Robeco QI Long/Short Dynamic Duration DH CHF
- Benefiting from falling and rising bond yields
- Quantitative model anticipating direction bond markets
- Proven track record in multiple market environments
About this fund
Price development
Performance
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundPerformances.date,'llll') ]}}| Fund | Index | |
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| {{'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 0.13%. The fund posted a positive total return in April. The month started with short positions in Germany and the US and a long position in Japan. The long position in Japan detracted from the performance. It was closed during the month. The short positions in Germany and the US benefited from the rising yields and contributed positively. Overall, the active positions contributed positively to performance. All active duration positions are based on the outcomes of our quantitative duration model.
Statistics
{{'fund.detail.general.perDate' | labelize:[ fundDate( (fund.fundStatistics.date?fund.fundStatistics.date:fund.fundCharacteristics.date) ,'llll') ]}}| 3 years | 5 years | ||
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| Option Adjusted Modified Duration (years) | |||
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Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Most government bond markets posted negative returns in April. Both German Bunds and US Treasuries realized a return of -0.6%. Yields bounced from their lows at the end of March, supported by positive sentiment in equity markets and higher oil prices. Growth data was mixed. For Europe, headline GDP growth increased to 0.4%, but forward looking indicators for European growth such as the Ifo and PMIs remained at modest levels. In China, credit growth spiked, but producer confidence remained muted. For the US, headline Q1 GDP growth and payrolls growth were strong, but inventories have increased and leading ISM data remained modest.
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
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Fund Classification
| Yes | No | N/A | ||
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| Voting | ||||
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| ESG integration | ||||
| Exclusion |
| Yes | No | N/A | ||
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| Screening | ||||
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| Sustainability Themed Fund |
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.Weekly positioning updates are available upon request.
Risk policy
Risk management is fully integrated 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') ]}}The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. The economic growth, inflation and season variables point to higher yields in the US and Germany. These variables explain the short positions in these bond markets. For Japan, the position is neutral as the negative scores for the economic growth, inflation and season variables are offset by positive scores for the other variables.
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
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU0486541344 |
| Bloomberg | ROBFODC LX |
| Valoren | 11014979 |
| WKN | A1CVLW |
| Availability | |
| 1st quotation date | 1266451200000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
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Cost of this fund
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Transaction costs |
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Performance fee |
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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
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.
