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 for developed markets. In 2011 Robeco also found evidence to show that the model can forecast yield changes for emerging markets too. We believe that such a model can enhance performance by sticking to proven bond market drivers.
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 emerging market bond markets (Brazil, Mexico, Malaysia, South Korea, South Africa and Poland). The duration overlay is implemented primarily using interest rate swaps. The portfolio invests in government bonds of a well-diversified group of emerging market countries offering exposure to attractive yields and to emerging currencies.
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 Institutional Asset Management B.V. (Dubai office) is regulated by the Dubai Financial Services Authority (“DFSA”) and only deals with Professional Clients and does not deal with Retail Clients as defined by the DFSA.
Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.