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 Robeco Switzerland AG, Josefstrasse 218, 8005 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/Robeco Switzerland 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/Robeco Switzerland 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.
Expectations for the fundamental drivers of bonds can be derived from financial market information. In particular, data from both developed and emerging equity markets.
For over 20 years, our duration model, which determines the active duration positioning of our QI Dynamic Duration strategies, has been successfully forecasting returns in the major bond markets using financial market data. Recent research carried out by Robeco showed that incorporating data from both developed and emerging equity markets further improves the model’s ability to derive economic growth expectations and forecast bond returns. This enhancement was recently implemented.
Over the past decades, emerging countries have seen their influence on the global economy increase dramatically. Not only do they now contribute more to growth, they also represent an increasingly important export destination for developed economies. Over time, emerging countries have also become major holders of government bonds issued by their developed counterparts. Given this increasingly important role of emerging economies, it seemed logical to investigate the added value of using information from emerging equity markets in our duration model.
Because of its forward-looking nature, to derive expectations for the fundamental drivers of bond markets, such as economic growth, inflation and monetary policy the model relies on financial market data, rather than official economic statistics such as GDP growth. Such statistics are, by definition, backward-looking, published with a delay and prone to revisions. But until now, the financial market data the model had been using came solely from developed equity markets.
Our study confirmed that strong equity market performance is a good indicator for improving growth expectations or reduced uncertainty about growth prospects. All else being equal, this should lead to negative bond market returns. Conversely, weaker equity market performance usually signals deteriorating economic prospects, pointing to positive bond returns.
‘Including information from emerging equity markets adds considerable value’
Moreover, our research analysis showed that the model’s ability to derive growth expectations improves consistently when the returns of emerging equity markets are included. “Including information from emerging equity markets clearly adds considerable value to the model,” says portfolio manager and quant researcher Johan Duyvesteyn.
Indeed, this enhanced approach generates a better and more stable performance. Taking into account information from emerging equity markets to derive growth expectations improves the backtest results for the entire model. This further strengthens Robeco’s Dynamic Duration strategies’ proposition to benefit from periods with declining bond yields while keeping returns protected when yields rise.
“On a daily basis, developed bond market investors may overlook economic data coming from the emerging world and focus on other important issues making headlines, such as monetary decisions from major central banks, for example,” says Duyvesteyn. “And when investors do finally focus on hard global economic growth data, our strategy is already well positioned thanks to our enhanced approach to deriving economic growth expectations.”