Robeco QI Long/Short Dynamic Duration IH USD
- 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 | Reference 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 0.32%. The performance was mainly driven by two positions. The long position in Germany contributed positively to the performance as the German yield declined. This position was maintained throughout the month. Towards the end of the month the strategy opened a long position in the US, as the trend turned positive and the growth and season variables were positive as well. This long position detracted from the performance as yields rose again in the last days of the month. Overall, the performance was in line with the benchmark return. 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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| Yield to Worst (%) |
Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Bond yields rose in the first week of October, with upbeat Fed comments pushing especially US yields higher. Yields fell back later in the month when equities sold off. German yields declined most due to unrest over the Italian budget. In the last days of the month, yields rose again as equities recovered somewhat. For the month as a whole, US Treasuries returned -0.8%. Japanese government bonds generated a small positive return (+0.2%), while German Bunds gained +0.6% in October.
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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| Exclusion |
| Yes | No | N/A | ||
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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.
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 fund has long positions in all three markets – Germany, the US and Japan. The economic growth, inflation and season variables are positive for all three bond markets.
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 | |
| Outstanding shares | |
| ISIN | LU1493701459 |
| Bloomberg | ROBFIHU LX |
| Valoren | 34048408 |
| WKN | |
| Availability | |
| 1st quotation date | 1474502400000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
| Reference index |
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 0.01% 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.
