Robeco QI Dynamic High Yield IBH GBP
Looking for long-term capital growth and diversified exposure to global high yield via CDS index derivatives
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 HY Corporate
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.
- Performance & costs
- 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 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.
Total size of fund
Size of share class
Inception date share class
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 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.
- Per period
- Per annum
Since inception 11/2020
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.
Dividend paying history
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 Dynamic High Yield offers well-diversified exposure to US and European high yield corporates by investing in highly liquid CDS indices. These indices are much more liquid than direct investments in high yield bonds. Because of their high liquidity, investors can use these CDS indices to efficiently get high yield exposure with much lower transaction costs than through high yield bonds. The performance of Robeco QI Dynamic High Yield is driven by a unique quantitative market-timing model. This proprietary model has a track record of over 10 years. The model is based on academic research and uses a variety of factors, amongst others from credit and equity markets, to forecast credit returns. Based on this forecast, the exposure of the fund to the high yield corporate bond market will be decreased or increased. As a result, the beta of the portfolio varies between 0.5 and 1.5, to reduce risk in declining markets and to benefit more in rising markets. Robeco QI Dynamic High Yield Fund aims to offer a better return than the Bloomberg Barclays Global High Yield Corporate index. The index is used to express the benefits of the strategy as an alternative to passive or direct investments in high yield bonds. Weekly positioning updates are available upon request.
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.
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. 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 HY Corporate.
The global high yield bond spread widened significantly by 40 bps. The high yield CDS indices also widened: the European iTraxx Crossover by 18 bps and the US CDX High Yield by 37 bps. Therefore, Europe strongly outperformed the US. The global CDS index return was -0.83% and the underlying government bonds contributed -0.19%. Therefore, the combined return of investing in CDS indices and government bonds was -1.02% this month, slightly outperforming the -1.09% return of the high yield cash bond index. 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 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. Eurozone government bond yields declined in October.
Based on transaction prices, the fund's return was -1.06%. The fund's gross return lagged the high yield cash bond market index slightly by -0.02%. The overweight credit beta position detracted, while the region allocation contributed positively. The duration allocation contributed positively as well, driven by the underweight in the US. The combined return of investing in CDS indices and government bonds slightly outperformed high yield cash bonds. In the long run, we do not expect structural return differences between CDS indices and bonds.
Expectation of fund manager
The positions of the fund are fully determined by the outcomes of our proprietary models. At the end of the month, the fund had a neutral credit beta position. The region allocation had an overweight position in Europe and an underweight position in the US, based on the relative valuation. The fund had an underweight duration position in Germany.
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.