Robeco QI Long/Short Dynamic Duration DH 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 Long/Short Dynamic Duration is managed within Robeco’s Rates team, which consists of four portfolio managers. The team is focused on government bond strategies including quantitative duration strategies. The team works closely together with four dedicated quantitative researchers and four fixed income traders. On average, the members of the rates team have an experience in the asset management industry of sixteen years, of which ten 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, negative screening, ESG integration, limits on investments in companies and countries based on ESG performance as well as engagement. For government and government-related bonds, the fund complies with Robeco’s exclusion policy for countries, excludes the 15% worst ranked countries following the World Governance Indicator 'Control of Corruption', and ensures the fund has a minimum weighted average score of 6 following Robeco's proprietary Country Sustainability Ranking. The Country Sustainability Ranking scores countries on a scale from 1 (worst) to 10 (best) based on 40 environmental, social, and governance indicators. For corporate bonds, the fund does not invest in credit issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Financially material ESG factors are integrated in the portfolio construction to ensure the fund limits exposure to issuers with an elevated sustainability risk profile. Lastly, where issuers are flagged for breaching international standards in the 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 ICE BofA ESTR Overnight Rate Index.

Government bond yields rose sharply in October. Stronger-than-expected US employment and inflation data shifted the discussion from 50-basis point rate cuts to the possibility that the Fed will keep rates on hold in November. Markets now discount just 125 bps of further Fed rate cuts this cycle, down from nearly 200 bps at the end of September. US yields rose strongly, dragging other markets along. UK bonds were also under pressure from the new budget and the announced increase in bond issuance. In most countries, 5-year yields rose most, resulting in some curve flattening. The Japanese curve steepened, although the 13 bps rise in Japanese 30-year yields pales in comparison to the 60 bps rise in US 5-year yields. US Treasuries returned -2.5%, German Bunds -1.3% and Japanese government bonds -0.2% (all returns hedged to EUR).

Based on transaction prices, the fund's return was -1.13%. The fund had long duration positions in all three markets in October. The rise in yields thus impacted the fund negatively. The US long position contributed most to the underperformance. All active duration positions are based on the outcomes of our quantitative duration model. Year-to-date, the fund has strongly outperformed cash. The short duration positioning between February and July was profitable due to the rise in yields. The fund benefited strongly from the rally in bond markets in the third quarter, with long duration positions since late July, although these same positions hurt the performance last month.

The fund's duration policy is driven by the outcomes of our proprietary quantitative duration model. The model turned neutral on US bonds at the end of October and neutral on German bonds in early November. The model was positive on Japanese bonds at the end of October, mainly driven by the inflation, low-risk and valuation variables. The annual pattern that is part of the season variable is also positive for bonds in this part of the year. The economic growth variable was negative for US bonds as it sees signs of stronger growth in the US, while it was closer to neutral for German and Japanese bonds.