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Dynamic Duration

Dynamic Duration

Actively managing exposure to interest rate movements

Key points:

  • Active duration management is the sole performance driver for this strategy
  • Based on a highly successful quantitative duration model with a proven track record
  • 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. 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.

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 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.

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Team

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.

Get in touch with us

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

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Important information

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This website has been carefully prepared by Robeco Institutional Asset Management B.V. (Robeco). The information contained in this publication is based upon sources of information believed to be reliable. Robeco is not answerable for the accuracy or completeness of the facts, opinions, expectations and results referred to therein. Whilst every care has been taken in the preparation of this website, we do not accept any responsibility for damage of any kind resulting from incorrect or incomplete information. This website is subject to change without notice. The value of the investments may fluctuate. Past performance is no guarantee of future results. If the currency in which the past performance is displayed differs from the currency of the country in which you reside, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency. For investment professional use only. Not for use with the general public.
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