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Based on transaction prices, the fund's return was 0.95%. The fund benefited strongly from the positive bond market returns with its maximum duration of 6 years throughout the month. As government bond yields declined in Germany, the US and Japan, the long positions in all three regions contributed positively to the return. For the full year 2018, the fund has strongly outperformed cash (its benchmark). It has benefited from rising yields with short duration positions in the first months of the year and from rallying government bond markets with long positions in the last months. All active duration positions are based on the outcomes of our quantitative duration model.
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Government bonds rallied in December, with gains of 1.9% in US Treasuries, 1.0% in Japanese government bonds and 0.5% in German Bunds (all hedged to euro). Worries about weaker growth, falling oil prices, wider credit spreads and the worst December for US stock markets since 1931 all contributed to a strong government bond rally. Despite the turmoil in financial markets, the Fed hiked rates at its 19 December meeting. Markets no longer believe that the Fed will continue hiking rates; actually the market started to discount some probability of rate cuts in 2019 or 2020.
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Sustainability Themed Fund |
All currency risks are hedged.
Robeco QI Long/Short Dynamic Duration makes use of derivatives in order to implement the duration overlay. In addition, derivatives are used to hedge the currency risks of the portfolio. These derivatives are very liquid.
In principle, Robeco QI Long/Short Dynamic Duration (EUR) E-shares distributes dividend annually.
For Robeco QI Long/Short Dynamic Duration, in terms of Sustainability Investing, the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.
Robeco QI Long/Short Dynamic Duration invests its cash in a solid fixed income portfolio consisting of short term instruments. The fund implements a duration overlay via bond futures to either extend the portfolio duration or to create negative duration. The aim of the fund is to generate positive total returns in markets with either falling or rising bond markets. Duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets based on financial market data. The fund is quantitatively driven, as the duration positioning is always based on the outcome of our duration model. The model uses market variables such as economic growth, inflation and monetary policy, as well as technical variables such as valuation, seasonality and trend to predict the direction of bond markets. Depending on the outcome of the model, the duration of the basis portfolio is increased or decreased by maximum 6 years. The model has shown a solid track record since its inception in 1994. The quantitative duration has proven to have forecasting ability in periods with rising yields as well as in periods with declining yields. Therefore Robeco QI Long/Short Dynamic Duration serves as a very good diversifier in a fixed income portfolio as the fund is able to deliver positive total returns in both a falling and rising interest rate market environment.Weekly positioning updates are available upon request.
Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.
The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. The fund has overweight positions in all three markets – Germany, the US and Japan. The economic growth, inflation and trend variables are highly positive for all three bond markets.
Mr. Olaf Penninga is a Senior Portfolio Manager with Robeco's Rates team. Previous affiliations include a position as a Senior Quantitative Researcher with Robeco. Prior to rejoining Robeco in 2002, Olaf was employed by Interpolis as Investment Econometrician for one year. Olaf started his career in the Investment Industry in 1998. He holds a Master's degree in Mathematics (cum laude) from Leiden University.
Robeco QI Long/Short Dynamic Duration is managed within Robeco’s Rates team, which consists of four portfolio managers. The team is focused on government bond strategies including quantitative duration strategies. The team works closely together with four dedicated quantitative researchers and four fixed income traders. On average, the members of the rates team have an experience in the asset management industry of sixteen years, of which ten years with Robeco.
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ISIN | LU0230834854 |
Bloomberg | ROBFLXE LX |
Valoren | 2283607 |
WKN | A0HGD5 |
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1st quotation date | 1128297600000 |
Close financial year | 31-12 |
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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.
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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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.
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Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco/RobecoSAM AG product should only be made after reading the related legal documents such as management regulations, articles of association, prospectuses, key investor information documents and annual and semi-annual reports, which can be all be obtained free of charge at this website, at the registered seat of the representative in Switzerland, as well as at the Robeco/RobecoSAM AG offices in each country where Robeco has a presence. In respect of the funds distributed in Switzerland, the place of performance and jurisdiction is the registered office of the representative in Switzerland.
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