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).

The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.

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.

By clicking Proceed I confirm that I am a professional investor and/or institutional investor and that I have read, understood and accept the terms of use for this website.

Decline
Emerging dynamic duration
Government bonds

Emerging dynamic duration

Actively managing exposure to interest rate movements in emerging markets

Key points:

  • Active duration management is the sole performance driver for this strategy 
  • Based on a highly successful quantitative duration model 
  • Aims to offer protection against rising yields and to benefit from falling yields

Philosophy

Duration management – actively managing a portfolio’s sensitivity to interest rate movements – is crucial for the returns on fixed income portfolios, as they are predominantly driven by changes in government bond yield levels. To forecast yield changes, Robeco developed a quantitative duration model in the 1990s for developed markets. In 2011 Robeco also found evidence to show that the model can forecast yield changes for emerging markets too. We believe that such a model can enhance performance by sticking to proven bond market drivers.

Process

Active duration management is the sole performance driver for this strategy. The duration positions are based on Robeco’s quantitative duration model. This model generates forecasts for the direction of bond yields in the main emerging market bond markets (Brazil, Mexico, Malaysia, South Korea, South Africa and Poland). The duration overlay is implemented primarily using interest rate swaps. The portfolio invests in government bonds of a well-diversified group of emerging market countries offering exposure to attractive yields and to emerging currencies.

Stay up-to-date on Quant insights
Subscribe

Team

Robeco’s quantitative duration strategies are managed by the Global Fixed Income Macro team together with our Quantitative Research department. This collaboration ensures that all decisions are based on rigorous quantitative back-testing, combined with deep fundamental knowledge and practical investment experience. All active positions are based entirely on the signals given by the duration model. 

Get in touch with us

Contact us if you would like to know more about this strategy.

Contact