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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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. We believe that such a model can enhance performance by sticking to proven bond market drivers. This also helps avoid well-known human behavioral biases and can even benefit from them.
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 developed bond markets (United States, Germany and Japan). The duration overlay is implemented primarily using bond futures. We offer this strategy with an underlying portfolio of government bonds or a money market portfolio.
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.