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Robeco QI Global Diversified Carry F EUR

ISIN: LU1241711487
  • Aims to generate income from equities, fixed income and currencies in developed markets.
  • Opportunity to diversify ones portfolio from traditional equities and bonds.
  • Liquid, transparant and systematic investment approach.
Assets class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Diversified Carry invests in equity indices, fixed income markets and currencies throughout the world, such as Australia, Japan, Germany, UK and US. The aim is to continuously select the equity markets that will pay the highest dividends, the fixed income markets with the highest coupon payments, and the currencies with the highest short-term interest rates.

Price development

No performance data available

Price development

Robeco QI Global Diversified Carry F EUR

Performance

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The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.
Fund Reference index
The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.

Performance explanation

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Based on transaction prices, the fund's return was -0.16%. The carry factor (‘Collect income’) stands at the core of the fund. A carry strategy entails buying high income assets and selling low income assets, generating a steady income if prices do not move. Traditional carry strategies focus solely on the highest income and ignore price movement impacts, leaving them open to significant price risk. We mitigate this risk through three steps. First, we take long and short positions per asset class, effectively neutralizing systematic market risk, to harvest a strong and steady market agnostic carry premium. The second step is to supplement our decision making with a momentum factor (‘Follow the trend’), where we increase allocation to recent winners and decrease allocation to recent losers. As a third risk mitigation step we invest broadly, in currencies, fixed income and equities. The historical pairwise carry premium correlation for these asset classes is low, allowing us to diversify away unrewarded risks. Combined, the strategy harvests a steady and robust carry premium. The carry factor offers strong risk-adjusted performance, is robust to falsification, persistent, explainable and executable.

Statistics

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Market development

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The fund takes long and short positions in each asset class and therefore has limited market risk. It invests in equity markets through equity index futures, where it benefits from long exposure to high dividend-paying equity markets and mitigates market risk through short exposures to low dividend-paying markets. Currency forwards are used to invest in the main currencies, benefiting from high-yielding currencies, financed by low-yielding ones. Bond markets are invested in through interest rate swaps. Here the fund is positioned to benefit from differences in the steepness of the curve between countries and between maturities. We take long positions in country and maturity combinations with high yield pick-up and roll-down, and we mitigate interest rate risk through short positions in country and maturity combinations with less steep, flat or inverted curves. Combined, the solution provides efficient and enhanced exposure to the carry factor premium in global markets.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
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ESG integration
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Sustainability Themed Fund

Currency policy

Except for the active currency positions, currency risks are hedged to the base currency of the fund (EUR).

Dividend policy

This share class of the fund does not distribute dividend.

ESG Integration policy

ESG stands at the core of the fund and is integral to Robeco’s overall strategy. Environment, Social and Governance (ESG) aspects are systematically integrated in our highly disciplined investment process in several ways. Firstly, the portfolio’s ESG score is substantially better than the reference index (market for MFAR). This score is developed by sustainability expert RobecoSAM and covers approximately 4,500 companies. Also, the environmental footprint of greenhouse gas emissions, energy consumption, water use and waste generation is substantially lower than the reference index (market for MFAR). Furthermore, we exclude Controversial Weapons, companies with Controversial Behavior and Tobacco from the investable universe and we continuously monitor our universe for companies with corporate governance issues, with major litigations or regulatory risk. Finally, we conduct proxy voting and engagement activities to improve companies’ behavior on ESG themes. All the above results in an ESG profile of the fund that is, on average, substantially better than that of its peers.

Investment policy

Robeco QI Global Diversified Carry invests in equity indices, fixed income markets and currencies throughout the world, such as Australia, Japan, Germany, UK and US. The aim is to continuously select the equity markets that will pay the highest dividends, the fixed income markets with the highest coupon payments, and the currencies with the highest short-term interest rates. The fund is an absolute return fund based on quantitative models with the primary aim to generate income with limited net market exposure. This is done through long/short investing in equity indices, fixed income markets and currencies in developed markets throughout the world.

