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Robeco QI Global Multi-Factor High Yield FH EUR

Index: Bloomberg Barclays Global High Yield Corporates ex. Financials (hedged into EUR)
ISIN: LU1809229039
  • Factor investing in high yield bonds
  • Aiming to generate higher returns with a market-like risk profile
  • For investors looking for style-diversification in a balanced portfolio
Assets class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Multi-Factor High Yield  invests systematically in high yield bonds. The selection of these bonds is based on a quantative model. The fund offers balanced exposure to a number of proven 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 a rating of “BB+” or equivalent or lower by at least one of the recognized rating agencies or with no rating.

Price development

No performance data available

Price development

Robeco QI Global Multi-Factor High Yield FH EUR

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 0.24%. Based on NAV, the fund realized a relative return of -1 bps versus the benchmark. Beta allocation contributed somewhat negatively, consisting of a neutral contribution from the underweight beta position of the bond portfolio and a negative contribution from the beta hedge, implemented with CDS indices. Issue(r) selection by the multi-factor model contributed somewhat positively. The value factor was the worst-performing factor over the month and contributed substantially negatively to performance. The size factor was also a detractor, but to a lesser extent than the value factor. The momentum and low-risk factors contributed neutrally last month. The underweights in issuers from the UK and the US contributed somewhat positively to performance. The underweight in EM names made a small negative contribution. The overweight in BBs and especially the underweight in CCCs contributed positively. The portfolio’s underweight in communications and overweight in energy contributed negatively. The overweight in consumer non-cyclical companies made a small positive contribution.

Statistics

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Market development

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The Bloomberg Barclays Global High Yield Corporates ex-Financials Index posted a credit spread return of 56 bps in July as spreads were more or less unchanged. Underlying government bond yields detracted somewhat and brought the total return to 31 bps (euro-hedged). Markets were again mainly driven by central banks, and not so much by economic data or corporate earnings. ECB president Draghi repeated his message that the ECB is willing to use all tools to reach its inflation target, including purchasing corporate bonds. The Fed delivered its first rate cut in 11 years, but Chairman Powell indicated it was a “mid-cycle adjustment” rather than a full cutting cycle. Global trade tensions remain a reason to cut rates further, and US President Trump subsequently announced a 10% tariff on an additional USD 300 billion of imports from China. Over the month, EUR bonds outperformed USD bonds; shorter-dated bonds outperformed longer-dated bonds; higher-rated bonds outperformed lower-rated bonds; emerging markets outperformed developed markets; capital goods, communications and technology outperformed, and natural gas utilities and especially energy underperformed; all on a risk-adjusted basis.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
Engagement
ESG integration
Exclusion
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Sustainability Themed Fund

Currency policy

All currency risks are hedged.

Derivative policy

The fund fund make use of derivatives for hedging purposes as well as for investment purposes.

Dividend policy

This share class of the fund does not distribute dividend.

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 High Yield aims to provide long-term capital growth by investing systematically in high yield bonds and offering exposure to a number of proven factors in a diversified way. It selects bonds with a low level of expected risk (Low Risk); an attractive valuation (Value); a medium-term attractive performance trend (Momentum); and a small market value of debt (Size). 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 bonds with a rating of BB+ or equivalent or lower. 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, currencies-denominations, and subordinations. Bloomberg Barclays Global High Yield Corporates ex. Financials is used as a benchmark for the fund. The fund will strive to create a risk profile which is similar to this 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

Risk management is fully embedded in the investment process to ensure that positions always meet predefined guidelines.

Expectation of fund manager

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Robeco QI Global Multi-Factor High Yield invests systematically in high yield corporate bonds. 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
ISINLU1809229039
BloombergROFHFHE LX
Valoren41415090
WKN
Availability
1st quotation date1528156800000
Close financial year31-12
Legal status
Tracking error limit (%)
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
Management fee
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Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

Extra fees

max entry fee
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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 0.05% 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.

Important legal information

The content displayed on this website is exclusively directed at qualified investors, as defined in the swiss collective investment schemes act of 23 june 2006 ("cisa") and its implementing ordinance, or at “independent asset managers” which meet additional requirements as set out below. Qualified investors are in particular regulated financial intermediaries such as banks, securities dealers, fund management companies and asset managers of collective investment schemes and central banks, regulated insurance companies, public entities and retirement benefits institutions with professional treasury or companies with professional treasury.

The contents, however, are not intended for non-qualified investors. By clicking "I agree" below, you confirm and acknowledge that you act in your capacity as qualified investor pursuant to CISA or as an “independent asset manager” who meets the additional requirements set out hereafter. In the event that you are an "independent asset manager" who meets all the requirements set out in Art. 3 para. 2 let. c) CISA in conjunction with Art. 3 CISO, by clicking "I Agree" below you confirm that you will use the content of this website only for those of your clients which are qualified investors pursuant to CISA.

Representative in Switzerland of the foreign funds registered with the Swiss Financial Market Supervisory Authority ("FINMA") for distribution in or from Switzerland to non-qualified investors is ACOLIN Fund Services AG, Affolternstrasse 56, 8050 Zürich, and the paying agent is UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zürich. Please consult www.finma.ch for a list of FINMA registered funds.

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