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Robeco QI Global Multi-Factor Credits ZBH GBP

Systematic portfolio of predominantly investment grade corporate bonds for long-term capital growth

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Share classes

Share classes

Every share class of a product invests in the same portfolio of securities and has the same investment objectives and policies. However, their parameters might deviate. For instance and amongst others, their distribution type, currency exposure or fees and expenses might differ. The most common share classes at Robeco are:
a) D/DH shares, which are regular shares and available for all Investors;
b) I/IH shares, for institutional investors as defined from time to time by the Luxembourg supervisory authority.
For more information on share classes please go to the prospectus.

ZBH-GBP

CH-EUR

FH-EUR

IH-EUR

IH-GBP

IH-JPY

IH-USD

ZH-EUR

Class and codes

Asset class:

Bonds

ISIN:

LU2539431572

Bloomberg:

ROBMFCR LX

Index

Bloomberg Global Aggregate Corporates Index (hedged into GBP)

Sustainability-related information

Sustainability-related information

Under the EU Sustainable Finance Disclosure Regulation, products can be labelled as either Article 6, 8 or 9 fund.

Article 6 - The fund is not in scope of enhanced sustainability disclosures compared to Article 8 and 9.
Article 8 - The fund does not have a sustainable investment objective but promotes environmental or social characteristics and is subject to enhanced sustainability disclosures.
Article 9 - The fund has a sustainable investment objective and is subject to enhanced sustainability disclosures.

Regardless of Article 8 or 9, the companies in which investments are made must follow good governance practices, and sustainable investments must not do any significant harm.

Article 8

  • Overview
  • Performance & costs
  • Portfolio
  • Sustainability
  • Commentary
  • Documents
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Fund topics

Overview
Performance & costs
Portfolio
Sustainability
Commentary
Documents
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MISSING: fund.detail.tabs.

Key points

  • Factor investing in investment grade corporate bonds
  • Aiming to generate higher returns with a market-like risk profile
  • For experienced investors looking for style-diversification in a balanced portfolio

About this fund

Robeco QI Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model. The fund's objective is to provide long-term capital growth. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (low risk factor), an attractive valuation (value), a strong performance trend (momentum) and a small market value of debt (size). The investment universe includes bonds with at least a BB rating.

Key facts

Per 31-08-2023

Total size of fund

£ 928,303,610

Size of share class

£ 134,349,927

Inception date fund

18-10-2022

Dividend paying

Yes

The value of the investments may fluctuate. Past performance is no guarantee of future results.

Fund manager

Patrick Houweling

Patrick Houweling

Mark Whirdy

Mark Whirdy

Johan Duyvesteyn

Johan Duyvesteyn

Patrick Houweling is Co-Head of Quant Fixed Income and Lead Portfolio Manager of Robeco’s quantitative credit strategies. Patrick has published seminal articles on Duration Times Spread, factor investing in credit markets, corporate bond liquidity and credit default swaps in various academic journals, including the Journal of Banking and Finance, the Journal of Empirical Finance and the Financial Analysts Journal. The article 'Factor Investing in the Corporate Bond Market' he co-authored received a Graham and Dodd Scroll Award of Excellence for 2017. Patrick is a guest lecturer at several universities. Prior to joining Robeco in 2003, he was Researcher in the Risk Management department at Rabobank International where he started his career in 1998. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam. Mark Whirdy is Portfolio Manager Quant Fixed Income. His areas of expertise include portfolio optimization, credit markets, credit derivatives modelling and quant investment process development. Prior to joining Robeco, Mark was Portfolio Manager in the Quant Credit team at Pioneer Investments and Analyst in the Quantitative Equities team at that firm. He is a graduate from University College Dublin, and holds a Master’s in Business from University of Ulster. 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.

Key points
About the fund
Key facts
Fund manager

Current MIFID legislation prevents us from reporting performance data for funds with less than a 12 month track record.

Statistics

Characteristics Fund Index

Rating

The average credit quality of the securities in the portfolio. AAA, AA, A en BAA (Investment Grade) means lower risk and BB, B, CCC, CC, C (High Yield) higher risk.

