Robeco QI Dynamic High Yield EH EUR

The global high yield market traded more or less sideways in July, as a dovish Fed backdrop provided some support for spreads. Total returns were modest but positive for the month, helped by the first rate cut by the Fed since 2008. Powell mentioned that the need for a sustained rate cut cycle is not very likely and said “we’re thinking of this as a mid-cycle adjustment to policy”. Mario Draghi’s last press conference for the ECB reaffirmed the bank’s dovish stance, pushing down German Bund yields. The trade war with China remains a heated topic, sparking market-wide volatility as a deal is deemed more uncertain than before. The CDS spread tightened by 2 bps for the iTraxx CrossOver Index and remained the same for the CDX High Yield Index. The global underlying government bond return was negative at -0.2%. The combined return of investing in CDS indices and government bonds was -0.4%, lower than the cash high yield bond index which returned 0.4%.

To preserve the value of the investments of Robeco Quant High Yield Fund EH EUR in Euro against the fluctuations of the US Dollar, derivatives are used for currency hedging transactions.

The fund distributes a dividend on an annual basis.

For Robeco QI Dynamic High Yield the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.

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, which are independently maintained, are much more liquid than direct investments in high yield bonds. Twice a year the issuers with the highest liquidity are added to these indices and distressed issuers are excluded. Because of their high liquidity, investors can use these CDS indices to efficiently get high yield exposure with much lower transaction costs than 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 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. Especially in low-liquidity environments, the benefits of the strategy become clear: cash bond returns could be severely hurt, whereas market stress has a much more muted impact on the liquid instruments used in Robeco QI Dynamic High Yield .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.