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Robeco QI Long/Short Dynamic Duration D EUR

Index: ICE BofA ESTR Overnight Rate Index
ISIN: LU0230242504
  • Benefiting from falling and rising bond yields
  • Quantitative model anticipating direction bond markets
  • Proven track record in multiple market environments
Asset class
Current price ()
Performance YTD ()
Currency EUR
Total size of fund ()
Dividend payingNo

About this fund

Robeco QI Long/Short Dynamic Duration is an actively managed fund that invests mainly in bonds and similar fixed income securities with a short duration and takes active positive or negative duration (interest-rate sensitivity) positions. The duration positioning of the fund is fully based on a quantitative model.The fund's objective is to provide long term capital growth. Active duration management is the sole performance driver for this fund. Robeco’s quantitative duration 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 using bond futures.

Price development

No performance data available

Price development

Robeco QI Long/Short Dynamic Duration D 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 -0.08%. During the month, short positions were opened in Japan, the US and Germany. The part of the positions implemented with 5 and 10-year futures contributed positively to performance, but a part of the duration positions is implemented using futures on long-dated bonds. The yields on these bonds fell in the last part of the month, so these positions contributed negatively. Year-to-date, the fund has outperformed, as it has benefited with short positions from the rise in yields in the first months of this year. All active duration positions are based on the outcomes of our quantitative duration model.

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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US Treasuries and German Bunds returned 0% in October and Japanese government bonds -0.2% (hedged to euros). Nevertheless, October was a volatile month for government bonds. Yields rose strongly in Australia, where the RBA abandoned yield curve control, and in Canada, where the central bank reduced its bond purchases. In the US, UK and Eurozone, 2 and 5-year yields rose, while 30-year yields declined. The market increasingly expects central banks to hike rates soon to fight inflation. Long-term bonds benefit as inflation risk is reduced. Yield curves thus flattened strongly.

Fund allocation

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Name Sector Weight
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Currency policy

All currency risks are hedged.

Derivative policy

Robeco QI Long/Short 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.

Dividend policy

In principle the fund does not intend to distribute dividend. The income earned by the fund is reflected in its share price. The fund's entire result is thus reflected in its share price development.

ESG Integration policy

For Robeco QI Long/Short Dynamic Duration ESG factors are incorporated in the investment process. A key feature of the fund’s sustainability investing approach is that debt of countries and companies with a favorable ESG score is more likely to be included in the portfolio. The fund’s weighted ESG score versus a euro corporate bond index is measured using Sustainalytics ESG scores. The fund’s weighted ESG score versus a government bond index is measured using Robeco Country Sustainability scores.

Investment policy

Robeco QI Long/Short Dynamic Duration is an actively managed fund that invests mainly in bonds and similar fixed income securities with a short duration and takes active positive or negative duration (interest-rate sensitivity) positions. The duration positioning of the fund is fully 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. Active duration management is the sole performance driver for this fund. Robeco’s quantitative duration 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 using bond futures. The Benchmark of the fund is a cash benchmark. The fund aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the application of a tracking error limit. This will consequently limit the deviation of the performance relative to the Benchmark. The Benchmark is an overnight index or ‘money market index’ that is not consistent with the ESG characteristics promoted by the fund.

Risk policy

Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.

Sustainability profile

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Exclusions

Full ESG Integration

Engagement

ESG integration policy

{{'fund.detail.general.perDate' | labelize:[ fundDate(fund.fundFacts.date,'llll') ]}}

For Robeco QI Long/Short Dynamic Duration ESG factors are incorporated in the investment process. A key feature of the fund’s sustainability investing approach is that debt of countries and companies with a favorable ESG score is more likely to be included in the portfolio. The fund’s weighted ESG score versus a euro corporate bond index is measured using Sustainalytics ESG scores. The fund’s weighted ESG score versus a government bond index is measured using Robeco Country Sustainability scores.

Expectation of fund manager

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The fund's duration policy is fully driven by the outcomes of our proprietary quantitative duration model. By the end of the month, the model outcomes were negative for bonds. The trend, inflation and low-risk variables pointed to rising yields. Valuation was negative for German bonds and monetary policy for US bonds.

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn
Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

Olaf Penninga, Lodewijk van der Linden, Johan Duyvesteyn

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. Lodewijk van der Linden is Portfolio Manager within the Quant Allocation team. His area of expertise is multi-asset factor investing. Prior to joining Robeco in August 2018, Lodewijk held several positions at Aegon, most recently as Team Manager of Client Reporting at Aegon Asset Management. He started his career as an actuarial consultant at PwC. He holds a Master's degree in Actuarial Science from the University of Amsterdam and a Master's degree in Econometrics and Management Science from the Erasmus University Rotterdam. 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.

Team

Robeco QI Long/Short Dynamic Duration is managed within Robeco’s Rates team, which consists of four portfolio managers. The team is focused on government bond strategies including quantitative duration strategies. The team works closely together with four dedicated quantitative researchers and four fixed income traders. On average, the members of the rates team have an experience in the asset management industry of sixteen years, of which ten years with Robeco.

Details

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Management company
Fund capital
Size of share class
Outstanding shares
ISINLU0230242504
BloombergROBFLXD LX
Valoren2274966
WKNA0HGD3
Availability
1st quotation date1128297600000
Close financial year31-12
Legal status
Tracking error limit (%)
Morningstar
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
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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 0.05% 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

The fiscal consequences of investing in this fund depend on the investor's personal situation. For private investors in the Netherlands real interest and dividend income or capital gains received on their investments are not relevant for tax purposes. Each year investors pay income tax on the value of their net assets as at 1 January if and inasmuch as such net assets exceed the investor’s tax-free allowance. Any amount invested in the fund forms part of the investor's net assets. Private investors who are resident outside the Netherlands will not be taxed in the Netherlands on their investments in the fund. However, such investors may be taxed in their country of residence on any income from an investment in this fund based on the applicable national fiscal laws. Other fiscal rules apply to legal entities or professional investors. We advise 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.

In the UK, Robeco Institutional Asset Management B.V. (“ROBECO”) only markets its funds to institutional clients and professional investors. Private investors seeking information about ROBECO should visit our corporate website www.robeco.com or contact their financial adviser. ROBECO will not be liable for any damages or losses suffered by private investors accessing these areas.

In the UK, ROBECO Funds has marketing approval for the funds listed on this website, all of which are UCITS funds. ROBECO is authorized by the AFM and subject to limited regulation by the Financial Conduct Authority. Details about the extent of our regulation by the Financial Conduct Authority are available from us on request.

Many of the protections provided by the United Kingdom regulatory framework may not apply to investments in ROBECO Funds, including access to the Financial Services Compensation Scheme and the Financial Ombudsman Service. No representation, warranty or undertaking is given as to the accuracy or completeness of the information on this website.

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