Robeco QI Global Multi-Factor Bonds DH EUR

Olaf Penninga is Portfolio Manager Quant Fixed Income. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. These are all quantitative fixed income strategies. His previous positions with Robeco include that of Lead Portfolio Manager for Robeco’s fundamentally-managed Euro Government Bonds strategy and Researcher with responsibility for fixed income allocation research. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University. 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. 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.

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.

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.

The fund incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, and engagement. For investments in government bonds, the fund complies with Robeco's exclusion policy for countries and does not invest in countries where serious violations of human rights or a collapse of the governance structure take place, or if countries are subject to UN, EU or US sanctions. Via portfolio construction rules the fund targets a better ESG score and a lower carbon footprint compared to the government bonds part of the reference index. For investments in corporate bonds, 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 corporate component in the reference index. These portfolio construction rules ensure that issuers with a better ESG scores or a lower environmental footprint are more likely to be included in the portfolio, and vice versa. For corporate bonds, the investment process also includes a check of buy candidates and portfolio holdings by our credit analysts 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.

Bond yields rose in February, reversing the rally seen in January. Strong US labor market data and a further rise in Eurozone core inflation point to further rate hikes. Markets moved to discount a higher peak in rates and the first rate cuts are now only expected in 2024. Yields rose and curves inverted further, with US and German 2-year yields reaching the highest levels since 2007 and 2008 respectively. US Treasuries returned -2.5% and German Bunds -2.4%. Australian bonds declined less and Japanese bonds even rallied. Professor Ueda will be the new Bank of Japan governor. The credit spread of the Bloomberg Global Aggregate Corporates Index increased somewhat from 133 to 135 bps.

Based on transaction prices, the fund's return was -1.24%. The fund outperformed the index in February, with all three performance drivers contributing positively, just like last month. Value was the strongest factor within government bond selection. The resulting curve positioning within the US, Japan and Australia contributed the most. Value was also the strongest factor in credit selection, followed by the low-risk/quality factor. The duration overlay contributed the most to the overall performance, with underweight duration positions in Germany and the US, and an overweight position in Japanese futures.

Robeco QI Global Multi-Factor Bonds invests systematically in predominantly investment grade credits and government bonds. It offers balanced exposure to a number of quantitative factors. The bottom-up selection of government bonds and credits aims to systematically harvest factor premiums with a risk profile that is similar to the reference index. On top of that, the fund incorporates an active duration overlay, which is based on the outcomes of our quantitative duration model.