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Robeco QI Global Multi-Factor High Yield FH USD

Index: Bloomberg Global High Yield Corporates ex. Financials (hedged into USD)
ISIN: LU1809229385
  • Factor investing in high yield bonds
  • Aiming to generate higher returns with a market-like risk profile
  • For investors looking for style-diversification in a balanced portfolio
Asset class
Current price ()
Performance YTD ()
Currency USD
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Multi-Factor High Yield is an actively managed fund that invests in high yield bonds. The selection of these bonds is based on a quantitative model. The fund's objective is to provide long term capital growth.The fund offers balanced exposure to a number of proven 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 a rating of “BB+” or equivalent or lower by at least one of the recognized rating agencies or with no rating.

Price development

No performance data available

Price development

Robeco QI Global Multi-Factor High Yield FH USD

Performance

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Fund Index
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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 -0.09%. Based on closing prices, the fund provided a relative return of +2 bps versus the benchmark. Issue(r) selection was the main contributor to the positive outperformance. The size factor contributed positively to performance, while the value and momentum factors contributed neutrally, and the low-risk/quality factor detracted from performance. Sector allocation made a small positive contribution, driven by the overweight in the energy sector that was extended during the month; the underweight in basic industry also contributed positively. Country allocation contributed positively, with the underweight in EM issuers and the overweights in issuers from the UK and Greece contributing positively. Allocation to currency denominations contributed neutrally. Rating allocation contributed negatively, due to a negative effect from an underweight in CCCs. Beta allocation contributed negatively: the underweight beta position of the bond portfolio detracted from performance, and this was not offset by the contribution from the CDS index beta hedge.

Statistics

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Above mentioned ratios are based on gross of fees returns
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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 Global High Yield Corporates ex-Financials Index posted a credit spread return of 0.47%, even though spreads widened somewhat from 296 bps to 302 bps. The (euro-hedged) total return was -0.10%, as underlying government bond yield curves increased. Some larger corporates warned consumers of expected price inflation due to a conflation of higher commodity prices and shipping bottlenecks leading to higher freight costs. While equities sold off on the fear of an impact on third and fourth-quarter earnings, credit markets remained robust, as the asset class is less sensitive to short-term earnings-related issues. The FOMC's hawkish tone on normalizing monetary policy pushed treasuries to extend their sell-off. The markets shrugged off the debt ceiling impasse and lawmakers agreed on a stopgap bill to facilitate the government through 3 December. Fears of default and global contagion from Chinese real-estate operator Evergrande also weighed on equities. Investment grade underperformed high yield; energy and technology names outperformed, whereas electric utilities underperformed; USD bonds outperformed other currencies, as did US issuers; all on a risk-adjusted basis.

Fund allocation

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Name Sector Weight
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Currency policy

All currency risks are hedged.

Derivative policy

The fund make use of derivatives for hedging purposes as well as for investment purposes.

Dividend policy

This share class of the fund does not distribute dividend.

ESG Integration policy

ESG analysis is systematically incorporated in the highly disciplined investment process. This ensures that companies with higher proprietary Smart ESG scores are more likely to be included in the portfolio, and vice versa. With these portfolio construction rules we aim for an ESG profile and environmental footprint of the fund that is better than 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 High Yield is an actively managed fund that invests in high yield bonds. 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. The fund offers balanced exposure to a number of proven 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 a rating of “BB+” or equivalent or lower by at least one of the recognized rating agencies or with no rating.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) 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 is fully embedded in the investment process to ensure that positions always meet predefined guidelines.

Sustainability profile

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Exclusions

Full ESG Integration

Engagement

ESG Target

ESG score target Footprint target
↑Above Index ↓Below Index

ESG Score

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The portfolio ESG score (and E,S and G score) is calculated by multiplying the RobecoSAM Smart ESG Score of each holding by its respective portfolio or index weight. The same methodology is applied in calculating the key ESG Criterion scores. The scores of the portfolio are provided alongside the scores of the index, highlighting the portfolio’s relative sustainability. The colors indicate the score of the portfolio, whilst the shading shows the index.

CGF MFHY_20210930-CGF MFHY_20210930-smartESGScoreTotal.png

Environmental Footprint

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The RobecoSAM footprint ownership of the portfolio expresses the total resource consumption the portfolio finances. Each company's footprint is calculated by normalizing resources consumed by the company's enterprise value. Multiplying these values by the dollar amount invested in each company yields the aggregate footprint ownership figures. The selected index's footprint (for an equivalent $ amount invested in corporates) is provided alongside. The portfolios score is shown in blue and the index in grey.

CGF MFHY_20210930-CGF MFHY_20210930-footprintOwnershipCo2.png
Robeco data based on Trucost data. *
CGF MFHY_20210930-CGF MFHY_20210930-footprintOwnershipWaste.png
Source: Data based on RobecoSAM impact data.
CGF MFHY_20210930-CGF MFHY_20210930-footprintOwnershipWater.png
Source: Data based on RobecoSAM impact data.
* Source: S&P Trucost Limited © Trucost 2021. All rights in the Trucost data and reports vest in Trucost and/or its licensors. Neither Trucost, not its affliates, nor its licensors accept any liability for any errors, omissions, or interruptions in the Trucost data and/or reports. No further distribution of the Data and/or Reports is permitted without Trucost's express written consent.

ESG integration policy

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ESG analysis is systematically incorporated in the highly disciplined investment process. This ensures that companies with higher proprietary Smart ESG scores are more likely to be included in the portfolio, and vice versa. With these portfolio construction rules we aim for an ESG profile and environmental footprint of the fund that is better than 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.

Expectation of fund manager

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Robeco QI Global Multi-Factor High Yield invests systematically in high yield corporate bonds. 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
ISINLU1809229385
BloombergROFHFHU LX
Valoren41416109
WKN
Availability
1st quotation date1528156800000
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 0.05% 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.

Fiscal treatment of investor

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.

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