Robeco QI Dynamic High Yield IBH GBP

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.

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.

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.

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.

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.