Fund | 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 -0.83%. The fund had long duration positions in all three regions during the month; the long positions in Germany and the US were closed towards the end of the month. These active positions detracted from the performance as yields increased. 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 (%) |
Government bonds posted negative returns in October, reflecting more constructive news on China-US trade talks and a more positive view on Brexit developments. German Bunds were down -1.5% on the month, US Treasuries -0.2% and Japanese JGBs lost -0.5%. The October ECB meeting brought little news, apart from comments on capital key rules, which stipulate the division of government bond purchases across countries, suggesting some flexibility to buy more periphery debt. The FOMC’s decision to cut rates and give a neutral guidance was in line with expectations and had only a modest impact on bond prices.
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. End of October, the model’s bond market outlook was negative for Germany as growth and trend point to higher yields. The model’s outlook was neutral for the US as the supportive monetary policy variable offsets the negatives. For Japan, the outlook was positive, mainly driven by the positive valuation variable.
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 | LU1493701459 |
Bloomberg | ROBFIHU LX |
Valoren | 34048408 |
WKN | |
Availability | |
1st quotation date | 1474502400000 |
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 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.
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.
This website is not directed to any person in any jurisdiction where, by reason of that person's nationality, residence or otherwise, the publication or availability of this website is prohibited. Persons in respect of whom such prohibitions apply must not access this website.