Robeco QI Global Multi-Factor Credits IH EUR
Systematic portfolio of predominantly investment grade corporate bonds for long-term capital growth
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.
Class and codes
Bloomberg Global Aggregate Corporates Index
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.
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- Performance & costs
- 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.
Total size of fund
Size of share class
Inception date share class
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.
- Per period
- Per annum
Since inception 06/2015
Tracking error ex-post (%)
The ex-post tracking error is defined as the volatility of the fund's achieved excess return over the index return. In fund management, most managers are subject to an ex-ante (pre-determined) tracking error, which defines the extent of the additional risk they may take when aspiring to outperform the fund's benchmark. The ex-post tracking error explains the distribution of past fund performances compared to those of its underlying benchmark. With a higher tracking error, the fund's returns deviate more from its index's returns, hence there is a greater chance that the fund may outperform. The wider the spread of returns relative to the benchmark, the more "actively" a fund has been managed. In contrast, a low tracking error indicates more "passive" management.
This ratio serves to evaluate the quality of the excess return a fund manager has achieved because it takes the active risk involved into account. The information ratio is defined as the excess return over the benchmark return divided by the fund's tracking error. The higher the information ratio, the better. For example, a fund with a tracking error of 4% and an excess return of 2% over benchmark has an information ratio of 0.5, which is quite good.
This ratio measures the risk-adjusted performance and allows the performance quality of different investments to be compared. It is calculated by subtracting the risk-free rate from the fund's returns and dividing the result by the fund's standard deviation (risk). So the Sharpe ratio tells us whether a fund's returns are the result of smart investment decisions or stem from taking extra risk. The higher the ratio, the better, meaning that a greater return is achieved per unit of risk. This ratio is named after its inventor, Nobel Laureate, William Sharpe.
Alpha measures the difference between a portfolio's actual return and its expected performance, given the level of risk, compared to the benchmark. A positive alpha figure indicates that the fund has performed better than expected, given the level of risk. Beta is used to calculate the level of risk compared to the benchmark..
Beta is a measure of a portfolio's volatility, or systematic risk, in comparison to the benchmark. A beta of 1 indicates that the portfolio will move with the benchmark. A beta of less than 1 means that the portfolio will be less volatile than the benchmark. A beta of more than 1 indicates that the portfolio will be more volatile than the benchmark. For example, if a portfolio's beta is 1.2 it is theoretically 20% more volatile than the benchmark.
Standard deviation is a measure of the dispersion of a set of data from its mean. The more spread out the data is, the higher the deviation. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility (risk).
Max. monthly gain (%)
The maximum (i.e. highest) absolute positive monthly performance in the underlying period.
Max. monthly loss (%)
The maximum (i.e. highest) absolute negative monthly performance in the underlying period.
Months out performance
Number of months in which the fund outperformed the benchmark in the underlying period.
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
Months Bull market
Number of months of positive benchmark performance in the underlying period.
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
Months Bear market
Number of months of negative benchmark performance in the underlying period.
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
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.
Option Adjusted Modified Duration (years)
The interest rate sensitivity of the portfolio.
The average maturity of the securities in the portfolio.
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.
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
Included service fee
This fee is intended to cover official fees, such as the cost of annual reports, annual shareholders' meetings and price publications.
The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.
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 0.01% 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.
Fiscal treatment of investor
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.
Currency risks are hedged.
All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.
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.
ESG score target
ESG Important Information
The sustainability information below can help investors integrate sustainability considerations in their process. This information is for informational purposes only. The reported sustainability information may not at all be used in relation to binding elements for this fund. A decision to invest should take into account all characteristics or objectives of the fund as described in the prospectus.
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 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 Bloomberg Global Aggregate Corporates Index.
The Bloomberg Global Aggregate Corporates Index posted a credit return of -0.29%, as credit spreads widened from 135 to 142 bps. The euro-hedged total return was -1.17%, as underlying government bond yields increased substantially. October was a weak month for credit markets, with credit spreads widening during the month. The Hamas-Israel conflict dominated news headlines and raised concerns about a broader conflict in the Middle East. Commodities like oil and gold traded higher during the month. Most companies reported decent quarterly earnings, although many companies mentioned that economic activity is decelerating. However, US Q3 GDP growth came in at a staggering annualized rate of 4.9%. The US labor market also remains strong and employment costs continue to rise. On top of that, investors are concerned about the US funding gap, debt ceiling discussions and the new House speaker Mike Johnson. The US 10-year bond yield rose further and briefly traded through the 5% yield level intraday. In Europe, macro data was weaker, with Q3 GDP showing a minor contraction. On a positive note, Eurozone inflation data dropped to a two-year low. Eurozone government bond yields declined in October.
Based on transaction prices, the fund's return was -1.23%. Based on closing prices, the fund posted a relative return of 0.00% versus the benchmark. Issue(r) selection delivered a positive contribution and beta allocation contributed neutrally. Duration hedging inaccuracies at the longest end of the curve detracted. The value factor delivered the largest positive contribution, followed by smaller positive contributions from low-risk/quality and momentum. The size factor contributed neutrally. Sector allocation contributed slightly positively, mainly due to the overweight in the technology sector and the underweight in the financial other sector. Currency allocation contributed neutrally, as the positive contribution from the overweight in EUR paper was offset by a negative contribution from the underweight in CAD-denominated bonds. Country allocation also contributed neutrally, with very small underlying effects. The allocation to subordination groups contributed slightly positively, primarily due to the underweight in senior financials. Rating allocation detracted somewhat due to the off-benchmark position in BAs.
Expectation of fund manager
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.