Robeco QI Global Dynamic Duration IEH USD

Olaf Penninga is Portfolio Manager Quant Fixed Income. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. These are all quantitative fixed income strategies. His previous positions with Robeco include that of Lead Portfolio Manager for Robeco’s fundamentally-managed Euro Government Bonds strategy and Researcher with responsibility for fixed income allocation research. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University. Lodewijk van der Linden is Portfolio Manager Quant Fixed Income. He joined Robeco in August 2018. In the period 2015-2018 Lodewijk worked at Aegon Asset Management where he was Risk associate and Team Manager Client Reporting. Lodewijk started his career at PwC as an actuarial consultant in 2013. He holds a Master's in Actuarial Science from the University of Amsterdam and a Master's in Econometrics and Management Science from Erasmus University Rotterdam. Johan Duyvesteyn is Portfolio Manager Quant Fixed Income. His areas of expertise include government bond market timing, credit beta market timing, country sustainability and emerging-market debt. He has published in the Financial Analysts Journal, the Journal of Empirical Finance, the Journal of Banking and Finance, and the Journal of Fixed Income. Johan started his career in the industry in 1999 at Robeco. He holds a PhD in Finance, a Master's in Financial Econometrics from Erasmus University Rotterdam and he is a CFA® charterholder. Robeco QI Global Dynamic Duration is managed within Robeco’s Quant Allocation team, which consists of six portfolio managers. The team is focused on quantitative allocation strategies including quantitative duration strategies. The team works closely together with fundamental portfolio management teams and with seven dedicated quant allocation researchers. On average, the members of the quant allocation team have an experience in the asset management industry of eighteen years, of which fourteen years with Robeco.

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 fund incorporates sustainability in the investment process via exclusions, ESG integration, and ESG and environmental footprint targets. The fund complies with Robeco's exclusion policy for countries and does not invest in countries where serious violations of human rights or a collapse of the governance structure take place, or if countries are subject to UN, EU or US sanctions. Via portfolio construction rules the fund targets a better ESG score and a lower carbon footprint than that of the reference index. This ensures that countries with a better ESG score or a lower carbon footprint are more likely to be included in the portfolio.

Bond yields rose in February, reversing the rally seen in January. Strong US labor market data and a further rise in Eurozone core inflation point to further rate hikes. Markets moved to discount a higher peak in rates and the first rate cuts are only expected in 2024. Yields rose and curves inverted further, with US and German 2-year yields reaching the highest levels since 2007 and 2008 respectively. US Treasuries returned -2.5% and German Bunds -2.4%. Australian bonds declined less and Japanese bonds even rallied. Professor Ueda will be the new Bank of Japan governor.

Based on transaction prices, the fund's return was 0.37%. The fund outperformed the index in February. It offered protection against rising yields in the US and the Eurozone, while benefiting from lower yields (hence rising bond prices) in Japan. The tilts in the underlying portfolio also contributed positively to performance; not only tilts away from US and German bonds and towards Japanese bonds, but also the bond selection within the Eurozone. Year-to-date, the fund has generated a positive total return and strongly outperformed the index by benefiting from lower yields in the first weeks of the year (and later in Japan) and protecting against rising yields after that. All active duration positions are based on the outcomes of our quantitative duration model.

The fund's duration policy is driven by the outcomes of our proprietary quantitative duration model. At the end of February, the model was negative for US and German bonds, driven by the economic growth, monetary policy, trend, valuation and low-risk variables. The model was positive for Japanese bonds, driven by the inflation, valuation and monetary policy variables.