A2/A3

A3/BAA1

Option Adjusted Modified Duration (years)

The interest rate sensitivity of the portfolio.

6.00

6.00

Maturity (years)

The average maturity of the securities in the portfolio.

8.30

8.70

Above mentioned ratios are based on gross of fees returns.

Dividend paying history

Per 31-08-2023
Date Amount

23-06-2023

£ 1.18

24-03-2023

£ 1.17

22-12-2022

£ 0.52

Costs

Per 31-08-2023
Cost of this fund Percentage

Ongoing charges

Indication of annual charges that are deducted for this fund. This indication is based on the costs over the last calendar year and may vary from year to year. Transaction costs incurred by the fund, any performance fees and other one-off costs are not included in the ongoing charges.

0.01%

Included management fee

A fee paid by the fund to the asset management company for the professional management of the fund.

0.00%

Included service fee

This fee is intended to cover official fees, such as the cost of annual reports, annual shareholders' meetings and price publications.

0.00%

Transaction costs

The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.

0.21%

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.

Price development
Statistics
Dividend history
Cost of this fund
Fiscal: product
Fiscal: investor

Fund allocation

Currency

Duration

Rating

Sector

  • Currency
  • Duration
  • Rating
  • Sector
Per 31-08-2023
Allocations to bond currency denominations differ from the benchmark by 10% at most, and are otherwise non-tactical, and incidental to the bond selection, which is generated by the quantitative multi-factor ranking model. Currency exposures are subsequently hedged to the currency of the fund class. Over the month, the exposure to GBP-denominated paper decreased, while the exposures to USD and EUR paper increased. The portfolio is underweight in USD-denominated bonds and overweight in EUR and GBP bonds.

Policies

  • Currency risks are hedged.

  • In principle, this share class of the fund will distribute an quarterly dividend.

  • Robeco QI Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model. The fund's objective is to provide long-term capital growth. The fund promotes E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrates sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions, and engagement. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (low risk factor), an attractive valuation (value), a strong performance trend (momentum) and a small market value of debt (size). The investment universe includes bonds with at least a BB rating. The majority of bonds selected will be components of the benchmark, but bonds outside the benchmark may be selected too. The fund can deviate from the weightings of the benchmark. The fund aims to outperform the benchmark over the long run, while still controlling relative risk through the application of limits (on currencies) to the extent of the deviation from the benchmark. This will consequently limit the deviation of the performance relative to the benchmark. The Benchmark is a broad market-weighted index that is not consistent with the ESG characteristics promoted by the fund.

  • The fund will strive to create a risk profile, which is similar to the reference index. The duration and currency exposure of the portfolio will be hedged to the reference index. The strategy can have significant tracking error versus the reference index. The ratio of the portfolio volatility with respect to the volatility of the reference index is restricted by predefined guidelines. These guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.

Fund allocation
Policies

Sustainability-related disclosures

  • Summary sustainability-related disclosures
  • Full sustainability-related disclosures

Sustainability profile

Per 31-08-2023
Exclusions
ESG Integration
Engagement
ESG target
Topic Value

ESG score target

Above Index

Environmental footprint

Per 31-08-2023

Environmental footprint expresses the total resource consumption of the portfolio per mUSD invested. Each assessed company's footprint is calculated by normalizing resources consumed by the company's enterprise value including cash (EVIC). We aggregate these figures to portfolio level using a weighted average, multiplying each assessed portfolio constituent's footprint by its respective position weight. Sovereign and cash positions have no impact on the calculation. If an index is selected, its aggregate footprint is shown besides that of the portfolio. The equivalent factors that are used for comparison between the portfolio and index represent European averages and are based on third-party sources combined with own estimates. As such, the figures presented are intended for illustrative purposes and are purely an indication. Figures only include corporates The reported waste generation by companies in the portfolio and index can include Incinerated Waste, Landfill Waste, Nuclear Waste, Recycled Waste and Mining Tailing Waste. While these types of waste have different environmental impacts, in the comparison all types of waste are aggregated and expressed as total weight. The difference in tonnes/mUSD invested between portfolio and index is expressed as ‘equivalent to the annual waste generation of # people’, based on the average tonnes of household waste generated per European.

