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Robeco QI Global Dynamic Duration IEH USD

Index: JPM GBI Global Investment Grade Index (hedged into USD)
ISIN: LU1664640726
  • Global government bond exposure with solid credit quality
  • Anticipating the direction of the bond markets
  • Proven track record in multiple market environments
Asset class
Current price ()
Performance YTD ()
Currency USD
Total size of fund ()
Dividend payingYes

About this fund

Robeco QI Global Dynamic Duration is an actively managed fund that invests worldwide in government bonds with investment grade quality. The fund's objective is to provide long term capital growth. The fund uses derivatives to dynamically adjust the duration (interest-rate sensitivity) of the portfolio. The duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The ESG scores of countries are a integral part of our bottom-up country allocation decisions.

Price development

No performance data available

Price development

Robeco QI Global Dynamic Duration IEH USD

Performance

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Fund Index
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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 0.30%. The fund lagged the benchmark in June, due to its underweight duration. The portfolio started the month with underweight duration positions in Germany and Japan; the underweight in Germany was closed during the month. The tilts in the underlying portfolio also detracted somewhat from the performance. These tilts contributed positively over the second quarter. Year-to-date, the fund has outperformed, as it offered protection against the rise in yields. All active duration positions are based on the outcomes of our quantitative duration model.

Statistics

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Above mentioned ratios are based on gross of fees returns
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Dividend paying history

Date Amount
Download dividend history

Market development

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Government bonds from developed markets posted positive returns in June, with the US (0.8%) and Australia (1.0%) leading the way. German bunds returned 0.5%, Japanese government bonds just 0.01% (all returns hedged to EUR). Like in April and May, the strongest returns were realized in the markets where yields had risen most in the first quarter. The Fed and the ECB were the main drivers of bond returns in June. The ECB managed to sound dovish by stating that its net PEPP purchases will be continued at a ‘significantly higher’ pace during Q3. The Fed meeting was considered hawkish. US front end yields rose as most FOMC members now expect 50 bps in rate hikes for 2023, but long term Treasuries rallied as Powell signaled a smaller tolerance for an inflation overshoot than indicated earlier. This resulted in a significant flattening of the curve, not only in the US, but also in Australia and the UK.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
Engagement
ESG integration
Exclusion
YesNoN/A 
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

Dividend is distributed annually.

ESG Integration policy

For Robeco QI Global Dynamic Duration the ESG analysis is systematically incorporated in the highly disciplined investment process by using the RobecoSAM Country Sustainability Ranking. In the portfolio construction we ensure that more sustainable countries are more likely to be included in the portfolio and that the ESG profile and the environmental footprint of the fund are better than that of the benchmark.

Investment policy

Robeco QI Global Dynamic Duration is an actively managed fund that invests worldwide in government bonds with investment grade quality.The fund's objective is to provide long term capital growth. The fund promotes ESG (i.e. Environmental, Social and corporate Governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation and integrates ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list on the basis of controversial behavior, products (inclAuding controversial weapons, tobacco, palm oil and fossil fuel) and countries. The fund uses derivatives to dynamically adjust the duration (interest-rate sensitivity) of the portfolio. The duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The ESG scores of countries are a integral part of our bottom-up country allocation decisions. Benchmark: JPM GBI Global Investment Grade Index (hedged into CHF), The majority of bonds selected through this approach will be components of the benchmark, but bonds outside the benchmark index may be selected too. The fund can deviate from the weightings of the benchmark. The fund aims to outperform the benchmark over the long run, whilst still controlling relative risk through the applications of limits (on currencies) to the extent of deviation from the benchmark. This will consequently limit the deviation of the performance relative to the benchmark. The Benchmark is a broad market weighted index that is not consistent with the ESG characteristics promoted by the fund.

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

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The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. By the end of the month the strategy was positioned for higher bond yields in Japan, mainly driven by the inflation and season variables. The strategy had neutral positions in the US and Germany, as the valuation (US) and monetary policy (Germany) variables were more positive for these markets than for Japanese bonds.

Olaf Penninga
Olaf Penninga

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

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU1664640726
BloombergROQIEHU LX
Valoren37873596
WKNA2DWFS
Availability
1st quotation date1502928000000
Close financial year31-12
Legal status
Tracking error limit (%)
Morningstar
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
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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 0.01% 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.

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