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Robeco QI Long/Short Dynamic Duration EH EUR

ISIN: LU0230834854
  • Benefiting from falling and rising bond yields
  • Quantitative model anticipating direction bond markets
  • Proven track record in multiple market environments
Asset class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingYes

About this fund

Robeco QI Long/Short Dynamic Duration is an actively managed fund that invests mainly in bonds and similar fixed income securities with a short duration and takes active positive or negative duration (interest-rate sensitivity) positions. The duration positioning of the fund is fully based on a quantitative model. Active duration management is the sole performance driver for this fund. Robeco’s quantitative duration model generates forecasts for the direction of bond yields in the main developed bond markets (United States, Germany and Japan). The duration overlay is implemented using bond futures. The aim of the fund is to generate positive total returns in markets with either falling or rising bond yields.

Price development

No performance data available

Price development

Robeco QI Long/Short Dynamic Duration EH EUR

Performance

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Fund Reference index
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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 -0.59%. The portfolio started the month of September with the maximum short position of six years. At the end of the month the short position in Japan was closed. As yields declined, especially in Germany, the short positions detracted from performance. All active duration positions are based on the outcomes of our quantitative duration model.

Statistics

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Dividend paying history

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Market development

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Government bonds posted positive returns in September, with European bonds leading the way. German bonds returned 1.1%, Japanese bonds 0.3% and US bonds 0.1% (hedged to euros). Optimism about the economic recovery receded due to the renewed rise of Covid-19 infections and the return of containment measures in several European countries. Equity markets declined and oil prices fell. The Bank of England said it was exploring how negative official rates could be implemented if warranted. Bonds initially rallied, also supported by expectations that the Fed would increase the average maturity of their bond purchases. US bonds relinquished most of their earlier gains as the Fed did not alter its bond purchases and the odds of a further economic stimulus program seemed to improve towards the end of the month.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
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ESG integration
Exclusion
YesNoN/A 
Screening
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Sustainability Themed Fund

Currency policy

All currency risks are hedged.

Derivative policy

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.

Dividend policy

In principle, Robeco QI Long/Short Dynamic Duration (EUR) E-shares distributes dividend annually.

ESG Integration policy

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.

Investment policy

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 policy

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

Expectation of fund manager

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The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. At the start of October, the strategy was positioned for higher bond yields in Germany and the US. These positions are mainly driven by the economic growth, inflation and low-risk variables. The model’s position in Japan is neutral as the valuation variable favors Japanese bonds over bonds from US and Germany (on a currency-hedged basis).

Olaf Penninga
Olaf Penninga

Olaf Penninga

Olaf Penninga is Lead Portfolio Manager for the Dynamic Duration strategy and Portfolio Manager for the Dynamic High Yield strategy. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. One of his previous positions within Robeco was that of Researcher with responsibility for fixed income allocation research, including the research underlying the Dynamic Duration strategy. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in the industry in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University.

Team

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.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU0230834854
BloombergROBFLXE LX
Valoren2283607
WKNA0HGD5
Availability
1st quotation date1128297600000
Close financial year31-12
Legal status
Tracking error limit (%)
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Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
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The expected transaction costs are

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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.

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Disclaimer Robeco Switzerland Ltd.

The information contained on these pages is for marketing purposes and solely intended for Qualified Investors in accordance with the Swiss Collective Investment Schemes Act of 23 June 2006 (“CISA”) domiciled in Switzerland, Professional Clients in accordance with Annex II of the Markets in Financial Instruments Directive II (“MiFID II”) domiciled in the European Union und European Economic Area with a license to distribute / promote financial instruments in such capacity or herewith requesting respective information on products and services in their capacity as Professional Clients. 

The Funds are domiciled in Luxembourg and The Netherlands. ACOLIN Fund Services AG, postal address: Affolternstrasse 56, 8050 Zürich, acts as the Swiss representative of the Fund(s). UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zurich, postal address: Europastrasse 2, P.O. Box, CH-8152 Opfikon, acts as the Swiss paying agent. The prospectus, the Key Investor Information Documents (KIIDs), the articles of association, the annual and semi-annual reports of the Fund(s) may be obtained, on simple request and free of charge, at the office of the Swiss representative ACOLIN Fund Services AG. The prospectuses are also available via the website www.robeco.ch. Some funds about which information is shown on these pages may fall outside the scope of the Swiss Collective Investment Schemes Act of 26 June 2006 (“CISA”) and therefore do not (need to) have a license from or registration with the Swiss Financial Market Supervisory Authority (FINMA). 

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Neither information nor any opinion expressed on this 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 Switzerland Ltd. product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports. 

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