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 Quant Allocation team in close cooperation with our Global Macro team and Quant Allocation Research team. This 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.
Robeco Capital Growth Funds (“the Funds”) are distinguished by their respective specific investment policies or any other specific features. Please read carefully for the risks of the Funds:
Investors may suffer substantial losses of their investments in the Funds. Investor should not invest in the Funds solely based on the information provided in this document and should read the offering documents (including potential risks involved) for details. Investment involves risks. Past performance is not indicative of future performance. The information contained in this website is provided for reference only and does not constitute any investment advice. Investors are advised to seek independent advice before making any investment decision. Please refer to the relevant offering documents for details including the risk factors before making any investment decisions. This web page is published by Robeco Hong Kong Limited and has not been reviewed by the Securities and Futures Commission. You must read the above information before proceeding. By clicking the “I AGREE” button below, you acknowledge that you have read the relevant risk disclosure statements.