Robeco QI Global Dynamic Duration DH EUR

Government bonds posted negative returns in August, responding to a recovery in economic data and strong risk sentiment. Returns for German Bunds and US Treasuries were both in a range of -1.2 to -1.3%. Euro periphery bonds fared somewhat better due to broader positive risk sentiment (e.g. Italy -0.4%). Japanese government bonds returned -0.6% (all returns hedged to euro). The bounce in economic data from extremely low levels in March-April was visible across countries and most pronounced in retail sales and in producer survey data, such as the PMIs, which give a judgement on economic conditions vis-à-vis the previous month. Bond yields also rose in response to Fed Chair Jerome Powell’s announcement that the Fed will shift its policy objective to an average 2% inflation over a longer period. Powell also announced that the Fed will not raise rates in response to a decline in unemployment alone. This allows for an overshoot of inflation under strong economic conditions.

All currency risks are hedged.

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.

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.

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.

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 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.