Robeco QI Global Multi-Factor Bonds IH USD
- 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
About this fund
Price development
Performance
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundPerformances.date,'llll') ]}}| Fund | Index | |
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| {{'fund.detail.performance.period.sinceInception' | labelize:[ fundDate(fund.fundPerformances.sinceStart.startDate,'MM-YYYY') ]}} |
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 | |
|---|---|---|
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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Based on transaction prices, the fund's return was -0.19%. The fund outperformed the benchmark over March. The government bond selection, credit selection and systematic duration overlay all contributed positively to performance. Within the government bond selection, low-risk was strong, offsetting the poor performance from momentum and value. Both the country allocation and the yield curve positioning resulting from the government bond selection contributed modestly positively. Within the credit selection, value performed well, momentum and size were close to neutral, and low-risk detracted. The duration overlay added to the relative performance as well. The portfolio started the month with its maximum short position of 1.5 years duration; near the end of March, the short position in the US was closed. The short position in the US contributed positively as US yields increased, while the short position in Japan detracted as Japanese yields declined.
Statistics
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| Fund | Reference index | ||
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| Green Bonds (%) |
Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}March was another month of volatility in the global fixed income markets. Bond yields rose strongly in the first months of 2021, resulting in the worst quarterly performance of the JP Morgan Global Government Bond Index (hedged to euro's) since its inception in 1993: -3.6%. US Treasuries were down 1.4% for the month, but Japanese government bonds gained 0.75% and Australian government bonds 1.0%. German Bunds returned -0.03%. Meanwhile, the Bloomberg Barclays Global Aggregate Corporates Index posted a credit return of 0.15%, even as credit spreads widened somewhat from 93 to 95 bps. New waves of Covid-19 infections in the EU and a slow vaccination pace tempered reopening enthusiasm. At the same time, investors are worried about a pickup in inflation, exacerbated by additional stimulus in the US. While the Fed did not intervene in the bond sell-off, Eurozone government bonds were supported by the ECB's decision to conduct its PEPP bond purchases "at a significantly higher pace".
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
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Fund Classification
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| Voting | ||||
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| Exclusion |
| Yes | No | N/A | ||
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| Sustainability Themed Fund |
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 RobecoSAM Corporate Sustainability Assessment 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 of the fund is more sustainable than that of 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.
Expectation of fund manager
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}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 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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU2067165097 |
| Bloomberg | ROMHBIU LX |
| Valoren | 51337793 |
| WKN | |
| Availability | |
| 1st quotation date | 1574726400000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
| Reference index |
Cost of this fund
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Transaction costs |
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Performance fee |
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Extra fees
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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.
