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Robeco QI Global Multi-Factor Bonds IH GBP

Index: Bloomberg Global Aggregate Index (hedged into GBP)
ISIN: LU2118442131
  • Globally diversified portfolio of bonds issued by governments, agencies and corporates managed with a systematic investment style
  • Uses low-risk, quality, value, momentum and size factors to select the most attractive bonds
  • Based on more than 25 years of experience and award-winning research in quantitative fixed income investing
Asset class
Current price ()
Performance YTD ()
Currency GBP
Total size of fund ()
Dividend payingNo

About this fund

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 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 to generate 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.

Price development

No performance data available

Price development

Robeco QI Global Multi-Factor Bonds IH GBP

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 -1.06%. The fund underperformed the benchmark somewhat over September. Credit selection added value, while the duration overlay and government bond selection detracted. The country allocation resulting from the government bond selection contributed neutrally, while the maturity selection detracted, mostly in the US. Value performed well, while momentum and low risk detracted. The duration overlay detracted somewhat, mainly due to its overweight duration positions in Germany and Japan. The overweight positions in Germany and the US were closed before the Fed meeting; the Japan overweight was closed towards the end of September. Within credit selection, returns were positive, as especially the value factor performed well, while low risk/quality detracted somewhat. Year-to-date, the fund has outperformed the benchmark, driven by positive returns of the duration overlay and credit selection.

Statistics

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Market development

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Government bond yields rose in September. German Bunds returned -1.4% in September, US Treasuries -1.2% and Japanese government bonds -0.4% (all returns hedged to EUR). US yields rose after the Fed meeting, with 5-year yields reaching 1% for the first time since February 2020. The Fed confirmed that they expect to start tapering their bond purchases later this year. Their median projection shows the first rate hike already in 2022, with the target rate reaching 1.8% in 2024. In the Eurozone, headline inflation has risen to 3.4%, the highest level since 2008. Equities sold off on the fear of an impact on third and fourth-quarter earnings. The Bloomberg Global Aggregate Corporate Index posted a credit return of 0.21%, as credit spreads tightened marginally from 90 to 88 bps. Credit markets remained robust, as the asset class is less sensitive to short-term earnings-related issues.

Fund allocation

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Name Sector Weight
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Currency policy

All currency risks are hedged.

Dividend policy

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

ESG Integration policy

ESG analysis is systematically incorporated in the highly disciplined investment process by using proprietary Smart ESG scores and RobecoSAM Country Sustainability Ranking. In the portfolio construction we ensure that more sustainable countries and companies are more likely to be included in the portfolio and that the ESG profile and the environmental footprint of the fund is more sustainable than the benchmark. In addition, our credit analysts use external sources to identify additional ESG risks, e.g. corporate governance issues or companies that have major litigation or regulatory risks. If these ESG risks may result in a material financial impact, we will not invest in these companies.

Investment policy

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 aims for a better sustainability profile compared to the Benchmark by promoting certain ESG (i.e. Environmental, Social and corporate Governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation and integrating ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list on the basis of controversial behavior, products (including controversial weapons, tobacco, palm oil and fossil fuel) and countries, next to 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 to generate 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, whilst still controlling relative risk through the applications of limits (on currencies, issuers and ratings) 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

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.

Sustainability profile

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Exclusions

Full ESG Integration

Engagement

ESG Target

ESG score target Footprint target
↑Above Index ↓Below Index

ESG integration policy

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ESG analysis is systematically incorporated in the highly disciplined investment process by using proprietary Smart ESG scores and RobecoSAM Country Sustainability Ranking. In the portfolio construction we ensure that more sustainable countries and companies are more likely to be included in the portfolio and that the ESG profile and the environmental footprint of the fund is more sustainable than the benchmark. In addition, our credit analysts use external sources to identify additional ESG risks, e.g. corporate governance issues or companies that have major litigation or regulatory risks. If these ESG risks may result in a material financial impact, we will not invest in these companies.

Expectation of fund manager

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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 has incorporated an active duration overlay, which is fully driven by the outcomes of our quantitative duration model.

Olaf Penninga, Patrick Houweling
Olaf Penninga, Patrick Houweling

Olaf Penninga, Patrick Houweling

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.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU2118442131
BloombergROGMBIG LX
Valoren52875409
WKN
Availability
1st quotation date1582588800000
Close financial year31-12
Legal status
Tracking error limit (%)
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
Management fee
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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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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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