Robeco QI Global Dynamic Duration IBH JPY
- Global government bond exposure with solid credit quality
- Anticipating the direction of the bond markets
- Proven track record in multiple market environments
About this fund
Price development
Performance
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundPerformances.date,'llll') ]}}| Fund | Index | |
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| {{'fund.detail.performance.period.sinceInception' | labelize:[ fundDate(fund.fundPerformances.sinceStart.startDate,'MM-YYYY') ]}} |
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 | |
|---|---|---|
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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Based on transaction prices, the fund's return was -1.90%. The fund started the month with overweight duration positions in the US, Germany and Japan. During the month the overweights in the US and Germany were closed driven by declining scores for the growth, inflation and trend variables. Overall, the active positions detracted from the performance as yields rebounded in the first weeks of September, after the strong rally in August. All active duration positions are based on the outcomes of our quantitative duration model.
Statistics
{{'fund.detail.general.perDate' | labelize:[ fundDate( (fund.fundStatistics.date?fund.fundStatistics.date:fund.fundCharacteristics.date) ,'llll') ]}}| 3 years | 5 years | ||
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| Fund | Reference index | ||
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| Rating | |||
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Dividend paying history
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Date | Amount |
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Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Bond yields rose sharply in the first weeks of September, after the strong rally in August. Bond issuance resumed, trade tensions seemed to abate and ECB hawks voiced opposition against further easing. Despite the opposition, the ECB cut rates and announced renewed Quantitative Easing; from November onwards it will buy EUR 20 bln of bonds per month. The Federal Reserve also cut rates in September. The president of the Bank of Japan called the yield curve too flat, spurring a sell-off in long-dated bonds. Yields fell back in the last weeks of September, but not to the lows seen in August. German Bunds returned -1.1%, US Treasuries -1.2% and Japanese government bonds -1.4%.
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
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Fund Classification
| Yes | No | N/A | ||
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| Voting | ||||
| Engagement | ||||
| ESG integration | ||||
| Exclusion |
| Yes | No | N/A | ||
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| Screening | ||||
| Integration | ||||
| Sustainability Themed Fund |
Currency policy
All currency risks are hedged.
Derivative policy
Robeco QI Global Dynamic Duration makes use of derivatives in order to implement the duration overlay. In addition, derivatives are used to hedge the currency risks of the portfolio. These derivatives are very liquid.
Dividend policy
This share class of the fund will distribute dividend.
ESG Integration policy
For Robeco QI Global Dynamic Duration the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.
Investment policy
Robeco QI Global Dynamic Duration invests worldwide in government bonds with investment grade quality. The fund uses bond futures to adjust the duration (interest-rate sensitivity) of the portfolio. Duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The aim of the fund is to protect against rising yields and to benefit from rallying bond markets. The fund is quantitatively driven, as the duration positioning is always based on the outcome of our duration model. The model uses market expectations for variables such as economic growth, inflation and monetary policy, as well as technical variables such as valuation, seasonality and trend to predict the direction of bond markets. Depending on the outcome of the model, the duration of the basis portfolio is increased or decreased by maximum 6 years. The model has shown a solid track record since its inception in 1994. The quantitative duration has proven to have forecasting ability in periods with rising yields as well as in periods with declining yields. Therefore Robeco QI Global Dynamic Duration serves as a very good diversifier in a fixed income portfolio and can function as an airbag during adverse markets.Weekly positioning updates are available upon request.
Risk policy
Risk management systems continuously monitor the extent to which the portfolio differs from the benchmark. Extreme discrepancies are prevented in this way. The duration model makes use of futures, which can lead to leverage.
Expectation of fund manager
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. At the end of September, the model’s bond market outlook was positive for the US and Japan. The economic growth, inflation, trend and season variables are all positive for the US. For Japan, all variables show positive scores.
Olaf Penninga
Olaf Penninga is Lead Portfolio Manager for the Dynamic Duration strategy and Portfolio Manager for the Dynamic High Yield strategy. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. One of his previous positions within Robeco was that of Researcher with responsibility for fixed income allocation research, including the research underlying the Dynamic Duration strategy. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in the industry in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University.
Team
Robeco QI Global Dynamic Duration is managed within Robeco’s Quant Allocation team, which consists of six portfolio managers. The team is focused on quantitative allocation strategies including quantitative duration strategies. The team works closely together with fundamental portfolio management teams and with seven dedicated quant allocation researchers. On average, the members of the quant allocation team have an experience in the asset management industry of eighteen years, of which fourteen years with Robeco.
Details
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU1648456728 |
| Bloomberg | ROQGIBH LX |
| Valoren | 37533379 |
| WKN | |
| Availability | |
| 1st quotation date | 1500508800000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
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Cost of this fund
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Transaction costs |
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Performance fee |
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Extra fees
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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 0.01% 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.
Fiscal treatment of investor
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.