CGF GMFC_20230831-CGFGMFC_20230831-footprintOwnershipCo2.png
Source: Robeco data based on Trucost data. *
CGF GMFC_20230831-CGFGMFC_20230831-footprintOwnershipWaste.png
Robeco data based on Trucost data*
CGF GMFC_20230831-CGFGMFC_20230831-footprintOwnershipWater.png
Robeco data based on Trucost data*
* S&P Trucost Limited © Trucost 2023. All rights in the Trucost data and reports vest in Trucost and/or its licensors. Neither Trucost, not its affliates, nor its licensors accept any liability for any errors, omissions, or interruptions in the Trucost data and/or reports. No further distribution of the Data and/or Reports is permitted without Trucost's express written consent.

Sustainalytics ESG Risk Rating

Per 31-08-2023

The Portfolio Sustainalytics ESG Risk Rating chart displays the portfolio's ESG Risk Rating. This is calculated by multiplying each portfolio component's Sustainalytics ESG Risk Rating by its respective portfolio weight. If an index has been selected, those scores are provided alongside the portfolio scores, highlighting the portfolio's ESG risk level compared to the index. The Distribution across Sustainalytics ESG Risk levels chart shows the portfolio allocations broken into Sustainalytics' five ESG risk levels: negligible (0-10), low (10-20), medium (20-30), high (30-40) and severe (40+), providing an overview of portfolio exposure to the different ESG risk levels. If an index has been selected, the same information is shown for the index. Only holdings mapped as corporates are included in the figures.

CGF GMFC_20230831-CGFGMFC_20230831-sustainalyticsESGRiskTotal.pngCGF GMFC_20230831-CGFGMFC_20230831-sustainalyticsESGRiskScoreDistribution.pngCGF GMFC_20230831-CGFGMFC_20230831-sustainalyticsESGRiskScoreDistributionTable.png
Source: Copyright © Sustainalytics. All rights reserved.
The information, methodologies, data and opinions contained or reflected herein are proprietary of Sustainalytics and/or third parties, intended for internal, non-commercial use, and may not be copied, distributed or used in any way, including via citation, unless otherwise explicitly agreed in writing. They are provided for informational purposes only and (1) do not constitute investment advice; (2) cannot be interpreted as an offer or indication to buy or sell securities, to select a project or make any kind of business transactions; (3) do not represent an assessment of the issuer’s economic performance, financial obligations nor of its creditworthiness; (4) are not a substitute for a professional advice; (5) past performance is no guarantee of future results. These are based on information made available by third parties, subject to continuous change and therefore are not warranted as to their merchantability, completeness, accuracy or fitness for a particular purpose. The information and data are provided “as is” and reflect Sustainalytics’ opinion at the date of their elaboration and publication. Sustainalytics nor any of its third-party suppliers accept any liability for damage arising from the use of the information, data or opinions contained herein, in any manner whatsoever, except where explicitly required by law. Any reference to third party names is for appropriate acknowledgement of their ownership and does not constitute a sponsorship or endorsement by such owner. Insofar as applicable, researched companies referred herein may have a relationship with different Sustainalytics’ business units. Sustainalytics has put in place adequate measures to safeguard the objectivity and independence of its opinions. For more information, contact compliance@sustainalytics.com.

Sustainability

Per 31-08-2023

The fund incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, and engagement. The fund does not invest in issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Via portfolio construction rules the fund targets a better ESG score and lower carbon, water and waste footprints than that of the reference index. This ensures that credit issuers with better ESG scores or lower environmental footprints are more likely to be included in the portfolio, and vice versa. In addition, our credit analysts check buy candidates and portfolio holdings for ESG risks that may have material impact for bond holders. Lastly, where corporate issuers are flagged for breaching international standards in our ongoing monitoring, the issuer will become subject to engagement.The following sections display the ESG-metrics that are relevant for this fund along with short descriptions. For more information please visit the sustainability-related disclosures. The index used for all sustainability visuals is based on [Index name].

