Robeco QI Global Multi-Factor High Yield FH USD

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 Bloomberg Global High Yield Corporates ex-Financials Index posted a positive credit return of 0.82% as credit spreads tightened from 317 to 300 bps. The euro-hedged total return was -0.38%, as underlying government bond yields increased substantially. Corporate bond markets were strong in October, even though the US and European equity markets declined and the VIX increased. Rates markets have priced in a higher interest rate path going forward, with the 10-year US Treasury yield jumping 50 bps, driven by better-than-expected economic data releases. Inflation declined further. The IMF’s World Economic Outlook reported stable but underwhelming global growth, with notable upgrades for the US being offset by downgrades for major European economies. The European Central Bank cut its key rate by 25 bps, while central banks in New Zealand and Canada reduced their rate by 50 bps each. The FOMC and BOE did not hold rate-setting meetings in October, but further rate cuts are widely expected in November.

Based on transaction prices, the fund's return was -0.42%. Based on closing prices, the fund posted a relative return of -0.15% versus the benchmark. Issue(r) selection contributed slightly positively. The value factor delivered the largest positive contribution, followed by a small positive contribution from momentum. The low-risk/quality and size factors detracted. Sector allocation detracted somewhat, mainly due to the underweights in the utility other and communications sectors. Currency allocation contributed slightly positively, due to the underweight in USD-denominated paper. Country allocation contributed neutrally, as the underweight in Luxembourg contributed slightly positively, while the overweight in Austria slightly detracted. The allocation to subordination groups contributed slightly positively, due to the overweight in corporate hybrids. Rating allocation contributed slightly positively, due to the underweights in CAs and Cs, whereas the underweight in CAAs detracted. SDG score and ESG Risk Rating allocations slightly detracted. Beta allocation detracted strongly: the beta position of the bond portfolio detracted strongly, while the positive contribution from the CDS index beta hedge was too small to compensate.

Robeco QI Global Multi-Factor High Yield invests systematically in high yield corporate bonds. It offers balanced exposure to a number of quantitative factors. In the long term, we expect the portfolio to outperform the market by systematically harvesting factor premiums with a risk profile that is similar to the reference index.