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Based on transaction prices, the fund's return was -0.01%. The fund outperformed the benchmark in March. Year-to-date, the short duration positions have added 1.8% to the return. The portfolio started the month with its maximum short position of a duration of six years; near the end of March, the short position in the US was closed. The short position in the US contributed positively as US yields increased, while the short position in Japan detracted as Japanese yields declined. All active duration positions are based on the outcomes of our quantitative duration model.
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Green Bonds (%) |
Bond yields rose strongly in the first months of 2021. In March, returns were mixed. US Treasuries were down 1.4% for the month, but Japanese government bonds gained 0.75% and German Bunds returned -0.03%. Eurozone government bonds were supported by the ECB's decision to conduct its PEPP bond purchases "at a significantly higher pace". New waves of Covid-19 infections in the EU and a slow vaccination pace probably tempered reopening enthusiasm, thereby also supporting Eurozone bonds. Fed officials decided not to verbally intervene in the US Treasuries sell-off. Together with expectations for a strong economic recovery and higher inflation, this explains the rise in yields in this market.
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Sustainability Themed Fund |
All currency risks are hedged.
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.
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.
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.
Robeco QI Long/Short Dynamic Duration is an actively managed fund that invests mainly in bonds and similar fixed income securities with a short duration and takes active positive or negative duration (interest-rate sensitivity) positions. The duration positioning of the fund is fully based on a quantitative model.The fund's objective is to provide long term capital growth. The fund aims for a better sustainability profile compared to the Benchmark by promoting certain ESG (i.e. Environmental, Social and corporate Governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation and integrating ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list on the basis of controversial behavior, products (including controversial weapons, tobacco, palm oil and fossil fuel) and countries, next to engagement. 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 Benchmark of the fund is a cash benchmark. The fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the application of a tracking error limit. This will consequently limit the deviation of the performance relative to the Benchmark. The Benchmark is an overnight index or ‘money market index’ that is not consistent with the ESG characteristics promoted by the fund.
Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.
The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. By the end of the month, the strategy was positioned for higher bond yields in Germany and Japan. The positions were driven by the growth, inflation, season and trend variables. The strategy had a neutral position in the US, as the negative variables were offset by the positive outcomes of the valuation and monetary policy variables.
Olaf Penninga is Lead Portfolio Manager for the Dynamic Duration strategy and Portfolio Manager for the Dynamic High Yield strategy. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. One of his previous positions within Robeco was that of Researcher with responsibility for fixed income allocation research, including the research underlying the Dynamic Duration strategy. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in the industry in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University.
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.
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ISIN | LU0486541344 |
Bloomberg | ROBFODC LX |
Valoren | 11014979 |
WKN | A1CVLW |
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1st quotation date | 1266451200000 |
Close financial year | 31-12 |
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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.
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.
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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Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.
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