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Robeco QI Global Multi-Factor Credits IH USD

Systematic portfolio of predominantly investment grade corporate bonds for long-term capital growth

Contact us

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.

IH-USD

FH-EUR

IH-EUR

IH-GBP

ZBH-GBP

Class and codes

Asset class:

Bonds

ISIN:

LU1235145056

Bloomberg:

ROMFIHU LX

Index

Bloomberg Global Aggregate Corporates 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 (28/02)

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

Overview
Performance & costs
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MISSING: fund.detail.tabs.

Key points

  • Factor investing in investment grade corporate bonds
  • Aiming to generate higher returns with a market-like risk profile
  • For experienced investors looking for style-diversification in a balanced portfolio

About this fund

Robeco QI Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model. The fund's objective is to provide long-term capital growth. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (low risk factor), an attractive valuation (value), a strong performance trend (momentum) and a small market value of debt (size). The investment universe includes bonds with at least a BB rating.

Key facts

Per 28-02-2023

Total size of fund

$ 1,058,020,266

Size of share class

$ 151,530,070

Inception date fund

15-06-2015

1-year performance

-9.46%

Dividend paying

No

The value of the investments may fluctuate. Past performance is no guarantee of future results.

Fund manager

Patrick Houweling

Mark Whirdy

Johan Duyvesteyn

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.

Key points
About the fund
Key facts
Fund manager

Performance

Per 28-02-2023
Per period Fund Index

1 month

-2.33%

-2.41%

3 months 

0.30%

0.33%

YTD

0.86%

0.98%

1 year

-9.46%

-8.98%

2 years

-6.36%

-6.19%

3 years

-3.39%

-3.26%

5 years

0.86%

1.08%

Since inception 06/2015

1.88%

2.04%

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 28-02-2023
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.

0.90

0.74

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.

0.31

0.31

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.

-0.51

-0.03

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..

-0.03

0.19

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.

0.93

0.94

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).

7.95

6.62

Max. monthly gain (%)

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

3.96

3.96

Max. monthly loss (%)

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

-6.03

-6.03

Hit-ratio 3 years 5 Years

Months out performance

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

20

32

Hit ratio (%)

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

55.6

53.3

Months Bull market

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

16

34

Months outperformance Bull

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

5

13

Hit ratio Bull (%)

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

31.3

38.2

Months Bear market

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

20

26

Months outperformance Bear

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

15

19

Hit ratio Bear (%)

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

75

73.1

Characteristics Fund Index

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.

A3/BAA1

A3/BAA1

Option Adjusted Modified Duration (years)

The interest rate sensitivity of the portfolio.

6.00

6.10

Maturity (years)

The average maturity of the securities in the portfolio.

7.90

8.80

Above mentioned ratios are based on gross of fees returns.

Costs

Per 28-02-2023
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.

0.43%

Included management fee

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

0.30%

Included service fee

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

0.12%

Transaction costs

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

0.13%

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.

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

Fund allocation

Currency

Duration

Rating

Sector

  • Currency
  • Duration
  • Rating
  • Sector
Per 28-02-2023
Allocations to bond currency denominations differ from the benchmark by 10% at most, and are otherwise non-tactical, and incidental to the bond selection, which is generated by the quantitative multi-factor ranking model. Currency exposures are subsequently hedged to the currency of the fund class. Over the month, the exposure to USD-denominated paper increased. The portfolio remains underweight in USD-denominated bonds and overweight in EUR and GBP bonds.

Policies

  • 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 Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is 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. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (low risk factor), an attractive valuation (value), a strong performance trend (momentum) and a small market value of debt (size). The investment universe includes bonds with at least a BB rating. The majority of bonds selected will be components of the benchmark, but bonds outside the benchmark may be selected too. The fund can deviate from the weightings of the benchmark. The fund aims to outperform the benchmark over the long run, while still controlling relative risk through the application of limits (on currencies) to the extent of the deviation from the benchmark. This will consequently limit the deviation of the performance relative to the benchmark. The Benchmark is a broad market-weighted index that is not consistent with the ESG characteristics promoted by the fund.

