Robeco QI Global Multi-Factor Credits ZH EUR

The Bloomberg Global Aggregate Corporates Index posted a credit return of 0.69%, as credit spreads tightened from 133 to 124 bps. The euro-hedged total return was -2.32%, as underlying government bond yields increased substantially. Given Russia's invasion of Ukraine and the major package of sanctions imposed on Russia's economy, it was a very bad quarter for Russian assets. Initially, losses were also seen broadly across equities, credit and government bonds. As energy prices skyrocketed and the market became more convinced that the conflict would be contained to Ukraine and Russia, inflation pressures started dominating market pricing, and credit and equity markets recovered. Government bond yields rose fast, helped as well by hawkish central bank rhetoric. Fed officials pointed to the possibility of 50-bps rate hikes and a quick balance sheet reduction, after a 25-bps step in March. The ECB continued to pave the way for hiking rates later this year.

Currency risks are hedged.

All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.

The fund incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, and engagement. The fund does not invest in issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Via portfolio construction rules the fund targets a better ESG score and lower carbon, water and waste footprints than that of the reference index. This ensures that credit issuers with better ESG scores or lower environmental footprints are more likely to be included in the portfolio, and vice versa. In addition, our credit analysts check buy candidates and portfolio holdings for ESG risks that may have material impact for bond holders. Lastly, where corporate issuers are flagged for breaching international standards in our ongoing monitoring, the issuer will become subject to engagement.

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 promotes certain ESG (environmental, social and corporate governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, and integrates ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list based on controversial behavior, products (including controversial weapons, tobacco, palm oil and fossil fuel) and countries, alongside 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, while still controlling relative risk through the application of limits (on currencies) to the extent of the 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.

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.