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Robeco QI Long/Short Dynamic Duration DH CHF

Index: ML CHF LIBOR Overnight Index
ISIN: LU0486541344
  • Benefiting from falling and rising bond yields
  • Quantitative model anticipating direction bond markets
  • Proven track record in multiple market environments
Assets class
Current price ()
Performance YTD ()
Currency CHF
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Long/Short Dynamic Duration invests in a money market portfolio with high quality instruments and takes active positive or negative duration (interest-rate sensitivity) positions. The duration positioning of the fund is fully based on a quantative model. Active duration management is the sole performance driver for this fund. Robeco’s quantitative duration model generates forecasts for the direction of bond yields in the main developed bond markets (United States, Germany and Japan). The duration overlay is implemented using bond futures. The aim of the fund is to generate positive total returns in markets with either falling or rising bond yields.

Performance

No performance data available

Performance

Robeco QI Long/Short Dynamic Duration DH CHF

Performance

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Statistics

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Subject 3 years 5 years
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Market development

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US Treasuries (0.2% euro hedged) and German Bunds (0.7%) posted positive returns in August, while Italian BTPs ended the month in the red (-3.3%). US Treasuries were supported by a decline in risk appetite following the sell-off in emerging market assets. A somewhat dovish speech by Fed chairman Powell at the Jackson Hole conference added to the strength in US Treasuries. Counterbalancing forces for US bonds may be found in a new high for the S&P 500 Index and in somewhat higher core inflation. In Europe, inflation data surprised on the downside, which gave German Bunds additional support. But the switch of investors out of Italian BTPs and into Bunds ahead of the release of Italian budget plans, was probably more important in explaining the rally in Bunds.

Fund Classification

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

Fund allocation

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Name Sector Weight
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Currency policy

All currency risks are hedged.

Derivative policy

Robeco QI Long/Short Dynamic Duration makes use of derivatives in order to implement the duration overlay. In addition, derivatives are used to hedge the currency risks of the portfolio. These derivatives are very liquid.

Dividend policy

In principle the fund does not intend to distribute dividend. The income earned by the fund is reflected in its share price. The fund's entire result is thus reflected in its share price development.

ESG Integration policy

For Robeco QI Long/Short Dynamic Duration, in terms of Sustainability Investing, the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.

Investment policy

Robeco QI Long/Short Dynamic Duration invests its cash in a solid fixed income portfolio consisting of short term instruments. The fund implements a duration overlay via bond futures to either extend the portfolio duration or to create negative duration. The aim of the fund is to generate positive total returns in markets with either falling or rising bond markets. Duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets based on financial market data. The fund is quantitatively driven, as the duration positioning is always based on the outcome of our duration model. The model uses market variables such as economic growth, inflation and monetary policy, as well as technical variables such as valuation, seasonality and trend to predict the direction of bond markets. Depending on the outcome of the model, the duration of the basis portfolio is increased or decreased by maximum 6 years. The model has shown a solid track record since its inception in 1994. The quantitative duration has proven to have forecasting ability in periods with rising yields as well as in periods with declining yields. Therefore Robeco QI Long/Short Dynamic Duration serves as a very good diversifier in a fixed income portfolio as the fund is able to deliver positive total returns in both a falling and rising interest rate market environment.

Risk policy

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

Expectation of fund manager

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The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. The model’s long positions in Japan and Germany are driven by positive scores for economic growth (weaker growth expectations signaling lower yields), season (increasing risk aversion of investors in the course of the calendar year signaling lower yields) and a more attractive valuation than US bonds (including hedging costs). For the US, the short position can be explained by negative scores for the valuation and monetary policy variables.

Olaf Penninga
Olaf Penninga

Olaf Penninga

Mr. Olaf Penninga is a Senior Portfolio Manager with Robeco's Rates team. Previous affiliations include a position as a Senior Quantitative Researcher with Robeco. Prior to rejoining Robeco in 2002, Olaf was employed by Interpolis as Investment Econometrician for one year. Olaf started his career in the Investment Industry in 1998. He holds a Master's degree in Mathematics (cum laude) from Leiden University.

Team

Robeco QI Long/Short Dynamic Duration is managed within Robeco’s Rates team, which consists of four portfolio managers. The team is focused on government bond strategies including quantitative duration strategies. The team works closely together with four dedicated quantitative researchers and four fixed income traders. On average, the members of the rates team have an experience in the asset management industry of sixteen years, of which ten years with Robeco.

Details

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Management companyRobeco Luxembourg S.A.
Fund capital
Outstanding shares
ISINLU0486541344
BloombergROBFODC LX
Valoren11014979
WKNA1CVLW
AvailabilityAT, FR, DE, IE, LU, NL, SG, CH, GB
1st quotation date1266451200000
Close financial year31-12
Legal statusInvestment company with variable capital incorporated under Luxembourg law (SICAV)
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

Investors outside Luxembourg are subject to their national tax regime applying to foreign investment funds. We advise individual investors to contact their financial or fiscal adviser regarding their specific fiscal situation.

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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