Robeco QI Global Multi-Factor Credits ZH EUR

The Bloomberg Barclays Global Aggregate Corporates Index posted a credit return of 0.01%, as credit spreads widened marginally from 89 to 90 bps. The (euro-hedged) total return was -0.32%, as underlying government bond yield curves increased. August was a very calm month for corporate bond markets. While there was some intra-month volatility in equity markets, credit spreads hardly moved. The concerns about the economic growth prospects increased, as the Delta variant continued to spread. For example, in the US job reports disappointed and commodity markets such as oil and iron ore weakened. The so-called reopening trades continue to underperform, as investors are worried about the recovery path in sectors such as airlines and leisure. The move upwards in Treasury yields was triggered by comments from central bank officials and a jump in inflation. High yield outperformed investment grade; GBP and USD bonds outperformed EUR bonds; the insurance and banking sectors outperformed, while consumer non-cyclical and electric utilities underperformed; subordinated bonds outperformed senior bonds; all on a risk-adjusted basis.

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.

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.

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.

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.