration policy

ESG analysis is systematically incorporated in the highly disciplined investment process. This ensures that companies with higher proprietary Smart ESG scores are more likely to be included in the portfolio, and vice versa. With these portfolio construction rules we aim for an ESG profile and environmental footprint of the fund that is better than the reference index. In addition, our credit analysts use external sources to identify additional ESG risks, e.g. corporate governance issues or companies that have major litigation or regulatory risks. If these ESG risks may result in a material financial impact, we will not invest in these companies.

Investment policy

Robeco QI Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model.The fund's objective is to provide long term capital growth.The fund aims for a better sustainability profile compared to the Benchmark by promoting certain ESG (i.e. Environmental, Social and corporate Governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation and integrating ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list on the basis of controversial behavior, products (including controversial weapons, tobacco, palm oil and fossil fuel) and countries, next to engagement. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (Low Risk factor), an attractive valuation (Value), a strong performance trend (Momentum) and a small market value of debt (Size). The investment universe includes bonds with at least a BB- rating.The majority of bonds selected will be components of the Benchmark, but bonds outside the Benchmark 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

The fund will strive to create a risk profile, which is similar to the reference index. The duration and currency exposure of the portfolio will be hedged to the reference index. The strategy can have significant tracking error versus the reference index. The ratio of the portfolio volatility with respect to the volatility of the reference index is restricted by predefined guidelines. These guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.

Sustainability profile

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Exclusions

Full ESG Integration

Engagement

ESG Target

ESG score target Footprint target
↑Above Index ↓Below Index

ESG Score

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The portfolio ESG score (and E,S and G score) is calculated by multiplying the RobecoSAM Smart ESG Score of each holding by its respective portfolio or index weight. The same methodology is applied in calculating the key ESG Criterion scores. The scores of the portfolio are provided alongside the scores of the index, highlighting the portfolio’s relative sustainability. The colors indicate the score of the portfolio, whilst the shading shows the index.

CGF GMFC_20210731-CGFGMFC_20210731-smartESGScoreTotal.png

Environmental Footprint

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The RobecoSAM footprint ownership of the portfolio expresses the total resource consumption the portfolio finances. Each company's footprint is calculated by normalizing resources consumed by the company's enterprise value. Multiplying these values by the dollar amount invested in each company yields the aggregate footprint ownership figures. The selected index's footprint (for an equivalent $ amount invested in corporates) is provided alongside. The portfolios score is shown in blue and the index in grey.

CGF GMFC_20210731-CGFGMFC_20210731-footprintOwnershipCo2.png
Robeco data based on Trucost data. *
CGF GMFC_20210731-CGFGMFC_20210731-footprintOwnershipWaste.png
Source: Data based on RobecoSAM impact data.
CGF GMFC_20210731-CGFGMFC_20210731-footprintOwnershipWater.png
Source: Data based on RobecoSAM impact data.
* Source: S&P Trucost Limited © Trucost 2021. All rights in the Trucost data and reports vest in Trucost and/or its licensors. Neither Trucost, not its affliates, nor its licensors accept any liability for any errors, omissions, or interruptions in the Trucost data and/or reports. No further distribution of the Data and/or Reports is permitted without Trucost's express written consent.

ESG integration policy

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ESG analysis is systematically incorporated in the highly disciplined investment process. This ensures that companies with higher proprietary Smart ESG scores are more likely to be included in the portfolio, and vice versa. With these portfolio construction rules we aim for an ESG profile and environmental footprint of the fund that is better than the reference index. In addition, our credit analysts use external sources to identify additional ESG risks, e.g. corporate governance issues or companies that have major litigation or regulatory risks. If these ESG risks may result in a material financial impact, we will not invest in these companies.

Expectation of fund manager

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Robeco QI Global Multi-Factor Credits invests systematically in predominantly investment grade credits. It offers balanced exposure to a number of quantitative factors. In the long term, we expect the fund to outperform the market by systematically harvesting factor premiums with a risk profile that is similar to the reference index.

Patrick Houweling, Mark Whirdy
Patrick Houweling, Mark Whirdy

Patrick Houweling, Mark Whirdy

Patrick Houweling is Lead Portfolio Manager and Researcher Quant Credits. Prior to joining Robeco in 2003, he was Risk Manager at Rabobank International where he started his career in 1998. Patrick has published articles in academic finance literature, including the Journal of Banking and Finance, the Journal of Empirical Finance and the Financial Analysts Journal. The article 'Factor Investing in the Corporate Bond Market', co-written by Jeroen van Zundert, received a Graham and Dodd Scroll Award of Excellence for 2017. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam. Mark Whirdy is Portfolio Manager in the Credit team for Robeco’s factor credits strategies: Conservative Credits, Multi-Factor Credits and Multi-Factor High Yield. His areas of expertise include portfolio optimization, credit markets, credit derivatives modelling and quant investment process development. Prior to joining Robeco, Mark was Portfolio Manager in the Quant Credit team at Pioneer Investments and Analyst in the Quantitative Equities team at that firm. He is a graduate from University College Dublin, and holds a Master’s in Business from University of Ulster.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU1246236340
BloombergROMFCHE LX
Valoren28513461
WKNA2ALYS
Availability
1st quotation date1434326400000
Close financial year31-12
Legal status
Tracking error limit (%)
Morningstar
Reference index

Cost of this fund

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
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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.

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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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