Robeco QI Global Multi-Factor Credits IH USD

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. Mark Whirdy is Portfolio Manager Quant Fixed Income. His areas of expertise include portfolio optimization, credit markets, credit derivatives modelling and quant investment process development. Prior to joining Robeco, Mark was Portfolio Manager in the Quant Credit team at Pioneer Investments and Analyst in the Quantitative Equities team at that firm. He is a graduate from University College Dublin, and holds a Master’s in Business from University of Ulster. 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.

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 incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, and engagement. The fund does not invest in issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Via portfolio construction rules the fund targets a better ESG score and lower carbon, water and waste footprints than that of the reference index. This ensures that credit issuers with better ESG scores or lower environmental footprints are more likely to be included in the portfolio, and vice versa. In addition, our credit analysts check buy candidates and portfolio holdings for ESG risks that may have material impact for bond holders. Lastly, where corporate issuers are flagged for breaching international standards in our ongoing monitoring, the issuer will become subject to engagement.

The Bloomberg Global Aggregate Corporates Index posted a credit return of -0.20%, as credit spreads widened somewhat from 133 to 135 bps. The euro-hedged total return was -2.66%, as underlying government bond yields increased substantially. The very strong start to the year did not continue into February: investment grade spreads widened somewhat, while high yields spreads tightened somewhat. Macro data moved markets the most this month, with a very strong US non-farm payrolls report with broad-based job gains and a new historic low in unemployment. Also, higher-than-expected core CPI figures across the globe surprised markets, reaching the highest level since the early 1980s in Japan. Due to hawkish central bank rhetoric, rate hike expectations increased both in the US and Europe, and as a consequence, government bond yields increased strongly. In the US, the infamous 2s10s curve and the Conference Board's index indicate a US recession is still highly likely. In China, the reopening of the economy continues to benefit Asian economies and credits. Global issuance remained robust amid the increasing rate volatility.

Based on transaction prices, the fund's return was -2.33%. Based on closing prices, the fund posted a relative return of +0.11% versus the benchmark. Issue(r) selection made a strong positive contribution and beta allocation detracted slightly. Duration hedging inaccuracies detracted as well. The value factor made the largest positive contribution, followed by smaller positive contributions from size and low-risk/quality. The momentum factor contributed neutrally. Sector allocation made a large negative contribution, mainly due to the overweights in agencies and in the energy sector. Currency allocation contributed slightly positively, due to the overweight in EUR bonds; the underweight in CAD bonds slightly detracted. Country allocation made a small positive contribution, due to the overweights in Germany and Spain; the underweight in Canada slightly detracted. The allocation to subordination groups slightly detracted, mostly due to the underweight in senior financials; the overweight in corporate hybrids contributed slightly positively. Rating allocation made a positive contribution, entirely due to the off-benchmark position in BAs.

Robeco QI Global Multi-Factor Credits invests systematically in predominantly investment grade credits. It offers balanced exposure to a number of quantitative factors. In the long term, we expect the fund to outperform the market by systematically harvesting factor premiums with a risk profile that is similar to the reference index.