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Robeco QI Global Multi-Factor Bonds IH EUR

Index: Bloomberg Barclays Global Aggregate Index (hedged into EUR)
ISIN: LU2067172382
  • Globally diversified portfolio of bonds issued by governments, agencies and corporates managed with a systematic investment style
  • Uses low-risk, quality, value, momentum and size factors to select the most attractive bonds
  • Based on more than 25 years of experience and award-winning research in quantitative fixed income investing
Asset class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Global Multi-Factor Bonds is an actively managed fund that invests globally in bonds issued by governments, agencies and corporates. The selection of these bonds is based on a quantitative model.The fund's objective is to provide long term capital growth.The fund uses low-risk, quality, value, momentum and size factors to select the most attractive bonds. The disciplined investment process aims to keep the credit and foreign exchange risk of the bond portfolio similar to that of the benchmark, but with the aim to generate higher returns due to its exposures to factors. The overall duration of the bond portfolio can be increased or decreased, depending on a systematic assessment of the bond market outlook.

Price development

No performance data available

Price development

Robeco QI Global Multi-Factor Bonds IH EUR

Performance

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The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year)
Initial charges or eventual custody charges which intermediaries might apply are not included.
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
The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year)
Initial charges or eventual custody charges which intermediaries might apply are not included.
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

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Based on transaction prices, the fund's return was 0.34%. The fund slightly underperformed the benchmark over June. Credit selection added to performance while government bond selection detracted. Within government bond selection momentum added value, while value and low-risk detracted. Country allocation resulting from the government bond selection contributed positively while yield curve positioning detracted. The strongest contributor in country allocation was the overweight to Australian bonds, while the main detractor in yield curve positioning was the steepener in the US. Within credit selection, value was strong, momentum and size were close to neutral and low-risk/quality detracted. The duration overlay had a negative impact on performance due to its underweight duration. The portfolio started the month with underweight duration positions in Germany and Japan; the underweight in Germany was closed during the month. Year-to-date the fund has outperformed the benchmark, due to positive returns of the duration overlay and credit selection.

Statistics

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Above mentioned ratios are based on gross of fees returns.
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Market development

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Government bonds from developed markets posted positive returns in June, with the US (0.8%) and Australia (1.0%) leading the way. German bunds returned 0.5%, Japanese government bonds just 0.01% (all returns hedged to EUR). The Bloomberg Barclays Global Aggregate Corporates index posted a credit return of 0.39% as credit spreads tightened further from 89 to 86 bps. The Fed and the ECB were the main drivers of bond returns in June. The ECB managed to sound dovish by stating that its net PEPP purchases will be continued at a ‘significantly higher’ pace during Q3. The Fed meeting was considered hawkish. US front end yields rose as most FOMC members now expect 50 bps in rate hikes for 2023, but long term Treasuries rallied as Powell signaled a smaller tolerance for an inflation overshoot than indicated earlier. This resulted in a significant flattening of the curve, not only in the US, but also in Australia and the UK.

Fund allocation

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Fund Classification

YesNoN/A 
Voting
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ESG integration
Exclusion
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Sustainability Themed Fund

Currency policy

All currency risks are hedged.

Dividend policy

All income earned will be accumulated and not be distributed as dividend. Therefore the entire return is reflected in the share price development.

ESG Integration policy

ESG analysis is systematically incorporated in the highly disciplined investment process by using proprietary Smart ESG scores and RobecoSAM Country Sustainability Ranking. In the portfolio construction we ensure that more sustainable countries and companies are more likely to be included in the portfolio and that the ESG profile and the environmental footprint of the fund is more sustainable than the benchmark. In addition, our credit analysts use external sources to identify additional ESG risks, e.g. corporate governance issues or companies that have major litigation or regulatory risks. If these ESG risks may result in a material financial impact, we will not invest in these companies.

Investment policy

Robeco QI Global Multi-Factor Bonds is an actively managed fund that invests globally in bonds issued by governments, agencies and corporates. The selection of these bonds is based on a quantitative model.The fund's objective is to provide long term capital growth.The fund aims for a better sustainability profile compared to the Benchmark by promoting certain ESG (i.e. Environmental, Social and corporate Governance) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation and integrating ESG and sustainability risks in the investment process. In addition, the fund applies an exclusion list on the basis of controversial behavior, products (including controversial weapons, tobacco, palm oil and fossil fuel) and countries, next to engagement. The fund uses low-risk, quality, value, momentum and size factors to select the most attractive bonds. The disciplined investment process aims to keep the credit and foreign exchange risk of the bond portfolio similar to that of the benchmark, but with the aim to generate higher returns due to its exposures to factors. The overall duration of the bond portfolio can be increased or decreased, depending on a systematic assessment of the bond market outlook.The majority of bonds selected will be components of the Benchmark, but bonds outside the Benchmark may be selected too. The fund can deviate from the weightings of the Benchmark. The fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the applications of limits (on currencies, issuers and ratings) to the extent of deviation from the Benchmark. This will consequently limit the deviation of the performance relative to the Benchmark. The Benchmark is a broad market weighted index that is not consistent with the ESG characteristics promoted by the fund.

Risk policy

The fund aims to have its credit and currency exposure in line with that of the benchmark. The strategy can have moderate tracking error versus the benchmark. The portfolio volatility is restricted by a predefined threshold. The portfolio will make use of derivatives, which add to the leverage of the portfolio. The expected level of gross leverage is stated in the prospectus.

Expectation of fund manager

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Robeco QI Global Multi-Factor Bonds invests systematically in predominantly investment grade credits and government bonds. It offers balanced exposure to a number of quantitative factors. The bottom-up selection of government bonds and credits aims to systematically harvest factor premiums with a risk profile that is similar to the reference index. On top of that, the fund has incorporated an active duration overlay, which is fully driven by the outcomes of our quantitative duration model.

Olaf Penninga, Patrick Houweling
Olaf Penninga, Patrick Houweling

Olaf Penninga, Patrick Houweling

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. Patrick Houweling is Lead Portfolio Manager and Researcher Quant Credits. Prior to joining Robeco in 2003, he was Risk Manager at Rabobank International where he started his career in 1998. Patrick has published articles in academic finance literature, including the Journal of Banking and Finance, the Journal of Empirical Finance and the Financial Analysts Journal. The article 'Factor Investing in the Corporate Bond Market', co-written by Jeroen van Zundert, received a Graham and Dodd Scroll Award of Excellence for 2017. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU2067172382
BloombergROMHBIE LX
Valoren51337835
WKNA3CM1X
Availability
1st quotation date1574726400000
Close financial year31-12
Legal status
Tracking error limit (%)
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
Management fee
Service fee

Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

Extra fees

max entry fee
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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 0.01% 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.

Fiscal treatment of investor

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.

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Disclaimer

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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