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Robeco QI Global Multi-Factor High Yield IH EUR

Index: Bloomberg Barclays Global High Yield Corporates ex. Financials (hedged into EUR)
ISIN: LU1809229112
  • 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 EUR
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 IH EUR

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 0.05% (0.42% vs. 0.37%). Beta allocation made a small positive contribution, as did issue(r) selection by the multi-factor model. Attributing the performance to individual factors, the negative contribution from the value factor stood out, while the other factors did not have a discernible standalone contribution. The overweights in EUR- and GBP-denominated paper and European issuers contributed negatively, as did the underweights in USD-denominated paper and in emerging market issuers. The portfolio’s tilt to higher-quality issuers (underweight CCC, overweight BB) worked well. In terms of sector allocation, the portfolio’s overweight in companies from the energy and capital good sectors contributed positively. The overweight in transportation names and the underweight in consumer non-cyclical names contributed negatively. The overweight position in capital credit bonds made a somewhat negative contribution to performance. The beta hedge, implemented with CDS index contracts, contributed positively as CDX HY and iTraxx XO both generated positive returns.

Statistics

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Market development

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The Bloomberg Barclays Global High Yield Corporates Ex-Financials Index posted a positive credit spread return of 109 bps in September as its spread tightened from 363 to 341 bps over the month. Underlying government bond yields in the US and Germany increased, but the EUR-hedged total return was still a positive 37 bps.The threat of a trade war between the US and China heightened and concerns rose over the drafting of an Italian budget that could see it come into conflict with the EU. Politics notwithstanding, the strength of the US economy buoyed markets. Credit spread returns were strongest in emerging market and non-European developed market names, USD-denominated bonds and longer-dated bonds. European firms and EUR and GBP paper generally generated below-benchmark returns. Returns were very similar across rating categories. Utilities outperformed industrials. Within industrials, the energy sector was the best performing sector, followed by consumer non-cyclical and communications. Transportation and consumer cyclical names showed weaker performance.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
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ESG integration
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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
ISINLU1809229112
BloombergROFHIHE LX
Valoren41416097
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

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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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