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Robeco QI Long/Short Dynamic Duration F EUR

Index: ICE BofA ESTR Overnight Rate Index
ISIN: LU0940006538
  • Benefiting from falling and rising bond yields
  • Quantitative model anticipating direction bond markets
  • Proven track record in multiple market environments
Asset class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

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. 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.

Price development

No performance data available

Price development

Robeco QI Long/Short Dynamic Duration F EUR

Performance

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Fund Index
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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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Based on transaction prices, the fund's return was -1.22%. The fund underperformed in August, while performance remains strong year-to-date. The long duration position in Germany that was opened in the last part of June explains the underperformance, as especially German yields increased substantially in August after declining in July. All active duration positions are based on the outcomes of our quantitative duration model.

Statistics

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Above mentioned ratios are based on gross of fees returns
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Above mentioned ratios are based on gross of fees returns
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Market development

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After the July rally, government bonds changed course again in August. Yields rose most in Europe, with Bunds down 4.8% and Gilts returning -7.8%. The German 2-year yield rose 92 bps, the largest monthly rise in at least three decades. Some ECB board members argued for a 75 bps rate hike, as high natural gas prices drove up Eurozone inflation to 9.1% YoY, a new record. US inflation for July was below expectations, but Fed officials sounded hawkish and expressed the view that rates should remain higher for longer. In his Jackson Hole speech, Fed Chair Powell underlined this message, while referring to lessons of the high inflation period of the 1970s-80s. US Treasuries were down 2.8% in August.

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

The fund incorporates sustainability in the investment process via exclusions, negative screening, ESG integration, limits on investments in companies and countries based on ESG performance as well as engagement. For government and government-related bonds, the fund complies with Robeco’s exclusion policy for countries, excludes the 15% worst ranked countries following the World Governance Indicator 'Control of Corruption', and ensures the fund has a minimum weighted average score of 6 following Robeco's proprietary Country Sustainability Ranking. The Country Sustainability Ranking scores countries on a scale from 1 (worst) to 10 (best) based on 40 environmental, social, and governance indicators. For corporate bonds, the fund does not invest in credit issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Financially material ESG factors are integrated in the portfolio construction to ensure the fund limits exposure to issuers with an elevated sustainability risk profile. Lastly, where issuers are flagged for breaching international standards in the ongoing monitoring, the issuer will become subject to engagement.

Investment policy

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 promotes E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrates sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions, and 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 policy

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

Sustainability profile

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Exclusions

ESG Integration

Engagement

Sustainability

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The fund incorporates sustainability in the investment process via exclusions, negative screening, ESG integration, limits on investments in companies and countries based on ESG performance as well as engagement. For government and government-related bonds, the fund complies with Robeco’s exclusion policy for countries, excludes the 15% worst ranked countries following the World Governance Indicator 'Control of Corruption', and ensures the fund has a minimum weighted average score of 6 following Robeco's proprietary Country Sustainability Ranking. The Country Sustainability Ranking scores countries on a scale from 1 (worst) to 10 (best) based on 40 environmental, social, and governance indicators. For corporate bonds, the fund does not invest in credit issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Financially material ESG factors are integrated in the portfolio construction to ensure the fund limits exposure to issuers with an elevated sustainability risk profile. Lastly, where issuers are flagged for breaching international standards in the ongoing monitoring, the issuer will become subject to engagement.

Expectation of fund manager

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The fund's duration policy is driven by the outcomes of our proprietary quantitative duration model. By the end of the month, the model outcomes were neutral for US bonds and positive for German and Japanese bonds. The model's positive outlook on German and Japanese bonds is explained by positive scores for their economic growth, inflation, low-risk and season variables. The model score for the US is lower than for Germany and Japan, because the valuation and monetary policy variables have lower scores for the US.

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn
Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

Olaf Penninga is Portfolio Manager Quant Fixed Income. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. These are all quantitative fixed income strategies. His previous positions with Robeco include that of Lead Portfolio Manager for Robeco’s fundamentally-managed Euro Government Bonds strategy and Researcher with responsibility for fixed income allocation research. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University. Lodewijk van der Linden is Portfolio Manager Quant Fixed Income. He joined Robeco in August 2018. In the period 2015-2018 Lodewijk worked at Aegon Asset Management where he was Risk associate and Team Manager Client Reporting. Lodewijk started his career at PwC as an actuarial consultant in 2013. He holds a Master's in Actuarial Science from the University of Amsterdam and a Master's in Econometrics and Management Science from Erasmus University Rotterdam. Johan Duyvesteyn is Portfolio Manager Quant Fixed Income. His areas of expertise include government bond market timing, credit beta market timing, country sustainability and emerging-market debt. He has published in the Financial Analysts Journal, the Journal of Empirical Finance, the Journal of Banking and Finance, and the Journal of Fixed Income. Johan started his career in the industry in 1999 at Robeco. He holds a PhD in Finance, a Master's in Financial Econometrics from Erasmus University Rotterdam and he is a CFA® charterholder.

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 company
Fund capital
Size of share class
Outstanding shares
ISINLU0940006538
BloombergROBFHEU LX
Valoren21528419
WKNA116QP
Availability
1st quotation date1378166400000
Close financial year31-12
Legal status
Tracking error limit (%)
Morningstar
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

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

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.

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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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