Robeco QI Global Multi-Factor Credits ZH EUR
- 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
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%. Based on NAV, the fund realized a relative return of -5 bps versus the benchmark. Beta allocation contributed somewhat positively, but this was offset by a larger negative contribution from issue(r) selection by the multi-factor model. The size factor was the strongest negative contributor to the relative performance. The value factor also performed somewhat negatively. The company selection of the low-risk factor contributed positively, and its maturity allocation neutrally. The contribution of the momentum factor was only slightly positive. The effects of allocations to currency denominations, countries and ratings were very small last month. The overweight in GBP bonds detracted somewhat. Sector allocation contributed positively: the overweights in consumer cyclical and technology names made positive contributions, while the underweights in banking and energy contributed negatively. Issue(r) selection within the consumer cyclical sector was negative, as were selection effects within USD-denominated bonds, senior corporates and BBB-rated bonds.
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') ]}}The Bloomberg Barclays Global Aggregate Corporates Index posted a credit spread return of 97 bps in December as spreads tightened from 108 to 98 bps. Underlying government bond yields increased further, reducing the total return to 1 bps (euro-hedged). Financial markets were very bullish in December, as witnessed by strong spread tightening in credit markets and new all-time highs in equity markets. The positive sentiment was driven by various positive developments: there was new hope on a US-China interim trade deal and the victory of the Conservative party in the UK elections made Brexit finally possible. Last quarter, macro data in the US and Europe was marginally more positive, resulting in more optimism about the growth outlook. This also resulted in interest rates moving up globally from the very low levels seen in September and October. GBP paper underperformed USD and EUR credits. The energy, technology and banking sectors outperformed and the capital goods, electric utilities and agencies sectors underperformed. AAAs outperformed lower rating categories, all on a risk-adjusted basis.
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
To preserve the value of the investments of Robeco Global Multi-Factor Credits IH EUR in Euro against the fluctuations of other currency positions in the portfolio, derivatives are used for currency hedging transactions.
Dividend policy
All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.
ESG Integration policy
ESG analysis is systematically incorporated in the highly disciplined investment process. This ensures that companies with higher ESG scores from RobecoSAM are more likely to be included in the portfolio, and vice versa. With these portfolio construction rules we aim for an ESG profile of the fund that is above that of 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 aims to provide long-term capital growth by investing systematically in predominantly investment grade credits and offering exposure to a number of quantitative strategies in a diversified way. It uses a strategy focusing on bonds with a low level of expected risk (Low volatility); a strategy focusing on bonds with an attractive valuation (Value); and a strategy focusing on bonds of companies with a medium-term attractive performance trend (Momentum). The fund on average offers balanced exposure to these factors. A disciplined investment process is used for the portfolio's construction, starting with a global universe of all credit bonds, and including those bonds with at least a BB rating to capture the fallen angels and rising stars. The quantitative multi-factor ranking model ranks all bonds from the most attractive to least attractive. In the portfolio's construction, bonds from the top of the ranking will be bought, resulting in a balanced and diversified portfolio, reflecting bonds' liquidities and constraints on sectors and currencies, BBs and emerging markets. The Barclays Global Aggregate Corporates Index (hedged into EUR) is used as an index for the fund. The fund will strive to create a risk profile which is similar to this reference index, but with a high conviction approach that aims to generate higher returns, due its exposures to factors. The fund can have a significant tracking error versus the index.
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.
Expectation of fund manager
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}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 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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU1821197255 |
| Bloomberg | RQGMZHE LX |
| Valoren | |
| WKN | |
| Availability | |
| 1st quotation date | 1527120000000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
| 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 0.01% 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.
