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Based on transaction prices, the fund's return was 6.88%. The fund's gross return outperformed the high yield cash bond market return by 2.9%. The dynamic market timing strategy switched to an overweight position at the start of the month, and kept the overweight during the month in line with the fund's risk limits. The combined return of investing in CDS indices and government bonds outperformed the return of high yield cash bonds and contributed 2.0% to the performance. In the long run, we do not expect structural return differences between CDS indices and bonds.
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The global high yield bond spread decreased by 100 bps, while the European iTraxx Crossover Index decreased by 104 bps and the US CDX High Yield Index by 121 bps. The global CDS index return was 5.9%, with the underlying government bonds making a slightly negative contribution of -0.1%. The combined return of investing in CDS indices and government bonds was 5.8% last month, significantly higher than the 3.8% return of the cash high yield bond index. November was a very eventful month that started with the US elections, followed by the announcement from Pfizer that its vaccine is more successful than expected. Sentiment clearly changed into risk-on, with strong performance of equity and corporate bond markets. Especially companies that suffered in the Covid-19 recession (hotels, airlines, real estate companies) performed very well.
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Sustainability Themed Fund |
Currency risks are hedged.
All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.
For Robeco QI Dynamic High Yield the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.
Robeco QI Dynamic High Yield offers well-diversified exposure to US and European high yield corporates by investing in highly liquid CDS indices. These indices are much more liquid than direct investments in high yield bonds. Because of their high liquidity, investors can use these CDS indices to efficiently get high yield exposure with much lower transaction costs than through high yield bonds. The performance of Robeco QI Dynamic High Yield is driven by a unique quantitative market-timing model. This proprietary model has a track record of over 10 years. The model is based on academic research and uses a variety of factors, amongst others from credit and equity markets, to forecast credit returns. Based on this forecast, the exposure of the fund to the high yield corporate bond market will be decreased or increased. As a result, the beta of the portfolio varies between 0.5 and 1.5, to reduce risk in declining markets and to benefit more in rising markets. Robeco QI Dynamic High Yield Fund aims to offer a better return than the Bloomberg Barclays Global High Yield Corporate index. The index is used to express the benefits of the strategy as an alternative to passive or direct investments in high yield bonds. Weekly positioning updates are available upon request.
The investment strategy of the fund aims to outperform its 100% exposure to high yield corporates by taking active beta positions based on Robeco's quantitative market timing model. These active positions are set to always meet the predefined guidelines. As the investment exposure of the fund is obtained to a material degree through derivatives, it is important to manage counterparty risk. Therefore the credit quality of the counterparties is monitored and collateral is exchanged on a daily basis to reflect market movements in the value of the instruments. The predefined guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.
The positions of the fund are fully determined by the outcome of our proprietary credit beta model. By the end of the month, the fund had an overweight beta position of 1.5. The overweight position is driven by the positive season, momentum and macro variables.
Mr. Johan Duyvesteyn is Portfolio Manager and Quantitative Researcher with Robeco. Johan has been active in the industry and with Robeco since 1999. He started his career as researcher. His areas of expertise are government bond market timing, country sustainability and emerging debt. Johan has published several articles in the academic finance literature, including the Journal of Empirical Finance, the Journal of Banking and Finance and the Journal of Fixed Income. Johan holds a Ph.D. in Finance as well as a Master's degree in Financial Econometrics from the Erasmus University Rotterdam. He became a CFA charter holder in 2005 and is registered with the Dutch Securities Institute. 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.
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ISIN | LU1102563613 |
Bloomberg | RQHYIHU LX |
Valoren | 25259702 |
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1st quotation date | 1409184000000 |
Close financial year | 31-12 |
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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 0.01% 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.
Investors who are not subject to (exempt from) Dutch corporate-income tax (e.g. pension funds) are not taxed on the achieved result. Investors who are subject to Dutch corporate-income tax can be taxed for the result achieved on their investment in the fund. Dutch bodies that are subject to corporate-income tax are obligated to declare interest and dividend income, as well as capital gains in their tax return. Investors residing outside the Netherlands are subject to their respective national tax regime applying to foreign investment funds. We advise individual 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.
Please read this important information before proceeding further. It contains legal and regulatory notices relevant to the information contained on this website.
The information contained in the Website is NOT FOR RETAIL CLIENTS - The information contained in the Website is solely intended for professional investors, defined as investors which (1) qualify as professional clients within the meaning of the Markets in Financial Instruments Directive (MiFID), (2) have requested to be treated as professional clients within the meaning of the MiFID or (3) are authorized to receive such information under any other applicable laws. The value of the investments may fluctuate. Past performance is no guarantee of future results. Investors may not get back the amount originally invested. Neither Robeco Institutional Asset Management B.V. nor any of its affiliates guarantees the performance or the future returns of any investments. 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.
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