Robeco QI Dynamic High Yield IH GBP

In the first three weeks of February, the credit markets were relatively stable, but during the last week of the month spreads jumped to much higher levels. The credit market reacted strongly to the global spreading of the coronavirus and its implications for growth. Central banks initially adopted a wait-and-see approach with respect to the possible economic implications of the virus, but started to sound more dovish towards the end of the month. The CDS spread widened by 67 bps for the iTraxx CrossOver Index and by 74 bps for the CDX High Yield Index, resulting in a global CDS index return of -3.1%. The global underlying government bond return was positive with a return of 1.0%. The combined return of investing in CDS indices and government bonds was -2.1%, lower than the cash high yield bond index which returned -1.6%.

To preserve the value of the investments of Robeco Quant High Yield Fund IH GBP in Pound Sterling against the fluctuations of the US Dollar, derivatives are used for currency hedging transactions.

All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.

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.