Risk policy

Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.

Expectation of fund manager

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The fund aims at harvesting a stable income stream in fixed income, equities and currencies by dynamically allocating to securities based on its carry, or income. It is constructed as a liquid, transparent and evidence-based return-generating solution with limited long-run correlation to traditional asset classes. The fund is well-diversified across asset classes and markets, it targets consistent returns over cash in any market environment with a bond-like volatility. The strategy leverages on Robeco's experience, expertise and extensive research in quantitative investing.

Guido Baltussen, Shengsheng Zhang, CFA, Klaas Smits, Thibault Lair, CFA, Lodewijk van der Linden
Guido Baltussen, Shengsheng Zhang, CFA, Klaas Smits, Thibault Lair, CFA, Lodewijk van der Linden

Guido Baltussen, Shengsheng Zhang, CFA, Klaas Smits, Thibault Lair, CFA, Lodewijk van der Linden

Guido Baltussen is Head of the Quant Allocation team and Lead Portfolio Manager Liquid Alternatives and Multi Asset strategies. He also holds a position as Associate Professor at Erasmus University Rotterdam. Before joining Robeco in 2017, Guido was Head of Fixed Income and Multi Asset Research at NN Investment Partners. He started his career in the investment industry in 2004 and has published in highly ranked academic journals such as the American Economic Review, Management Science and the Journal of Financial and Quantitative Analyses. Guido holds a PhD and a Master's (cum laude) in Financial and Business Economics from Erasmus University Rotterdam. Ms. Shengsheng Zhang is Portfolio Manager Global Allocations with Robeco since September 2012. Prior to joining Robeco, Shengsheng was employed by Delta Lloyd Asset Management for 6 years where she first held the position of Quantitative Analyst and later of Quantitative Portfolio Manager. She holds a Master's degree in Financial Engineering from the University of Twente and she is CFA charterholder. Mr. Smits is responsible for the management and development of Robeco's Multi Asset Quant capabilities and part of the Investment Solutions team. Prior he was responsible for developing Robeco's FamdA capabilities in both listed and private equity. Before that he worked for Robeco in New York managing the Fixed Income Allocation team. From 2000 to 2007 he was Head of the Robeco's Investment Grade and High Yield team.  Prior to joining Robeco, he worked for Interpolis, as Senior Fixed Income Portfolio Manager.  Mr. Smits began his investment career with Assicurazioni Generali in 1991. Mr. Smits holds a Bachelor's degree from the Institute for Business Administration and Economics, Groningen, the Netherlands. Thibault Lair is Portfolio Manager Quant Multi Asset products in the Quant Allocation team. His areas of expertise include the development and review of directional and relative value systematic strategies across asset classes. Prior to joining Robeco in 2018, Thibault was a Quantitative Stategist at NN Investment Partners in the period 2008-2018. He started his career in the investment industry in 2007 at RBC Dexia. Thibault is a PhD candidate and holds a Master's in Finance from the Université du Québec à Montréal. He also is a CFA® charterholder and Certified FRM. Lodewijk van der Linden is Portfolio Manager within the Quant Allocation team. His area of expertise is multi-asset factor investing. Prior to joining Robeco in August 2018, Lodewijk held several positions at Aegon, most recently as Team Manager of Client Reporting at Aegon Asset Management. He started his career as an actuarial consultant at PwC. He holds a Master's degree in Actuarial Science from the University of Amsterdam and a Master's degree in Econometrics and Management Science from the Erasmus University Rotterdam.

Details

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Management company
Fund capital
Outstanding shares
ISINLU1241711487
BloombergRGDFEUR LX
Valoren28419474
WKNA2AHFJ
Availability
1st quotation date1440460800000
Close financial year31-12
Legal status
Tracking error limit (%)
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
Management fee
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Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

Extra fees

max entry fee
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Fiscal product treatment

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.

Fiscal treatment of investor

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.

Disclaimer

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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