Robeco QI Dynamic High Yield EH EUR

January was the ultimate snapback month for global high yield bonds. Total returns were close to 4% on the back of spreads recouping after a heavy beating in December. The market was in full risk-on mode at the start of the year, this was triggered by Fed chair Powell’s dovish speech on 4 January. He reaffirmed this dovish sentiment at the end of the month. Global CDS spreads tightened by 45 bps for the iTraxx CrossOver Index and by 96 bps for the CDX High Yield Index. The global underlying government bond return was close to zero with a return of 0.14%. The combined return of investing in CDS indices and government bonds was 3.25%, an underperformance versus the cash high yield bond index which returned 3.72%.

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.