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Robeco QI Global Dynamic Duration GH EUR
Systematic government bond approach to provide long-term capital growth by dynamically adjusting duration
Share classes
Share classes
Every share class of a product invests in the same portfolio of securities and has the same investment objectives and policies. However, their parameters might deviate. For instance and amongst others, their distribution type, currency exposure or fees and expenses might differ. The most common share classes at Robeco are:
a) D/DH shares, which are regular shares and available for all Investors;
b) I/IH shares, for institutional investors as defined from time to time by the Luxembourg supervisory authority.
For more information on share classes please go to the prospectus.
GH-EUR
DH-CHF
DH-EUR
DH-USD
EH-CHF
EH-EUR
FH-CHF
FH-EUR
FH-GBP
FH-USD
GH-GBP
IBH-JPY
IEH-CHF
IEH-EUR
IEH-USD
IH-EUR
IH-USD
Z-EUR
Class and codes
Asset class:
Bonds
ISIN:
LU0792901737
Bloomberg:
RLORGHE LX
Index
JPM GBI Global Investment Grade Index (hedged into EUR)
Sustainability-related information
Sustainability-related information
Under the EU Sustainable Finance Disclosure Regulation, products can be labelled as either Article 6, 8 or 9 fund.
Article 6 - The fund is not in scope of enhanced sustainability disclosures compared to Article 8 and 9.
Article 8 - The fund does not have a sustainable investment objective but promotes environmental or social characteristics and is subject to enhanced sustainability disclosures.
Article 9 - The fund has a sustainable investment objective and is subject to enhanced sustainability disclosures.
Regardless of Article 8 or 9, the companies in which investments are made must follow good governance practices, and sustainable investments must not do any significant harm.
Article 8
Morningstar
Morningstar
Copyright © Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Download The Morningstar Rating for Funds (chapter: The Morningstar Rating: Three-, Five-, and 10-Year) on the Morningstar website.
Rating (31/07)
- Overview
- Performance & costs
- Portfolio
- Sustainability
- Commentary
- Documents
MISSING: fund.detail.tabs.
Key points
- Global government bond exposure with solid credit quality
- Anticipating the direction of the bond markets
- Proven track record in multiple market environments
About this fund
Robeco QI Global Dynamic Duration is an actively managed fund that invests worldwide in government bonds with investment grade quality. The fund's objective is to provide long term capital growth. The fund uses derivatives to dynamically adjust the duration (interest-rate sensitivity) of the portfolio. The duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The ESG scores of countries are a integral part of our bottom-up country allocation decisions.
Key facts
Total size of fund
€ 707,815,939
Size of share class
€ 98,392,906
Inception date share class
04-07-2012
1-year performance
6.90%
Dividend paying
Yes
Fund manager
![Olaf Penninga](https://images.ctfassets.net/tl4x668xzide/45WrXZmQb57dNIlv0vSE4f/69e4c2438d47e1d5299ca67f3a638e03/olaf-penninga-01623-500px.jpg?fit=fill&w=162&h=162&f=center&fm=webp)
Olaf Penninga
![Lodewijk van der Linden](https://images.ctfassets.net/tl4x668xzide/1AM85ysPsUcwXFYeFjGfPd/8b7324898d1a592f5b2a802add518082/lodewijk-van-der-linden-500px.jpg?fit=fill&w=162&h=162&f=center&fm=webp)
Lodewijk van der Linden
![Johan Duyvesteyn](https://images.ctfassets.net/tl4x668xzide/73WVilbiVv5jMw9Q6pOtUK/8a339e3c4b828f36c68425227df43dac/johan-duyvesteyn-500px.jpg?fit=fill&w=162&h=162&f=center&fm=webp)
Johan Duyvesteyn
Olaf Penninga is Portfolio Manager Quant Fixed Income. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. These are all quantitative fixed income strategies. His previous positions with Robeco include that of Lead Portfolio Manager for Robeco’s fundamentally-managed Euro Government Bonds strategy and Researcher with responsibility for fixed income allocation research. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University. Lodewijk van der Linden is Portfolio Manager Quant Fixed Income. He joined Robeco in August 2018. In the period 2015-2018 Lodewijk worked at Aegon Asset Management where he was Risk associate and Team Manager Client Reporting. Lodewijk started his career at PwC as an actuarial consultant in 2013. He holds a Master's in Actuarial Science from the University of Amsterdam and a Master's in Econometrics and Management Science from Erasmus University Rotterdam. Johan Duyvesteyn is Portfolio Manager Quant Fixed Income. His areas of expertise include government bond market timing, credit beta market timing, country sustainability and emerging-market debt. He has published in the Financial Analysts Journal, the Journal of Empirical Finance, the Journal of Banking and Finance, and the Journal of Fixed Income. Johan started his career in the industry in 1999 at Robeco. He holds a PhD in Finance, a Master's in Financial Econometrics from Erasmus University Rotterdam and he is a CFA® charterholder. Robeco QI Global Dynamic Duration is managed within Robeco’s Quant Allocation team, which consists of six portfolio managers. The team is focused on quantitative allocation strategies including quantitative duration strategies. The team works closely together with fundamental portfolio management teams and with seven dedicated quant allocation researchers. On average, the members of the quant allocation team have an experience in the asset management industry of eighteen years, of which fourteen years with Robeco.
