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Robeco QI Long/Short Dynamic Duration DH USD

Systematic and active duration management within bonds and similar fixed income securities

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Share classes

Share classes

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.

DH-USD

Class and codes

Asset class:

Bonds

ISIN:

LU0254675159

Bloomberg:

ROBFODU LX

Index

ICE BofA ESTR Overnight Rate Index

Sustainability-related information

Sustainability-related information

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.

Article 8

Morningstar

Morningstar

Copyright © Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Download The Morningstar Rating for Funds (chapter: The Morningstar Rating: Three-, Five-, and 10-Year) on the Morningstar website.

Rating (07/30)

  • Overview
  • Performance & costs
  • Portfolio
  • Sustainability
  • Commentary
  • Documents
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Fund topics

Overview
Performance & costs
Portfolio
Sustainability
Commentary
Documents
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MISSING: fund.detail.tabs.

Key points

  • Benefiting from falling and rising bond yields
  • Quantitative model anticipating direction bond markets
  • Proven track record in multiple market environments

About this fund

Robeco QI Long/Short Dynamic Duration is an actively managed fund that invests mainly in bonds and similar fixed income securities with a short duration and takes active positive or negative duration (interest-rate sensitivity) positions. The duration positioning of the fund is fully based on a quantitative model.The fund's objective is to provide long term capital growth. Active duration management is the sole performance driver for this fund. Robeco’s quantitative duration model generates forecasts for the direction of bond yields in the main developed bond markets (United States, Germany and Japan). The duration overlay is implemented using bond futures.

Key facts

Per 07-31-2023

Total size of fund

$ 53,556,737

Size of share class

$ 2,006,918

Inception date fund

06-01-2006

1-year performance

2.21%

Dividend paying

No

The value of the investments may fluctuate. Past performance is no guarantee of future results.
Performances are net of fees and based on transaction prices.

Fund manager

Olaf Penninga

Olaf Penninga

Lodewijk van der Linden

Lodewijk van der Linden

Johan Duyvesteyn

Johan Duyvesteyn

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.

Key points
About the fund
Key facts
Fund manager

Performance

Per period

Per annum

  • Per period
  • Per annum
Per 07-31-2023
Per period Fund Index

1 month

0.69%

0.44%

3 months 

2.24%

1.33%

YTD

3.77%

2.86%

1 year

2.21%

4.21%

2 years

1.52%

2.26%

3 years

1.40%

1.52%

5 years

1.15%

1.60%

10 years

0.87%

1.07%

Since inception 06/2006

0.84%

1.49%

The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Performances are net of fees and based on transaction prices.
Per annum Fund Index

2022

1.03%

1.65%

2021

-0.65%

0.04%

2020

-2.88%

0.38%

2019

2.16%

2.20%

2018

3.41%

1.89%

2020-2022

-0.85%

0.69%

2018-2022

0.59%

1.23%

The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Performances are net of fees and based on transaction prices.

Statistics

Statistics

Hit-ratio

Characteristics

  • Statistics
  • Hit-ratio
  • Characteristics
Per 07-31-2023
Statistics 3 years 5 Years

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.

2.55

2.42

Information ratio

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.

0.32

0.18

Sharpe ratio

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.

0.21

0.09

Alpha (%)

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..

-0.39

-0.76

Beta

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.

-3.59

-5.32

Standard deviation

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).

2.59

2.47

Max. monthly gain (%)

The maximum (i.e. highest) absolute positive monthly performance in the underlying period.

2.28

2.28

Max. monthly loss (%)

The maximum (i.e. highest) absolute negative monthly performance in the underlying period.

-1.90

-1.90

Hit-ratio 3 years 5 Years

Months out performance

Number of months in which the fund outperformed the benchmark in the underlying period.

17

32

Hit ratio (%)

This percentage indicates the number of months in which the fund outperformed in a given period.

47.2

53.3

Months Bull market

Number of months of positive benchmark performance in the underlying period.

36

60

Months outperformance Bull

Number of months in which the fund outperformed positive benchmark performance in the underlying period.

17

32

Hit ratio Bull (%)

This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.

47.2

53.3

Months Bear market

Number of months of negative benchmark performance in the underlying period.

0

0

Months outperformance Bear

Number of months in which the fund outperformed negative benchmark performance in the underlying period.

0

0

Hit ratio Bear (%)

This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.

0

0

Characteristics Fund

Option Adjusted Modified Duration (years)

The interest rate sensitivity of the portfolio.

-3.90

Maturity (years)

The average maturity of the securities in the portfolio.

-4.70

Above mentioned ratios are based on gross of fees returns.

Costs

Per 07-31-2023
Cost of this fund Percentage

Ongoing charges

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.

0.91%

Included management fee

A fee paid by the fund to the asset management company for the professional management of the fund.

0.70%

Included service fee

This fee is intended to cover official fees, such as the cost of annual reports, annual shareholders' meetings and price publications.

0.16%

Transaction costs

The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.

0.09%

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 0.05% 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.

Fiscal treatment of investor

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.

