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Robeco QI Global Multi-Factor Credits IH USD

Index: Bloomberg Barclays Global Aggregate - Corporates (hedged into USD)
ISIN: LU1235145056
  • Factor investing in investment grade corporate bonds
  • Aiming to generate higher returns with a market-like risk profile
  • For experienced investors looking for style-diversification in a balanced portfolio
Assets class
Current price ()
Performance YTD ()
Currency USD
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Multi-Factor Credits invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (Low Risk factor), an attractive valuation (Value), a strong performance trend (Momentum) and a small market value of debt (Size). The investment universe includes bonds with at least a BB- rating.

Price development

No performance data available

Price development

Robeco QI Global Multi-Factor Credits IH USD

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 2.54%. Based on NAV, the fund provided a relative return of +25 bps versus the benchmark. Beta allocation contributed somewhat positively, while issue(r) selection by the multi-factor model was the major driver of the outperformance. The value factor was the best-performing factor this month. The size factor also contributed positively, as did the underweight in longer-dated bonds as part of the low-risk factor. The momentum factor and the company selection of the low-risk factor made neutral contributions. The portfolio benefited from the overweights in Australian, Italian and Swedish issuers and the underweight in US issuers. It gained on its off-benchmark position in agencies and its underweight in the energy sector. The underweight in the banking sector detracted, as did the overweight in technology names. The overweight in corporate hybrids contributed strongly positively to performance, but the underweight in senior financials detracted a bit. The off-benchmark position in BB-rated bonds made a positive contribution.

Statistics

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Above mentioned ratios are based on gross of fees returns
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Market development

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The Bloomberg Barclays Global Aggregate Corporates Index posted a credit spread return of -79 bps in August as spreads widened from 109 to 121 bps. Underlying government bond yields dropped further and brought the total return to 208 bps (euro-hedged). The main market drivers in August were a reescalation of US-China trade tensions, weaker economic figures and political risks in Europe. Economic weakness in the US became visible in the first PMI contraction of the past ten years, while in Europe many companies had to report weaker earnings growth, especially cyclical companies. Political risks were once again concentrated in the UK, with the risk of a no-deal Brexit rising, and the collapse of the Italian government when the Lega party pulled the plug. Central bank sentiment remained unchanged, in anticipation of expanding accommodative policy either via rate cuts or more QE. Over the month, EUR bonds and especially GBP bonds outperformed USD bonds; shorter-dated bonds outperformed longer-dated bonds; lower-rated bonds outperformed higher-rated bonds; financials outperformed non-financials; all on a risk-adjusted basis.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
Engagement
ESG integration
Exclusion
YesNoN/A 
Screening
Integration
Sustainability Themed Fund

Currency policy

To preserve the value of the investments of Robeco Global Multi-Factor Credits IH USD in US Dollars against the fluctuations of other currency positions in the portfolio, derivatives are used for currency hedging transactions.

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. This ensures that companies with higher ESG scores from RobecoSAM are more likely to be included in the portfolio, and vice versa. With these portfolio construction rules we aim for an ESG profile of the fund that is above that of the reference index. 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 Credits aims to provide long-term capital growth by investing systematically in predominantly investment grade credits and offering exposure to a number of quantitative strategies in a diversified way. It uses a strategy focusing on bonds with a low level of expected risk (Low volatility); a strategy focusing on bonds with an attractive valuation (Value); and a strategy focusing on bonds of companies with a medium-term attractive performance trend (Momentum). The fund on average offers balanced exposure to these factors. A disciplined investment process is used for the portfolio's construction, starting with a global universe of all credit bonds, and including those bonds with at least a BB rating to capture the fallen angels and rising stars. The quantitative multi-factor ranking model ranks all bonds from the most attractive to least attractive. In the portfolio's construction, bonds from the top of the ranking will be bought, resulting in a balanced and diversified portfolio, reflecting bonds' liquidities and constraints on sectors and currencies, BBs and emerging markets. The Barclays Global Aggregate Corporates Index (hedged into EUR) is used as an index for the fund. The fund will strive to create a risk profile which is similar to this reference index, but with a high conviction approach that aims to generate higher returns, due its exposures to factors. The fund can have a significant tracking error versus the index.

Risk policy

The fund will strive to create a risk profile, which is similar to the reference index. The duration and currency exposure of the portfolio will be hedged to the reference index. The strategy can have significant tracking error versus the reference index. The ratio of the portfolio volatility with respect to the volatility of the reference index is restricted by predefined guidelines. These guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.

Expectation of fund manager

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Robeco QI Global Multi-Factor Credits invests systematically in predominantly investment grade credits. It offers balanced exposure to a number of quantitative factors. In the long term, we expect the fund to outperform the market by systematically harvesting factor premiums with a risk profile that is similar to the reference index.

Patrick Houweling, Mark Whirdy
Patrick Houweling, Mark Whirdy

Patrick Houweling, Mark Whirdy

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. Mark Whirdy is Portfolio Manager in the Credit team for Robeco’s factor credits strategies: Conservative Credits, Multi-Factor Credits and Multi-Factor High Yield. His areas of expertise include portfolio optimization, credit markets, credit derivatives modelling and quant investment process development. Prior to joining Robeco, Mark was Portfolio Manager in the Quant Credit team at Pioneer Investments and Analyst in the Quantitative Equities team at that firm. He is a graduate from University College Dublin, and holds a Master’s in Business from University of Ulster.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU1235145056
BloombergROMFIHU LX
Valoren28267664
WKNA2PLGS
Availability
1st quotation date1434326400000
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
Management fee
Service fee

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.

Disclaimer

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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