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Robeco QI Global Multi-Factor High Yield FH USD

Index: Bloomberg Barclays 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
Assets class
Current price ()
Performance YTD ()
Currency USD
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Multi-Factor High Yields  invests systematically in high yield bonds. The selection of these bonds is based on a quantative model. 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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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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This provided a relative return of -4 bps (-1.85% vs. -1.81%). The underweight beta position of the bond portfolio contributed positively, but this was more than offset by a negative contribution from the beta hedge, implemented with CDS indices. Issue(r) selection by the multi-factor model made a somewhat position contribution. In terms of factors, the negative contribution from the low-risk factor stood out, as lower-risk companies and shorter-dated bonds underperformed on a risk-adjusted basis. The other factors made neutral to slightly positive contributions. The overweight in capital credit bonds worked well, as did the overweight in BBs and the underweight in CCs. The portfolio’s allocations to currency denominations (overweights in EUR and GBP, underweight in USD) and regions (underweight emerging markets, overweight Europe) contributed positively too. In terms of sector allocation, the portfolio’s overweight in energy companies contributed most negatively, followed by underweights in communications and consumer non-cyclical names. On the other hand, the underweight of the capital goods sector and the overweight of the transportation sector made positive contributions.

Statistics

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Market development

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The Bloomberg Barclays Global High Yield Corporates Ex-Financials Index posted a negative credit spread return of -163 bps in October as its spread widened from 341 to 401 bps over the month. Underlying government bond yields increased too, resulting in a negative EUR-hedged total return of -181 bps. Markets turned more cautious in October, with Chinese growth slowing down further and Brexit negotiations between the UK and EU not progressing at all. The Italian government has so far not given in to the European Commission and is sticking to the proposed budget. Even though the US economy continues to perform very well, leading to fears of higher inflation and higher rates, US high yield saw some weakness. The relative credit spread widening was strongest in shorter-dated bonds, CC-rated bonds and senior bonds. BB-rated bonds somewhat outperformed B-rated bonds. European firms and EUR- and GBP-denominated bonds outperformed US firms and USD-denominated bonds. Utilities generally did better than industrials. The basic industry, capital goods and energy sectors showed the worst performance. Communications, transportation and consumer non-cyclicals companies outperformed.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
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ESG integration
Exclusion
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Sustainability Themed Fund

Currency policy

All currency risks are hedged.

Derivative policy

The fund 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

The prime goal of integrating ESG factors in our analysis is to strengthen our ability to assess the downside risk of our credit investments. Our analysts include RobecoSAM sustainability data and use external sources to make an ESG assessment as a part of the fundamental analysis.

Investment policy

Robeco QI Global Multi-Factor High Yields aims to provide long-term capital growth by investing systematically in high yield bonds and offering exposure to a number of proven factors in a diversified way. It selects bonds with a low level of expected risk (Low Risk); an attractive valuation (Value); a medium-term attractive performance trend (Momentum); and a small market value of debt (Size). 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 bonds with a rating of BB+ or equivalent or lower. 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, currencies-denominations, and subordinations. Bloomberg Barclays Global High Yield Corporates ex. Financials is used as a benchmark for the fund. The fund will strive to create a risk profile which is similar to this 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

Risk management is fully embedded in the investment process to ensure that positions always meet predefined guidelines.

Expectation of fund manager

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Robeco QI Global Multi-Factor High Yield invests systematically in high yield corporate 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
Outstanding shares
ISINLU1809229385
BloombergROFHFHU LX
Valoren41416109
WKN
Availability
1st quotation date1528156800000
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
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Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

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 0.05% 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.

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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