Performance
Price development
Statistics
Cost of this fund
Fiscal: product
Fiscal: investor

Fund allocation

Currency

Duration

Rating

Sector

  • Currency
  • Duration
  • Rating
  • Sector
Per 07-31-2023
All positions are hedged to the base currency of the fund class. There is no active currency policy. Small temporary deviations from the benchmark may arise due to market movements.

Policies

  • All currency risks are hedged.

  • Robeco QI Long/Short Dynamic Duration makes use of derivatives in order to implement the duration overlay. In addition, derivatives are used to hedge the currency risks of the portfolio. These derivatives are very liquid.

  • In principle the fund does not intend to distribute dividend. The income earned by the fund is reflected in its share price. The fund's entire result is thus reflected in its share price development.

  • Robeco QI Long/Short Dynamic Duration is an actively managed fund that invests mainly in bonds and similar fixed income securities with a short duration and takes active positive or negative duration (interest-rate sensitivity) positions. The duration positioning of the fund is fully 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. Active duration management is the sole performance driver for this fund. Robeco’s quantitative duration model generates forecasts for the direction of bond yields in the main developed bond markets (United States, Germany and Japan). The duration overlay is implemented using bond futures. The Benchmark of the fund is a cash benchmark. The fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the application of a tracking error limit. This will consequently limit the deviation of the performance relative to the Benchmark. The Benchmark is an overnight index or ‘money market index’ that is not consistent with the ESG characteristics promoted by the fund.

  • Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.

Fund allocation
Policies

Sustainability-related disclosures

  • Summary sustainability-related disclosures
  • Full sustainability-related disclosures

Sustainability profile

Per 07-31-2023
Exclusions
ESG Integration
Engagement

Sustainability

Per 07-31-2023

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.

Sustainability-related disclosures
Profile
Sustainability

Market development

Per 07-31-2023

Government bond yields rose in July, especially in Japan. The Bank of Japan increased the flexibility of its yield curve control: 10-year yields will be allowed to rise above 0.5%, but not above 1%. US and German yields rose in early July on strong labor market data, but fell back when US inflation declined more than expected. Yields rose again towards the end of the month on better US growth. Two-year yields declined and curves steepened as both the Fed and the ECB raised rates by 25 bps, but did not commit to a further rate hike in September. Japanese government bonds returned -1.4% in July, US Treasuries -0.5% and German Bunds -0.35% (all returns hedged to euro).

Performance explanation

Per 07-31-2023

Based on transaction prices, the fund's return was 0.69%. The fund performed strongly in July. This performance was generated by the short duration positions in German and US futures that were in place for the full month. Year-to-date, the fund has generated a positive total return and it has outperformed the index strongly by benefiting from lower yields in the US in the first weeks of the year and in Japan in the first half of the year, and by protecting against rising yields in Germany and the US in February, April and June-July. All active duration positions are based on the outcomes of our quantitative duration model.

Expectation of fund manager

Olaf Penninga

Olaf Penninga

Lodewijk van der Linden

Lodewijk van der Linden

Johan Duyvesteyn

Johan Duyvesteyn

The fund's duration policy is driven by the outcomes of our proprietary quantitative duration model. At the end of July, the model predicts rising yields for US and German bonds, driven by the inflation, monetary policy, growth, trend, valuation and low-risk variables. The model outcome is neutral for Japanese bonds, mainly due to the more favorable scores on the valuation and monetary policy variables.

Market development
Performance explanation
Expectation of fund manager

Fund documents

  • Factsheet
  • Prospectus
  • Articles of association
  • Key Information Document (PRIIP)
  • Full sustainability-related disclosures
  • Summary sustainability-related disclosures

(Semi) annual reports

  • Annual report 2022
  • Annual report 2021
  • Annual report 2020
  • Semi-annual report 2023
  • Semi-annual report 2022
  • Semi-annual report 2021

Announcements

  • Publication semi-annual reports 2023 (08-31-2023)
  • Publication Semi-annual reports 2022 (08-31-2022)
Fund documents
Reports
Announcements

Regulation S Disclosure

The Robeco Capital Growth Funds have not been registered under the United States Investment Company Act of 1940, as amended, nor the United States Securities Act of 1933, as amended. None of the shares may be offered or sold, directly or indirectly in the United States or to any US Person. A US Person is defined as (a) any individual who is a citizen or resident of the United States for federal income tax purposes; (b) a corporation, partnership or other entity created or organized under the laws of or existing in the United States; (c) an estate or trust the income of which is subject to United States federal income tax regardless of whether such income is effectively connected with a United States trade or business.

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The Robeco Capital Growth Funds have not been registered under the United States Investment Company Act of 1940, as amended, nor or the United States Securities Act of 1933, as amended. None of the shares may be offered or sold, directly or indirectly in the United States or to any U.S. Person (within the meaning of Regulation S promulgated under the Securities Act of 1933, as amended (the “Securities Act”)). Furthermore, Robeco Institutional Asset Management B.V. (Robeco) does not provide investment advisory services, or hold itself out as providing investment advisory services, in the United States or to any U.S. Person (within the meaning of Regulation S promulgated under the Securities Act).
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