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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
Asset 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 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 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 -1.57%. The fund outperformed the index over March and is ahead of the index year-to-date. The fund has an underweight duration position in US bonds since January and US yields rose strongly, especially in March. The tilts in the underlying portfolio detracted somewhat from the performance last month. 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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Yields rose in March. The Fed hiked rates for the first time and, more importantly, signaled its readiness to hike rates by 50 basis points per meeting for the next few meetings to fight inflation. Inflation has risen further, as energy prices spiked due to the tragic war in Ukraine. For now, higher inflation trumps the negative impact on growth. Bond yields declined in a risk-off move in late February and early March, but rose strongly later in March. US 10-year yields rose 51 bps and 2-year yields even 90 bps; markets now discount 250 bps of rate hikes over the coming 12 months. The ECB announced it will wrap up its bond purchases more quickly, allowing for earlier rate hikes. German 10-year yields rose 41 bps. Japanese 10-year yields rose only 3 bps, but the Bank of Japan had to intervene to prevent a further rise and long-dated bonds were volatile.

Fund allocation

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Name Sector Weight
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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

The fund incorporates sustainability in the investment process via exclusions, ESG integration, and ESG and environmental footprint targets. The fund complies with Robeco's exclusion policy for countries and does not invest in countries where serious violations of human rights or a collapse of the governance structure take place, or if countries are subject to UN, EU or US sanctions. Via portfolio construction rules the fund targets a better ESG score and a lower carbon footprint than that of the reference index. This ensures that countries with a better ESG score or a lower carbon footprint are more likely to be included in the portfolio.

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.

Sustainability profile

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Exclusions

ESG Integration

ESG Target

ESG score target Footprint target
Better than index Better than index

Sustainability

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The fund incorporates sustainability in the investment process via exclusions, ESG integration, and ESG and environmental footprint targets. The fund complies with Robeco's exclusion policy for countries and does not invest in countries where serious violations of human rights or a collapse of the governance structure take place, or if countries are subject to UN, EU or US sanctions. Via portfolio construction rules the fund targets a better ESG score and a lower carbon footprint than that of the reference index. This ensures that countries with a better ESG score or a lower carbon footprint are more likely to be included in the portfolio.

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 model outcomes were negative for US bonds and neutral for German and Japanese bonds. The inflation and trend variables pointed to higher yields, but this was offset by weaker economic growth and strong demand for safe haven assets (low risk). Monetary policy and valuation were both negative for US bonds.

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn
Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

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. 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. 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.

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

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This fund deducts ongoing charges of
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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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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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