Robeco QI Dynamic High Yield CH EUR
Looking for long-term capital growth and diversified exposure to global high yield via CDS index derivatives
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.
CH-EUR
D2H-USD
EH-EUR
IBH-GBP
IH-EUR
IH-GBP
IH-USD
Class and codes
Asset class:
Bonds
ISIN:
LU1233758744
Bloomberg:
RQHYCHE LX
Index
Bloomberg Global HY Corporate
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 6
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 (30/09)
- Overview
- Performance & costs
- Portfolio
- Sustainability
- Commentary
- Documents
MISSING: fund.detail.tabs.
Key points
- Liquid exposure to global high yield corporates
- Performance driven by a unique quantitative model
- An alternative for passive or direct high-yield investments
About this fund
Robeco QI Dynamic High Yield is an actively managed fund that aims to provide long-term capital growth and offers diversified exposure to global high yield corporates, by investing primarily in CDS index derivatives. The selection of these instruments is based on a quantitative model. The performance is model-driven by taking active beta positions to decrease or increase the exposure towards the high-yield market within pre-defined risk limits.
Key facts
Total size of fund
€ 269,221,526
Size of share class
€ 71,530
Inception date share class
28-05-2015
1-year performance
17.38%
Dividend paying
Yes
Fund manager
Johan Duyvesteyn
Patrick Houweling
Lodewijk van der Linden
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. 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. 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.
Performance
Per period
Per annum
- Per period
- Per annum
1 month
1.53%
1.33%
3 months
3.98%
4.41%
YTD
6.67%
7.02%
1 year
17.38%
13.60%
2 years
14.64%
10.96%
3 years
3.21%
0.86%
5 years
3.63%
2.54%
Since inception 05/2015
3.69%
2.96%
2023
17.03%
10.48%
2022
-11.98%
-12.97%
2021
3.34%
2.81%
2020
3.29%
4.91%
2019
9.10%
10.91%
2021-2023
2.11%
-0.39%
2019-2023
3.71%
2.84%
Statistics
Statistics
Hit-ratio
Characteristics
- Statistics
- Hit-ratio
- Characteristics
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.
3.56
5.03
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.
0.85
0.33
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
0.38
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..
3.09
2.03
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.
1.02
0.76
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).
8.93
8.36
Max. monthly gain (%)
The maximum (i.e. highest) absolute positive monthly performance in the underlying period.
5.64
6.74
Max. monthly loss (%)
The maximum (i.e. highest) absolute negative monthly performance in the underlying period.
-4.00
-5.57
Months out performance
Number of months in which the fund outperformed the benchmark in the underlying period.
21
30
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
58.3
50
Months Bull market
Number of months of positive benchmark performance in the underlying period.
20
39
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
15
22
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
75
56.4
Months Bear market
Number of months of negative benchmark performance in the underlying period.
16
21
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
6
8
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
37.5
38.1
Rating
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.
B1/B2
BA3/B1
Option Adjusted Modified Duration (years)
The interest rate sensitivity of the portfolio.
3.90
2.90
Maturity (years)
The average maturity of the securities in the portfolio.
4.10
3.90
Dividend paying history
27-09-2024
€ 1.57
25-06-2024
€ 1.56
27-03-2024
€ 1.56
21-12-2023
€ 1.26
Costs
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.
0.62%
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
0.40%
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.
0.06%
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.
Fund allocation
Country
Currency
Duration
Rating
Sector
- Country
- Currency
- Duration
- Rating
- Sector
Policies
Currency risks are hedged.
The fund distributes a dividend on an annual basis.
Robeco QI Dynamic High Yield is an actively managed fund that aims to provide long-term capital growth and offers diversified exposure to global high yield corporates, by investing primarily in CDS index derivatives. The selection of these instruments is based on a quantitative model. The performance is model-driven by taking active beta positions to decrease or increase the exposure towards the high-yield market within pre-defined risk limits. The Sub-fund is actively managed. The Sub-fund aims to outperform the Benchmark over the long run, whilst still controlling the risk of the Sub-fund in comparison to the Benchmark. This will consequently limit the deviation of the performance relative to the Benchmark.
The investment strategy of the fund aims to outperform its 100% exposure to high yield corporates by taking active beta positions based on Robeco's quantitative market timing model. These active positions are set to always meet the predefined guidelines. As the investment exposure of the fund is obtained to a material degree through derivatives, it is important to manage counterparty risk. Therefore the credit quality of the counterparties is monitored and collateral is exchanged on a daily basis to reflect market movements in the value of the instruments. The predefined guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.
Sustainability profile
Sustainability
The fund is classified as falling under Article 6 of Regulation (EU) 2019/2088 of 27 November 2019 on sustainability-related disclosures in the financial sector.
Market development
The global high yield bond spread tightened somewhat by -7 bps. CDS index spreads widened, the European iTraxx Crossover by 23 bps and the US CDX High Yield by 7 bps as both indices were rolled to the new series; corrected for the roll, the CDS index spreads also tightened and the US outperformed Europe. The global CDS index return was 0.91% and the underlying government bonds contributed 0.80%. Therefore, the combined return of investing in CDS indices and government bonds was 1.71% this month, outperforming the 1.33% return of the high yield cash bond index. The Fed cut rates by 0.5% in September in a move characterized as a 'safety' strategy to avoid further economic softening. Meanwhile, the ECB indicated the potential for a rate cut in October driven by weak survey data and a sharp deceleration in French and Spanish inflationary pressures. In credit markets, there was notable widening in the banks and autos sectors due to economic concerns and sovereign risks; the overall credit market did not widen though. Equity markets also showed resilience, with European stocks reaching new records driven by strong fund inflows.
Performance explanation
Based on transaction prices, the fund's return was 1.53%. The fund's gross return outperformed the high yield cash bond market index by 0.24%. The credit beta underweight position detracted. The region allocation and the duration overweight positions contributed positively, but not enough to offset the negative contribution from the beta underweight. The combined return of investing in CDS indices and government bonds outperformed the return of high-yield cash bonds. In the long run, we do not expect structural return differences between CDS indices and bonds.
Expectation of fund manager
Johan Duyvesteyn
Patrick Houweling
Lodewijk van der Linden
The positions of the fund are fully determined by the outcomes of our proprietary models. At the end of the month, the fund had an underweight credit beta position. The region allocation position was overweight in the US and underweight in Europe. The fund had overweight duration positions in the US and Germany.
Important information
Past performance is no indication of current or future performance. This is not a buy, sell or hold recommendation for any particular security. No representation is made that these examples are past or current recommendations, that they should be bought or sold, nor whether they were successful or not.
Any opinion or estimate contained in this website is made on a general basis and is not to be relied on by the reader as advice. Robeco reserves the right to make changes and corrections to its opinions expressed here, this website and the associated materials and links at any time, without notice.