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Based on transaction prices, the fund's return was -3.48%. The fund's gross return lagged the high yield cash bond market index by -0.29%. The underweight beta positioning contributed strongly positively, while the region allocation contributed neutrally. The combined return of investing in CDS indices and government bonds underperformed high yield cash bonds and thus detracted from performance. In the long run, we do not expect structural return differences between CDS indices and bonds.
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The global high yield bond spread widened by 54 bps. The European iTraxx Crossover widened by 89 bps and the US CDX High Yield by 86 bps. CDS market returns in Europe and the US were therefore similar. The global CDS index return was -3.41% and the underlying government bonds contributed -1.76% due to sharply increasing yields. Therefore, the combined return of investing in CDS indices and government bonds was -5.18% last month, strongly underperforming the -3.44% return of the high yield cash bond index. Stagflationary trends and geopolitical uncertainty weighed on markets in April. Central banks signaled rate hikes in response to continued inflation. Earnings results surprised on the upside, particularly in Europe. Cyclical sectors delivered the bulk of earnings growth, but lagged defensive sectors with respect to earnings beats. China reinstated lockdowns and mass testing in response to Covid resurgences, while infection rates continued to decline in Western countries. Russia withdrew from Kyiv and redeployed forces in the Eastern and Southern regions of Ukraine, while the West developed further sanctions.
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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.
The fund is classified as falling under Article 6 of Regulation (EU) 2019/2088 of 27 November 2019 on sustainability-related disclosures in the financial sector.
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 are much more liquid than direct investments in high yield bonds. Because of their high liquidity, investors can use these CDS indices to efficiently get high yield exposure with much lower transaction costs than through 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 Bloomberg 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. 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.
The fund is classified as falling under Article 6 of Regulation (EU) 2019/2088 of 27 November 2019 on sustainability-related disclosures in the financial sector.
The positions of the fund are fully determined by the outcome of our proprietary model. By the end of the month, the fund had an underweight beta position. The underweight is mainly driven by the negative momentum and macro variables. The region allocation had an overweight position in Europe and an underweight position in the US, based on relative valuation.
Mr. Johan Duyvesteyn is Portfolio Manager and Quantitative Researcher with Robeco. Johan has been active in the industry and with Robeco since 1999. He started his career as researcher. His areas of expertise are government bond market timing, country sustainability and emerging debt. Johan has published several articles in the academic finance literature, including the Journal of Empirical Finance, the Journal of Banking and Finance and the Journal of Fixed Income. Johan holds a Ph.D. in Finance as well as a Master's degree in Financial Econometrics from the Erasmus University Rotterdam. He became a CFA charter holder in 2005 and is registered with the Dutch Securities Institute. Patrick Houweling is Lead Portfolio Manager and Researcher Quant Credits. Prior to joining Robeco in 2003, he was Risk Manager at Rabobank International where he started his career in 1998. Patrick has published articles in academic finance literature, 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', co-written by Jeroen van Zundert, received a Graham and Dodd Scroll Award of Excellence for 2017. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam.
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ISIN | LU1102563613 |
Bloomberg | RQHYIHU LX |
Valoren | 25259702 |
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1st quotation date | 1409184000000 |
Close financial year | 31-12 |
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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.
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.
The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).
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Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.
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