Robeco QI Global Dynamic Duration FH 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 0.05% 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.

US yields rose in October, as labor market data remained strong and GDP grew by 4.9% in the third quarter. Yields also rose in Japan, where the Bank of Japan subtly adjusted its Yield Curve Control policy: 1% is no longer the upper limit for 10-year yields, but merely a "reference point". Yield curves continued to steepen, as 10-year and 30-year yields rose more than 2-year yields; 2-year yields even declined in Germany and especially in Canada, where inflation declined more than expected. The ECB paused and said that keeping rates at their current level will help to bring down inflation. US Treasuries and Japanese government bonds both returned -1.3% in October. Australian bonds lost 1.8%, as inflation surprised to the upside; UK Gilts lost just 0.5% and German Bunds even gained 0.3% (all returns hedged to euro). US 10-year yields reached 5% for the first time since 2007.

Based on transaction prices, the fund's return was -0.07%. The fund strongly outperformed the index in October, thanks to its underweight duration position in US bonds. The fund had underweight duration positions in German and US bonds; the US underweight was closed in late October. The US underweight contributed positively, the German underweight made a neutral contribution and the tilts in the underlying portfolio detracted somewhat, mainly the tilts to Australian and away from German bonds. The tilts to UK bonds, away from US bonds and to shorter-dated bonds within Japan contributed positively. Year-to-date, the fund has generated a positive total return and it has outperformed the index strongly by protecting against rising yields in February, April and June-October, and also by benefiting from lower yields in the first weeks of the year and in Japan in the first half of the year. The tilts in the underlying portfolio also contributed positively. 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 October, the model predicts rising yields for German bonds, mainly driven by the valuation, trend, monetary policy and low-risk variables, despite positive signals for bonds from the economic growth variable. The model was neutral for US and Japanese bonds, mainly due to more favorable scores on the valuation and monetary policy variables.