Performance
Per period
Per annum
- Per period
- Per annum
1 month
1.62%
1.72%
3 months
2.12%
2.89%
YTD
1.49%
0.08%
1 year
6.90%
2.83%
2 years
-1.00%
-1.81%
3 years
-3.66%
-4.28%
5 years
-2.18%
-2.01%
10 years
0.45%
0.19%
Since inception 07/1994
3.71%
-
2023
7.56%
3.52%
2022
-15.00%
-13.98%
2021
-4.12%
-3.09%
2020
1.09%
4.88%
2019
4.56%
4.63%
2021-2023
-4.30%
-4.79%
2019-2023
-1.51%
-1.08%
Statistics
Statistics
Hit-ratio
Characteristics
- Statistics
- Hit-ratio
- Characteristics
Tracking error ex-post (%)
The ex-post tracking error is defined as the volatility of the fund's achieved excess return over the index return. In fund management, most managers are subject to an ex-ante (pre-determined) tracking error, which defines the extent of the additional risk they may take when aspiring to outperform the fund's benchmark. The ex-post tracking error explains the distribution of past fund performances compared to those of its underlying benchmark. With a higher tracking error, the fund's returns deviate more from its index's returns, hence there is a greater chance that the fund may outperform. The wider the spread of returns relative to the benchmark, the more "actively" a fund has been managed. In contrast, a low tracking error indicates more "passive" management.
3.03
2.77
Information ratio
This ratio serves to evaluate the quality of the excess return a fund manager has achieved because it takes the active risk involved into account. The information ratio is defined as the excess return over the benchmark return divided by the fund's tracking error. The higher the information ratio, the better. For example, a fund with a tracking error of 4% and an excess return of 2% over benchmark has an information ratio of 0.5, which is quite good.
0.36
0.11
Sharpe ratio
This ratio measures the risk-adjusted performance and allows the performance quality of different investments to be compared. It is calculated by subtracting the risk-free rate from the fund's returns and dividing the result by the fund's standard deviation (risk). So the Sharpe ratio tells us whether a fund's returns are the result of smart investment decisions or stem from taking extra risk. The higher the ratio, the better, meaning that a greater return is achieved per unit of risk. This ratio is named after its inventor, Nobel Laureate, William Sharpe.
-0.84
-0.49
Alpha (%)
Alpha measures the difference between a portfolio's actual return and its expected performance, given the level of risk, compared to the benchmark. A positive alpha figure indicates that the fund has performed better than expected, given the level of risk. Beta is used to calculate the level of risk compared to the benchmark..
0.42
-0.01
Beta
Beta is a measure of a portfolio's volatility, or systematic risk, in comparison to the benchmark. A beta of 1 indicates that the portfolio will move with the benchmark. A beta of less than 1 means that the portfolio will be less volatile than the benchmark. A beta of more than 1 indicates that the portfolio will be more volatile than the benchmark. For example, if a portfolio's beta is 1.2 it is theoretically 20% more volatile than the benchmark.
0.88
0.88
Standard deviation
Standard deviation is a measure of the dispersion of a set of data from its mean. The more spread out the data is, the higher the deviation. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility (risk).
5.94
5.31
Max. monthly gain (%)
The maximum (i.e. highest) absolute positive monthly performance in the underlying period.
3.37
4.43
Max. monthly loss (%)
The maximum (i.e. highest) absolute negative monthly performance in the underlying period.
-4.53
-4.53
Months out performance
Number of months in which the fund outperformed the benchmark in the underlying period.
17
27
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
47.2
45
Months Bull market
Number of months of positive benchmark performance in the underlying period.
12
26
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
5
10
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
41.7
38.5
Months Bear market
Number of months of negative benchmark performance in the underlying period.
24
34
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
12
17
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
50
50
Rating
The average credit quality of the securities in the portfolio. AAA, AA, A en BAA (Investment Grade) means lower risk and BB, B, CCC, CC, C (High Yield) higher risk.
AA2/AA3
AA2/AA3
Option Adjusted Modified Duration (years)
The interest rate sensitivity of the portfolio.
13.00
7.00
Maturity (years)
The average maturity of the securities in the portfolio.
15.70
8.60
Dividend paying history
24-04-2024
€ 2.23
27-04-2023
€ 2.19
28-04-2022
€ 2.48
29-04-2021
€ 2.79
Costs
Ongoing charges
Indication of annual charges that are deducted for this fund. This indication is based on the costs over the last calendar year and may vary from year to year. Transaction costs incurred by the fund, any performance fees and other one-off costs are not included in the ongoing charges.
0.51%
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
0.30%
Included service fee
This fee is intended to cover official fees, such as the cost of annual reports, annual shareholders' meetings and price publications.
