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Robeco QI Global Dynamic Duration ZH EUR

Index: JPM GBI Global Investment Grade Index (hedged into EUR)
ISIN: LU0517085808
  • Global government bond exposure with solid credit quality
  • Anticipating the direction of the bond markets
  • Proven track record in multiple market environments
Assets class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Dynamic Duration is an actively managed fund that invests worldwide in government bonds with investment grade quality. The duration positioning of the fund is fully based on a quantitative model. The fund uses bond futures to dynamically 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.

Price development

No performance data available

Price development

Robeco QI Global Dynamic Duration ZH 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 0.91%. At the start of February, the underweight positions in Germany and the US were closed and an overweight position was opened in Japan. Mid-February, the underweight position in the US was re-opened. Main drivers were the growth and valuation variables. The S&P Index posted new all-time highs, which the model interprets as stronger growth expectations, pointing to higher yields. In the last weeks of the month, sentiment turned sharply and US yields fell strongly. Due to the underweight position, the fund benefited less from this rally, which explains the underperformance over the month. The overweight in Japan contributed positively, but not enough to offset the performance in the US. The tilts in the underlying portfolio detracted from the performance. All active duration positions are based on the outcomes of our quantitative duration model.

Statistics

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Market development

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Government bond markets posted strong returns in February, with US Treasuries gaining 2.7%, German Bunds up 1.4% and Japanese bonds returning 0.9%. Bonds reacted strongly to the global spreading of the coronavirus and its implications for growth. The sudden appearance of the virus in Italy, and its possible consequences for fiscal policy and growth, drove Italian BTP returns down to -1.2% for the month. 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.

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

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

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

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 of the fund is more sustainable than that of the benchmark.

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

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The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. At the start of March, overweight positions in Germany and the US were added to the overweight in Japan, bringing the total overweight position to the maximum of six year. This was mainly driven by rising scores for the economic growth, inflation and trend variables. The score for the economic growth variable rose strongly as equity markets declined sharply. This signals lower growth expectations, which is a positive for bond returns. Lower commodity prices signal lower inflation, which is also positive for 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
ISINLU0517085808
BloombergROLRZHE LX
Valoren11426379
WKNA2PQVU
Availability
1st quotation date1276128000000
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

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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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Disclaimer

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