Robeco QI Global Dynamic Duration FH CHF

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 0.05% 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, 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. The following sections display the ESG-metrics for this fund along with short descriptions. For more information please visit the sustainability-related disclosures.

Government bonds rallied in August, especially in the first days of the month. Weak US labor market data and a 12% decline of the Japanese stock market the following day resulted in a risk-off environment with calls for 50-basis point Fed cuts or even an intermeeting rate cut. Markets calmed down during the month as other data did not point to an imminent recession. Fed president Powell said at the Jackson Hole conference that the time has come to lower rates, to avoid further weakening of the labor market. US 2-year yields declined by 0.34% and yield curves generally steepened. In Japan, where the central bank has just started to raise yields, 10-year yields declined more than 2-year yields – and more than 30-year yields as well. Japanese government bonds gained 1.5%, US Treasuries 1.1% and German Bunds 0.4% (all returns hedged to EUR).

Based on transaction prices, the fund's return was 1.28%. The fund outperformed the index in August. With its overweight duration positions in all three markets, the fund benefited strongly from the rally in bond markets. All active duration positions are based on the outcomes of our quantitative duration model. The tilts in the underlying portfolio also contributed positively to the performance, as the portfolio was tilted to Australian bonds, away from German bonds and within Japan to intermediate bonds rather than long-dated bonds. Year-to-date, the fund has strongly outperformed the index. The underweight duration positioning between February and July offered protection against the rise in yields in February and April; the fund benefited strongly from the recovery in bond markets through overweight duration positions since late July. The tilts in the underlying portfolio also contributed positively to the year-to-date performance.

The fund's duration policy is driven by the outcomes of our proprietary quantitative duration model. At the end of August, the model was positive on bonds, mainly driven by the inflation, low-risk and trend variables. The annual pattern that is part of the season variable is also positive for bonds in this part of the year. The monetary policy variable is positive for US and German bonds as well.