  • The fund will strive to create a risk profile, which is similar to the reference index. The duration and currency exposure of the portfolio will be hedged to the reference index. The strategy can have significant tracking error versus the reference index. The ratio of the portfolio volatility with respect to the volatility of the reference index is restricted by predefined guidelines. These guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.

Fund allocation
Policies

Sustainability-related disclosures

Full sustainability-related disclosures
Download full report
Summary sustainability-related disclosures
Download summary

Sustainability profile

Per 28-02-2023
Exclusions
ESG Integration
Engagement

Environmental footprint

Per 28-02-2023

Environmental footprint expresses the total resource consumption of the portfolio per mUSD invested. Each assessed company's footprint is calculated by normalizing resources consumed by the company's enterprise value including cash (EVIC). We aggregate these figures to portfolio level using a weighted average, multiplying each assessed portfolio constituent's footprint by its respective position weight. Sovereign and cash positions have no impact on the calculation. If an index is selected, its aggregate footprint is shown besides that of the portfolio. The equivalent factors that are used for comparison between the portfolio and index represent European averages and are based on third-party sources combined with own estimates. As such, the figures presented are intended for illustrative purposes and are purely an indication. Figures only include corporates The reported waste generation by companies in the portfolio and index can include Incinerated Waste, Landfill Waste, Nuclear Waste, Recycled Waste and Mining Tailing Waste. While these types of waste have different environmental impacts, in the comparison all types of waste are aggregated and expressed as total weight. The difference in tonnes/mUSD invested between portfolio and index is expressed as ‘equivalent to the annual waste generation of # people’, based on the average tonnes of household waste generated per European.

CGF GMFC_20230228-CGFGMFC_20230228-footprintOwnershipCo2.png
Robeco data based on Trucost data. *
CGF GMFC_20230228-CGFGMFC_20230228-footprintOwnershipWaste.png
Robeco data based on Trucost data*
CGF GMFC_20230228-CGFGMFC_20230228-footprintOwnershipWater.png
Robeco data based on Trucost data*
*Source: S&P Trucost Limited © Trucost 2021. All rights in the Trucost data and reports vest in Trucost and/or its licensors. Neither Trucost, not its affliates, nor its licensors accept any liability for any errors, omissions, or interruptions in the Trucost data and/or reports. No further distribution of the Data and/or Reports is permitted without Trucost's express written consent.

Sustainalytics ESG Risk Rating

Per 28-02-2023

The Portfolio Sustainalytics ESG Risk Rating chart displays the portfolio's ESG Risk Rating. This is calculated by multiplying each portfolio component's Sustainalytics ESG Risk Rating by its respective portfolio weight. If an index has been selected, those scores are provided alongside the portfolio scores, highlighting the portfolio's ESG risk level compared to the index. The Distribution across Sustainalytics ESG Risk levels chart shows the portfolio allocations broken into Sustainalytics' five ESG risk levels: negligible (0-10), low (10-20), medium (20-30), high (30-40) and severe (40+), providing an overview of portfolio exposure to the different ESG risk levels. If an index has been selected, the same information is shown for the index. Only holdings mapped as corporates are included in the figures.