Sustainability-related disclosures
Profile
Environmental footprint
ESG Risk Score
Sustainability

Market development

Per 31-08-2023

The Bloomberg Global Aggregate Corporates Index posted a credit return of -0.13%, as credit spreads widened from 127 to 133 bps. The euro-hedged total return was -0.57%, as underlying government bond yields increased. Credit spreads reversed the tightening of June and July, and began widening out in August, with the exception of US high yield, which remained flat over the month. Stagflation fears were kept alive due to uncertainty over the inflation outlook, with inflation in services sectors remaining stubbornly high, notwithstanding falls in core CPI, coupled with negative PMIs and other economic data. The number of corporates on rating watch negative has exceeded the number on rating watch positive. S&P 500 sold off before rallying into month-end, with VIX moving in sympathy. Sovereign yield curves remained inverted and steepened slightly, notwithstanding the compressed bond market volatility expectations as indicated by the MOVE Index. In China, Country Garden Holdings narrowly avoided a default, which coupled with struggling exports, falling prices, and rising unemployment undermined global market sentiment further.

Expectation of fund manager

Patrick Houweling

Patrick Houweling

Mark Whirdy

Mark Whirdy

Johan Duyvesteyn

Johan Duyvesteyn

Robeco QI Global Multi-Factor Credits invests systematically in predominantly investment grade credits. It offers balanced exposure to a number of quantitative factors. In the long term, we expect the fund to outperform the market by systematically harvesting factor premiums with a risk profile that is similar to the reference index.

Market development
Expectation of fund manager

Fund documents

  • Factsheet
  • Prospectus
  • Full sustainability-related disclosures
  • Summary sustainability-related disclosures

(Semi) annual reports

  • Annual report 2022
  • Annual report 2021
  • Annual report 2020
  • Semi-annual report 2023
  • Semi-annual report 2022
  • Semi-annual report 2021

Announcements

  • Dividend dates (05-09-2023)
  • Publication semi-annual reports 2023 (31-08-2023)
  • Prospectus change September 2023 (04-08-2023)
Fund documents
Reports
Announcements
Calendar year return summary of the funds

A provision for exchange rate fluctuation when representations are made in foreign currencies (i.e. Any representations made which are not denominated in HKD/ USD/ EUR) may expose investors to exchange rate fluctuations.

Investment involves risks. Past performance is not indicative of future performance. The information contained in this website is provided for reference only and does not constitute any investment advice. Investors are advised to seek independent advice before making any investment decision. Please refer to the relevant offering documents for details including the risk factors before making any investment decisions. This web page is published by Robeco Hong Kong Limited and has not been reviewed by the Securities and Futures Commission.

Positive distribution yield does not imply positive return. Investors should not make any investment decision solely based on information contained in the table. You should read the relevant offering document (including the key facts statement) of the fund for further details including the risk factors.

Annualized yield is calculated with the following formula: Sum of the monthly dividends over a period of 12 months / average of the applicable prices of the first business day of these 12 months * 100%

Where a reference is made to the frequency of dividend distributions, this frequency is an aim and not a guarantee. The fund may at its discretion pay dividend out from capital. Dividend yield is not guaranteed, and is not indicative the return of the Fund. The yield figure is for reference only. The fund may at its discretion to pay dividend out from capital. Distributions out of capital may result in the reduction of an investor’s original capital invested in the Sub-fund or from any capital gains attributable to that original investment of the Sub-fund. Also, any distributions involving the capital and/or capital gains may result in an immediate reduction of the net asset value per share of the relevant class. Payment of dividends out of capital amounts to a return or withdrawal of part of an investor’s original investment or from any capital gains attributable to that original investment. If there is a change of distribution policy of the Sub-fund, the Management Company will seek the prior approval of the Securities and Futures Commission in Hong Kong ('SFC') and provide at least one month’s prior notice to affected Shareholders.

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Investment involves risks. Past performance is not indicative of future performance. The information contained in this website is provided for reference only and does not constitute any investment advice. Investors are advised to seek independent advice before making any investment decision. Please refer to the relevant offering documents for details including the risk factors before making any investment decisions. This web page is published by Robeco Hong Kong Limited and has not been reviewed by the Securities and Futures Commission.