0.16%
Transaction costs
The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.
0.04%
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.
Fund allocation
Currency
Duration
Rating
Sector
- Currency
- Duration
- Rating
- Sector
Policies
All currency risks are hedged.
Robeco QI Global 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 is distributed annually.
Robeco QI Global Dynamic Duration is an actively managed fund that invests worldwide in government bonds with investment grade quality. The fund's objective is to provide long term capital growth. The fund uses derivatives to dynamically adjust the duration (interest-rate sensitivity) of the portfolio. The duration positioning is based on our proprietary duration model, which predicts the direction of the bond markets using financial market data. The ESG scores of countries are a integral part of our bottom-up country allocation decisions. The fund promotes E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrates sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions. The portfolio is actively managed and uses – to a certain extent – the JPM GBI Global Index IG in defining the asset allocation of the portfolio, still allowing the Management Company to have discretion over the composition of the portfolio subject to the investment objectives. The Company can deviate from the weightings of the Benchmark. The Company aims to outperform the Benchmark over the long run, whilst still controlling relative risk through the applications of limits (on currencies) 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 environmental, social and governance characteristics promoted by the Company.
Risk management systems continuously monitor the extent to which the portfolio differs from the benchmark. Extreme discrepancies are prevented in this way. The duration model makes use of futures, which can lead to leverage.
Sustainability profile
ESG Important Information
The sustainability information below can help investors integrate sustainability considerations in their process. This information is for informational purposes only. The reported sustainability information may not at all be used in relation to binding elements for this fund. A decision to invest should take into account all characteristics or objectives of the fund as described in the prospectus.
Sustainability
The fund incorporates sustainability in the investment process via exclusions, ESG integration, and ESG and environmental footprint targets. The fund complies with Robeco's exclusion policy for countries and does not invest in countries where serious violations of human rights or a collapse of the governance structure take place, or if countries are subject to UN, EU or US sanctions. Via portfolio construction rules the fund targets a better ESG score and a lower carbon footprint than that of the reference index. This ensures that countries with a better ESG score or a lower carbon footprint are more likely to be included in the portfolio. The following sections display the ESG-metrics for this fund along with short descriptions. For more information please visit the sustainability-related disclosures.
Market development
Government bonds posted strong returns over July as yield curves bull-steepened in most markets. US 2-year yields declined by 0.5% as the odds of a September rate cut increased. US inflation declined more than expected and after its July meeting, the Fed referred not only to the risk of high inflation but also to that of weaker growth and higher unemployment. US Treasuries gained 2.0%, German Bunds returned 1.6% and Japanese government bonds 0.2% (all returns hedged to EUR). Italian bonds recovered from the spread widening related to the French elections in June; French bonds recovered only partly. Only in Japan 2 and 5-year yields rose somewhat as the Bank of Japan increased its target rate from 0.1% to 0.25% and governor Ueda said further rate hikes are possible. The BoJ will reduce its bond buying operations, but less strongly than markets feared after Ueda's comments last month.
Performance explanation
Based on transaction prices, the fund's return was 1.62%. The fund lagged the index in July. In the first part of the month, the fund had underweight duration positions and thus benefited less strongly than the index from the recovery in bond markets. The fund's duration was increased during the month. In the last part of the month, when the fund had overweight duration positions, it recouped most of the underperformance from the first weeks of the month. All active duration positions are based on the outcomes of our quantitative duration model. The tilts in the underlying portfolio contributed negatively to the performance, as the portfolio was tilted to longer-dated bonds in several markets. Year-to-date, the fund has strongly outperformed the index. The underweight duration positioning between February and July offered protection against the rise in yields in February and April and the overweight duration positions in the last part of July also contributed positively to the year-to-date performance.
Expectation of fund manager
![Olaf Penninga](https://images.ctfassets.net/tl4x668xzide/45WrXZmQb57dNIlv0vSE4f/69e4c2438d47e1d5299ca67f3a638e03/olaf-penninga-01623-500px.jpg?fit=fill&w=162&h=162&f=center&fm=webp)
Olaf Penninga
![Lodewijk van der Linden](https://images.ctfassets.net/tl4x668xzide/1AM85ysPsUcwXFYeFjGfPd/8b7324898d1a592f5b2a802add518082/lodewijk-van-der-linden-500px.jpg?fit=fill&w=162&h=162&f=center&fm=webp)
Lodewijk van der Linden
![Johan Duyvesteyn](https://images.ctfassets.net/tl4x668xzide/73WVilbiVv5jMw9Q6pOtUK/8a339e3c4b828f36c68425227df43dac/johan-duyvesteyn-500px.jpg?fit=fill&w=162&h=162&f=center&fm=webp)
Johan Duyvesteyn
The fund's duration policy is driven by the outcomes of our proprietary quantitative duration model. At the end of July, the model was positive on bonds, mainly driven by the inflation, economic growth, low risk and trend variables. The annual pattern that is part of the season variable is also positive for bonds in this part of the year.