Robeco QI Global Multi-Factor Credits ZBH GBP

Patrick Houweling is 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.

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.

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.

The fund incorporates sustainability in the investment process via exclusions, ESG integration, ESG, SDG, 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, lower carbon, water and waste footprints and higher portfolio weight in companies with a positive SDG score than the reference index. This ensures that credit issuers with better ESG and SDG 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. If a company is part of Robeco’s Enhanced Engagement program, the fund will not take an overweight position in it.For more information please visit the sustainability-related disclosures.The index used for all sustainability visuals is based on Bloomberg Global Aggregate Corporates Index (hedged into GBP).

The Bloomberg Global Aggregate Corporates Index posted a credit return of -0.37%, as credit spreads widened from 90 to 97 bps. The euro-hedged total return was -0.54%, as underlying government bond yields increased somewhat. Fears of economic slowdown in the US, fueled by concerns over tariffs and government firings, prolonged February's volatility across global markets. Inflation data was marginally above expectations while the Fed held interest rates steady in its March meeting, with projections showing two cuts to the federal funds' rate in 2025. US stocks faced their steepest decline of 2025, with volatility soaring in the US with the VIX jumping 4.5 points to 28 in early March before retreating lower. Credit spreads widened, with USD-denominated corporate bonds underperforming versus EUR as the European market priced in German infrastructure and defense initiatives. The volatility notwithstanding, primary market issuance remained buoyant over the month, as issuers came to the market in advance of the anticipated trade war in April.

Based on transaction prices, the fund's return was -0.46%. Based on closing prices, the fund posted a relative return of -0.05% versus the benchmark. Issue(r) selection contributed neutrally and beta allocation slightly detracted. Duration hedging inaccuracies at the longest end of the curve detracted slightly too. The low-risk/quality factor, driven by both the defensive company selection and the underweight in longer-dated bonds, delivered the largest positive contribution. This was followed by a smaller positive contribution from value. The momentum and size factors contributed neutrally. Sector allocation slightly detracted, mainly due to the overweight in the consumer cyclical sector. Currency allocation contributed neutrally, with small underlying effects. Country allocation slightly detracted, mainly due to the overweight in the United Kingdom. The allocation to subordination groups contributed neutrally, with small underlying effects. Rating allocation detracted somewhat, primarily due to the off-benchmark position in BA-rated paper. SDG score allocation and ESG Risk Rating allocation both contributed neutrally.

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.