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Factor investing applied to credits

There is strong empirical evidence for the existence of low risk, value, momentum and size factor premiums in the corporate bond market.

Factor investing credits

Products

Robeco offers the following factor credit products:

Robeco Global Multi-Factor Credits (since 2015)
This strategy offers balanced exposure to the Low-Risk, Value, Momentum and Size factors via a well-diversified portfolio of global investment grade corporate bonds. Our research shows that a Multi-Factor Credits portfolio offers both an attractive Sharpe ratio and an attractive information ratio versus the market by generating higher returns with a market-like risk profile. This strategy is offered both as a mutual fund and in customizable institutional mandates.

A selection of share classes is listed below; for more share classes, please visit the Product Selector.
Robeco Conservative Credits (since 2012)
This strategy predominantly offers exposure to the Low-Risk factor, but also makes sure that the portfolio does not go against the Value, Momentum and Size factors. The portfolio consists of low-risk bonds issued by low-risk companies and is well-diversified across regions, sectors and names. Our research shows that a Conservative Credits portfolio can realize market-like returns with a substantially lower risk over a full market cycle. Due to its below-index duration the strategy is attractive for investors that have to comply with Solvency II.

This strategy is only offered in customizable institutional mandates.
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