Fund | Reference index | |
---|---|---|
1 month | ||
3 months | ||
YTD | ||
1 year | ||
2 years | ||
3 years | ||
5 years | ||
10 years | ||
{{'fund.detail.performance.period.sinceInception' | labelize:[ fundDate(fund.fundPerformances.sinceStart.startDate,'MM-YYYY') ]}} |
Fund | Reference index | |
---|---|---|
Based on transaction prices, the fund's return was 0.05%. The fund's gross return outperformed the benchmark, benefiting from the rising yield in Germany. The portfolio started the month with a short position in Germany, and in the course of the month a short position in the US was added. The short in Germany contributed positively, while the short in Japan made a neutral contribution. All active duration positions are based on the outcomes of our quantitative duration model.
3 years | 5 years | ||
---|---|---|---|
Tracking error ex-post (%) |
|
||
Information ratio | |||
Sharpe ratio | |||
Alpha (%) | |||
Beta |
|
||
Standard deviation |
|
||
Max. monthly gain (%) |
|
||
Max. monthly loss (%) |
|
3 years | 5 years | ||
---|---|---|---|
Months outperformance | |||
Hit ratio (%) | |||
Months Bull market | |||
Months outperformance Bull | |||
Hit ratio Bull (%) | |||
Months Bear market | |||
Months outperformance Bear | |||
Hit ratio Bear (%) |
Fund | Reference index | ||
---|---|---|---|
Rating | |||
Option Adjusted Modified Duration (years) | |||
Maturity (years) | |||
Yield to Worst (%) | |||
Green Bonds (%) |
November brought a reversal of bond market fortunes. US Treasuries returned +0.3%, after losing more than 1% in October, while German Bunds returned -0.5%, after gaining in October. US yields fell sharply after the elections, then rose sharply on the favorable vaccine news and finally fell again as a political deal on fiscal stimulus seemed out of reach and speculation resurfaced about a potential adjustment in the Fed's bond buying. German bond yields mimicked the US yield rise on the vaccine news and the subsequent retreat, but they were stable around the US elections. As a result, the net move was a modest yield rise in Germany and a decline in the US. Ongoing worrying news about Covid-19 infections and lockdowns coupled with dovish guidance from central banks supported bond markets, despite the strong returns of risky assets.
Name | Sector | Weight |
---|---|---|
Yes | No | N/A | ||
---|---|---|---|---|
Voting | ||||
Engagement | ||||
ESG integration | ||||
Exclusion |
Yes | No | N/A | ||
---|---|---|---|---|
Screening | ||||
Integration | ||||
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 the fund does not intend to distribute dividend. The income earned by the fund is reflected in its share price. The fund's entire result is thus reflected in its share price development.
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. By the end of the month, the strategy was positioned for higher bond yields in Germany and Japan. The positioning is mainly driven by the growth, inflation and low-risk variables. The model's position in the US is neutral, as the positive monetary policy variable offsets the negatives.
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.
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.
Management company | |
Fund capital | |
Size of share class | |
Outstanding shares | |
ISIN | LU0280704114 |
Bloomberg | ROBFLXS LX |
Valoren | 2850659 |
WKN | A0YFG7 |
Availability | |
1st quotation date | 1167696000000 |
Close financial year | 31-12 |
Legal status | |
Tracking error limit (%) | |
Reference index |
Ongoing charges |
|
---|---|
This fund deducts ongoing charges of |
These charges comprise | ||
---|---|---|
Management fee | ||
Service fee |
Transaction costs |
|
---|---|
The expected transaction costs are |
Performance fee |
|
---|---|
This fund may also deduct a performance fee of |
max entry fee | ||
Max exit fee | ||
Max sub fee | ||
Max switch fee |
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 0.01% 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.
Investors who are not subject to (exempt from) Dutch corporate-income tax (e.g. pension funds) are not taxed on the achieved result. Investors who are subject to Dutch corporate-income tax can be taxed for the result achieved on their investment in the fund. Dutch bodies that are subject to corporate-income tax are obligated to declare interest and dividend income, as well as capital gains in their tax return. Investors residing outside the Netherlands are subject to their respective national tax regime applying to foreign investment funds. We advise individual 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.
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).
Some funds about which information is shown on this website may not be available in your domicile country. Please check the registration status in your respective domicile country. To view the RobecoSwitzerland Ltd. products that are registered/available in your country, please go to the respective Fund Selector, which can be found on this website and select your country of domicile.
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.
By clicking “I agree” you confirm that you/the company you represent falls under one of the above-mentioned categories of addressees and that you have read, understood and accept the terms of use for this website.