Robeco QI Global Dynamic Duration DH EUR
- Global government bond exposure with solid credit quality
- Anticipating the direction of the 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 -0.89%. In June, the strategy’s return lagged the benchmark. The portfolio started the month with overweight duration positions in all three regions. The overweight position in Germany was closed early in June, but the overweight positions in Japan and the US detracted from performance as bond yields rose. During the month, the model reacted to the increased optimism (as reflected in equity markets) and the trend of rising yields by closing the remaining overweight positions and opening an underweight position in Germany. However, yields fell back as optimism about the recovery faded while the virus kept spreading. Due to the new underweight, the strategy could not participate in full in the rally. The tilts in the underlying portfolio contributed positively to the performance. 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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| Fund | Reference index | ||
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| Rating | |||
| Option Adjusted Modified Duration (years) | |||
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| Yield to Worst (%) |
Market development
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundInvestmentExplanations.date,'llll') ]}}Yields rose sharply in the first week of June. Bonds sold off in response to the heated risk sentiment and a huge positive surprise in US payrolls (+2.5 mln jobs while -7.5 mln was expected). Bonds recovered fully from this sell-off in the rest of the month. The ECB meeting was dovish, with the decision to increase the PEPP bond purchases by a larger-than-expected EUR 600 bln. At the 10 June FOMC meeting the Fed confirmed that official rates will be on hold for a long time to come. As the sharp rise in yields from the first week reversed in the rest of the month, government bond returns for the full month of June were close to zero in June: 0.04% for US Treasuries, 0.3% for German Bunds and -0.5% for Japanese government bonds. The negative returns in Japanese government bonds resulted from a steepening of the curve.
Fund allocation
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundAllocations.date,'llll') ]}}| Name | Sector | Weight |
|---|---|---|
Fund Classification
| Yes | No | N/A | ||
|---|---|---|---|---|
| Voting | ||||
| Engagement | ||||
| ESG integration | ||||
| Exclusion |
| Yes | No | N/A | ||
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| Screening | ||||
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| Sustainability Themed Fund |
Currency policy
All currency risks are hedged.
Derivative policy
Robeco QI Global 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
All income earned will be accumulated and will in priciple not be distributed as dividend. Therefore the entire result is reflected in the share price development.
ESG Integration policy
For Robeco QI Global Dynamic Duration the ESG analysis is systematically incorporated in the highly disciplined investment process by using the RobecoSAM Country Sustainability Ranking. In the portfolio construction we ensure that more sustainable countries are more likely to be included in the portfolio and that the ESG profile of the fund is more sustainable than that of the benchmark.
Investment policy
Robeco QI Global Dynamic Duration invests worldwide in government bonds with investment grade quality. The fund uses bond futures to adjust the duration (interest-rate sensitivity) of the portfolio. Duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The aim of the fund is to protect against rising yields and to benefit from rallying bond markets. The fund is quantitatively driven, as the duration positioning is always based on the outcome of our duration model. The model uses market expectations for 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 Global Dynamic Duration serves as a very good diversifier in a fixed income portfolio and can function as an airbag during adverse markets.Weekly positioning updates are available upon request.
Risk policy
Risk management systems continuously monitor the extent to which the portfolio differs from the benchmark. Extreme discrepancies are prevented in this way. The duration model makes use of futures, which can lead to leverage.
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. At the start of July, the strategy had an underweight position in Germany. This was mainly driven by negative scores for its monetary policy, valuation and trend variables. For the US and Japan the model has a neutral outlook as the negative variables are offset by positive scores for monetary policy in the US and valuation in Japan.
Olaf Penninga
Olaf Penninga is Lead Portfolio Manager for the Dynamic Duration strategy and Portfolio Manager for the Dynamic High Yield strategy. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. One of his previous positions within Robeco was that of Researcher with responsibility for fixed income allocation research, including the research underlying the Dynamic Duration strategy. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in the industry in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University.
Team
Robeco QI Global Dynamic Duration is managed within Robeco’s Quant Allocation team, which consists of six portfolio managers. The team is focused on quantitative allocation strategies including quantitative duration strategies. The team works closely together with fundamental portfolio management teams and with seven dedicated quant allocation researchers. On average, the members of the quant allocation team have an experience in the asset management industry of eighteen years, of which fourteen years with Robeco.
Details
{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}| Management company | |
| Fund capital | |
| Size of share class | |
| Outstanding shares | |
| ISIN | LU0084302339 |
| Bloomberg | RGLUXOR LX |
| Valoren | 997304 |
| WKN | 912419 |
| Availability | |
| 1st quotation date | 773884800000 |
| Close financial year | 31-12 |
| Legal status | |
| Tracking error limit (%) | |
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Cost of this fund
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Transaction costs |
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| The expected transaction costs are |
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 0.05% 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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Fund documents
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The Robeco Capital Growth Funds have not been registered under the United States Investment Company Act of 1940, as amended, nor the United States Securities Act of 1933, as amended. None of the shares may be offered or sold, directly or indirectly in the United States or to any US Person. A US Person is defined as (a) any individual who is a citizen or resident of the United States for federal income tax purposes; (b) a corporation, partnership or other entity created or organized under the laws of or existing in the United States; (c) an estate or trust the income of which is subject to United States federal income tax regardless of whether such income is effectively connected with a United States trade or business.