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Based on transaction prices, the fund's return was 3.23%. The fund strongly outperformed the benchmark in July, mainly thanks to the government bond selection and the duration overlay. Within the government bond selection, especially the momentum factor contributed positively. Looking at the country allocation resulting from the government bond selection, the preference for German and Australian bonds contributed most to performance. The preference for intermediate bonds over longer-dated bonds within the UK market also added to performance. The duration overlay added to performance with an overweight position in German futures. Within the credit selection, the low-risk/quality factor detracted, while value contributed positively
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Global government bonds gained more than 2%, as yields declined strongly in July. German yields even declined by more than 0.5%. The Fed raised its benchmark rate by 0.75%, and the ECB hiked rates for the first time in more than ten years, moving the deposit rate from -0.50% to 0%. However, the focus of financial markets shifted from high inflation to slowing growth, and hopes for a Fed pivot rose. This led to a decline in government bond yields and tighter credit spreads. The Bloomberg Global Aggregate Corporates Index posted a positive credit return of 1.08%, as its credit spread declined from 175 to 161 bps.
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All currency risks are hedged.
All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.
The fund incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, and engagement. For investments in government bonds, 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 compared to the government bonds part of the reference index. For investments in corporate bonds, the fund does not invest in issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Via portfolio construction rules the fund targets a better ESG score and lower carbon, water and waste footprints than that of the corporate component in the reference index. These portfolio construction rules ensure that issuers with a better ESG scores or a lower environmental footprint are more likely to be included in the portfolio, and vice versa. For corporate bonds, the investment process also includes a check of buy candidates and portfolio holdings by our credit analysts for ESG risks that may have material impact for bond holders. Lastly, where corporate issuers are flagged for breaching international standards in our ongoing monitoring, the issuer will become subject to engagement.
Robeco QI Global Multi-Factor Bonds is an actively managed fund that invests globally in bonds issued by governments, agencies and corporates. The selection of these bonds is based on a quantitative model. The fund's objective is to provide long-term capital growth. The fund promotes E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrates sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions, and engagement. The fund uses low-risk, quality, value, momentum and size factors to select the most attractive bonds. The disciplined investment process aims to keep the credit and foreign exchange risk of the bond portfolio similar to that of the benchmark, but with the aim of generating higher returns due to its exposures to factors. The overall duration of the bond portfolio can be increased or decreased, depending on a systematic assessment of the bond market outlook. The majority of bonds selected will be components of the benchmark, but bonds outside the benchmark 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, while still controlling relative risk through the application of limits (on currencies, issuers and ratings) to the extent of the 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.
The fund aims to have its credit and currency exposure in line with that of the benchmark. The strategy can have moderate tracking error versus the benchmark. The portfolio volatility is restricted by a predefined threshold. The portfolio will make use of derivatives, which add to the leverage of the portfolio. The expected level of gross leverage is stated in the prospectus.
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Better than index | Better than index |
Footprint ownership expresses the total resource utilization the credit allocation of the portfolio finances. Each assessed company's footprint is calculated by normalizing resources utilized by the company's enterprise value including cash (EVIC). Multiplying these values by the dollar amount invested in each assessed company yields the aggregate footprint ownership figures. The same is done for the corporate bonds in the index. Carbon efficient companies have lower ownership values. The portfolios score is shown in blue and the index in grey.
Carbon intensity expresses the aggregate efficiency of the government bond allocation of the portfolio. Each country’s carbon intensity is calculated by normalizing the country’s greenhouse gas emissions (expressed in carbon equivalents) by its population size. The portfolio's aggregate intensity figure is calculated by multiplying each portfolio holding’s intensity figure by its respective portfolio weight. The same is done for the government bonds in the index. Carbon efficient countries have lower intensity values. The portfolios score is shown in blue and the index in grey.
The fund incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, and engagement. For investments in government bonds, 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 compared to the government bonds part of the reference index. For investments in corporate bonds, the fund does not invest in issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Via portfolio construction rules the fund targets a better ESG score and lower carbon, water and waste footprints than that of the corporate component in the reference index. These portfolio construction rules ensure that issuers with a better ESG scores or a lower environmental footprint are more likely to be included in the portfolio, and vice versa. For corporate bonds, the investment process also includes a check of buy candidates and portfolio holdings by our credit analysts for ESG risks that may have material impact for bond holders. Lastly, where corporate issuers are flagged for breaching international standards in our ongoing monitoring, the issuer will become subject to engagement.
Robeco QI Global Multi-Factor Bonds invests systematically in predominantly investment grade credits and government bonds. It offers balanced exposure to a number of quantitative factors. The bottom-up selection of government bonds and credits aims to systematically harvest factor premiums with a risk profile that is similar to the reference index. On top of that, the fund incorporates an active duration overlay, which is based on the outcomes of our quantitative duration model.
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. Patrick Houweling is Lead Portfolio Manager and Researcher Quant Credits. Prior to joining Robeco in 2003, he was Risk Manager at Rabobank International where he started his career in 1998. Patrick has published articles in academic finance literature, including the Journal of Banking and Finance, the Journal of Empirical Finance and the Financial Analysts Journal. The article 'Factor Investing in the Corporate Bond Market', co-written by Jeroen van Zundert, received a Graham and Dodd Scroll Award of Excellence for 2017. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam. 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.
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ISIN | LU2067166657 |
Bloomberg | ROMHBDE LX |
Valoren | 51337795 |
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1st quotation date | 1574726400000 |
Close financial year | 31-12 |
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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.
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.
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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