Robeco QI Global Multi-Factor High Yield FH USD
- 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
About this fund
Price development
Performance
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundPerformances.date,'llll') ]}}| Fund | Index | |
|---|---|---|
| 1 month | ||
| 3 months | ||
| YTD | ||
| 1 year | ||
| 2 years | ||
| 3 years | ||
| 5 years | ||
| 10 years | ||
| {{'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 2.88%. Based on NAV, the fund realized a relative return of +55 bps versus the benchmark. Beta allocation contributed neutrally, comprising a negative contribution from the underweight beta position of the bond portfolio and a similarly sized positive contribution from the beta hedge, implemented with CDS indices. Issue(r) selection by the multi-factor model contributed positively. The low-risk factor was the strongest positive contributor to the risk-adjusted outperformance. The value and momentum factors also contributed positively. The size factor, however, detracted from performance. The underweight in USD bonds contributed slightly positively to performance, as did the underweight in US issuers. The underweight in EM names made a positive contribution. The overweight in BBs and the underweight in CCCs and below contributed strongly positively. The overweight in corporate hybrids contributed positively to performance as well. The portfolio’s underweights in basic industry and communications contributed negatively. The overweight in consumer non-cyclical companies made a positive contribution.
Statistics
{{'fund.detail.general.perDate' | labelize:[ fundDate( (fund.fundStatistics.date?fund.fundStatistics.date:fund.fundCharacteristics.date) ,'llll') ]}}| 3 years | 5 years | ||
|---|---|---|---|
| Standard deviation |
|
||
| Max. monthly gain (%) |
|
||
| Tracking error ex-post (%) |
|
||
| Alpha (%) | |||
| Beta |
|
||
| Sharpe ratio | |||
| Information ratio | |||
| Max. monthly loss (%) |
|
| 3 years | 5 years | ||
|---|---|---|---|
| Hit ratio (%) | |||
| Hit ratio Bear (%) | |||
| Hit ratio Bull (%) | |||
| Months Bear market | |||
| Months Bull market | |||
| Months outperformance | |||
| Months outperformance Bear | |||
| Months outperformance Bull |
| Fund | Reference index | ||
|---|---|---|---|
| Option Adjusted Modified Duration (years) | |||
| Maturity (years) | |||
| Rating | |||
| Yield to Worst (%) |
Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}The Bloomberg Barclays Global High Yield Corporates ex-Financials Index posted a credit spread return of 160 bps in June as spreads tightened from 449 bps to 387 bps. A further decrease in underlying government bond yields brought the total return to 199 bps (euro-hedged). With the Fed and the ECB turning more dovish, markets are once again driven by central bank policy rather than fundamentals. Some hinting to a potential resolution of the trade dispute between the US and China during the G20 added to the market’s optimism. Risky assets performed very well throughout the month. However, rates markets tell a different story, as interest rates keep moving down. This points towards a slowdown in economic activity. Over the month, EUR credits outperformed USD credits; shorter-dated bonds outperformed longer-dated bonds; higher-rated bonds outperformed lower-rated bonds; developed markets outperformed emerging markets; capital goods and basic industry outperformed the market and energy and consumer-non-cyclical underperformed; all on a risk-adjusted basis.
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
|---|---|---|
Fund Classification
| Yes | No | N/A | ||
|---|---|---|---|---|
| Voting | ||||
| Engagement | ||||
| ESG integration | ||||
| Exclusion |
| Yes | No | N/A | ||
|---|---|---|---|---|
| Screening | ||||
| Integration | ||||
| 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
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 High Yield 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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}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 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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU1809229385 |
| Bloomberg | ROFHFHU LX |
| Valoren | 41416109 |
| WKN | |
| Availability | |
| 1st quotation date | 1528156800000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
| Reference index |
Cost of this fund
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundCosts.managementFees.date,'llll') ]}}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 | ||
| Max exit fee | ||
| Max sub fee | ||
| Max switch fee |
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.