CGF GMFC_20230228-CGFGMFC_20230228-sustainalyticsESGRiskTotal.pngCGF GMFC_20230228-CGFGMFC_20230228-sustainalyticsESGRiskScoreDistribution.pngCGF GMFC_20230228-CGFGMFC_20230228-sustainalyticsESGRiskScoreDistributionTable.png
Source: Copyright 2022 © Sustainalytics. All rights reserved.
The information, methodologies, data and opinions contained or reflected herein are proprietary of Sustainalytics and/or third parties, intended for internal, non-commercial use, and may not be copied, distributed or used in any way, including via citation, unless otherwise explicitly agreed in writing. They are provided for informational purposes only and (1) do not constitute investment advice; (2) cannot be interpreted as an offer or indication to buy or sell securities, to select a project or make any kind of business transactions; (3) do not represent an assessment of the issuer’s economic performance, financial obligations nor of its creditworthiness; (4) are not a substitute for a professional advice; (5) past performance is no guarantee of future results. These are based on information made available by third parties, subject to continuous change and therefore are not warranted as to their merchantability, completeness, accuracy or fitness for a particular purpose. The information and data are provided “as is” and reflect Sustainalytics’ opinion at the date of their elaboration and publication. Sustainalytics nor any of its third-party suppliers accept any liability for damage arising from the use of the information, data or opinions contained herein, in any manner whatsoever, except where explicitly required by law. Any reference to third party names is for appropriate acknowledgement of their ownership and does not constitute a sponsorship or endorsement by such owner. Insofar as applicable, researched companies referred herein may have a relationship with different Sustainalytics’ business units. Sustainalytics has put in place adequate measures to safeguard the objectivity and independence of its opinions. For more information, contact compliance@sustainalytics.com.

Sustainability

Per 28-02-2023

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.

Information
Profile
Environmental footprint
ESG Risk Score
Sustainability

Market development

Per 28-02-2023

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.

Performance explanation

Per 28-02-2023

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.

Expectation of fund manager

Patrick Houweling

Mark Whirdy

Johan Duyvesteyn

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.

Market development
Performance explanation
Expectation of fund manager

Fund documents

  • Factsheet
  • Product sheet
  • Prospectus
  • Articles of association
  • Key Investor Information (KIID)
  • Full sustainability-related disclosures
  • Summary sustainability-related disclosures

(Semi) annual reports

  • Annual report 2021
  • Annual report 2020
  • Annual report 2019
  • Semi-annual report 2022
  • Semi-annual report 2021
  • Semi-annual report 2020

Announcements

  • Publication Semi-annual reports 2022 (31-08-2022)
  • Semi-annual 2021 available (31-08-2021)
Fund documents
Reports
Announcements

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Important information This disclaimer applies to any documents and the verbal or written comments of any person in presentations or webinars on this website and taken together is referred to herein as the “Information”. The services to which the Information relate are NOT FOR RETAIL CLIENTS - The information contained in the Website is solely intended for professional investors, defined as investors which (1) qualify as professional clients within the meaning of the Markets in Financial Instruments Directive (MiFID), (2) have requested to be treated as professional clients within the meaning of the MiFID or (3) are authorized to receive such information under any other applicable laws and must not be relied or acted upon by any other persons. This Information does not constitute an offer to sell, or a solicitation of an offer to buy, any financial product, and may not be relied upon in connection with the purchase or sale of any financial product. You are cautioned against using this Information as the basis for making a decision to purchase any financial product. To the extent that you rely on the Information in connection with any investment decision, you do so at your own risk. The Information does not purport to be complete on any topic addressed. The Information may contain data or analysis prepared by third parties and no representation or warranty about the accuracy of such data or analysis is provided.

In all cases where historical performance is presented, please note that past performance is not a reliable indicator of future results and should not be relied upon as the basis for making an investment decision. Investors may not get back the amount originally invested. Neither Robeco Institutional Asset Management B.V. nor any of its affiliates guarantees the performance or the future returns of any investments. If the currency in which the past performance is displayed differs from the currency of the country in which you reside, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency. Robeco Institutional Asset Management B.V. (“Robeco”) expressly prohibits any redistribution of the Information without the prior written consent of Robeco. The Information is not intended for distribution to, or use by, any person or entity in any jurisdiction or country where such distribution or use is contrary to law, rule or regulation. Certain information contained in the Information includes calculations or figures that have been prepared internally and have not been audited or verified by a third party. Use of different methods for preparing, calculating or presenting information may lead to different results. Robeco Institutional Asset Management B.V. is authorised as a manager of UCITS and AIFs by the Netherlands Authority for the Financial Markets and subject to limited regulation in the UK by the Financial Conduct Authority. Details about the extent of our regulation by the Financial Conduct Authority are available from us on request.