australieen
Conservative credits
Investment grade credits

Conservative credits

Efficiently capturing the low-risk anomaly in credits

Key points:

  • Robeco has been using factor models in credit management since 1999 
  • Implements the Low-Risk factor with enhanced factor definitions for investment grade corporate bonds 
  • Offers downside protection, while matching the credit market’s return over a full market cycle

Philosophy

Robeco’s quantitative investment strategies are based on the following beliefs: 

Evidence-based research. Identifying factors that are rewarded with superior risk-adjusted performance. This includes extensive empirical testing over longer periods and in different markets.

Economic rationale . We want to move beyond statistical patterns and understand the economic drivers behind factors. We enhance proven quantitative factors to avoid unrewarded risks.

Prudent investing. We manage easily explainable portfolios and prevent unnecessary trading costs, and we integrate environmental, social and governance (ESG) factors.

Process

Our conservative credits strategy is a quantitative credit strategy that exploits the Low-Risk factor. Rather than using generic factor definitions, it uses enhanced definitions to avoid unrewarded risk and maximize returns. The strategy aims to achieve market-like returns with lower volatility than the reference index. The portfolio aims to optimize its exposure to bonds with high model scores, while managing liquidity, limiting turnover and reducing transaction costs. Robeco’s credit analysts perform additional checks on risks that are beyond the scope of our quantitative multi-factor model.

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Team

Robeco has a dedicated team of experienced portfolio managers and quantitative researchers for its factor-based credit strategies. They closely cooperate with our fundamental credit portfolio managers and analysts, and with our quantitative equity researchers.

Get in touch with us

Contact us if you would like to know more about this topic.

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Disclaimer

BY CLICKING ON “I AGREE”, I DECLARE I AM A WHOLESALE CLIENT AS DEFINED IN THE CORPORATIONS ACT 2001.

What is a Wholesale Client?
A person or entity is a “wholesale client” if they satisfy the requirements of section 761G of the Corporations Act.
This commonly includes a person or entity:

  • who holds an Australian Financial Services License
  • who has or controls at least $10 million (and may include funds held by an associate or under a trust that the person manages)
  • that is a body regulated by APRA other than a trustee of:
    (i) a superannuation fund;
    (ii) an approved deposit fund;
    (iii) a pooled superannuation trust; or
    (iv) a public sector superannuation scheme.
    within the meaning of the Superannuation Industry (Supervision) Act 1993
  • that is a body registered under the Financial Corporations Act 1974.
  • that is a trustee of:
    (i) a superannuation fund; or
    (ii) an approved deposit fund; or
    (iii) a pooled superannuation trust; or
    (iv) a public sector superannuation scheme
    within the meaning of the Superannuation Industry (Supervision) Act 1993 and the fund, trust or scheme has net assets of at least $10 million.
  • that is a listed entity or a related body corporate of a listed entity
  • that is an exempt public authority
  • that is a body corporate, or an unincorporated body, that:
    (i) carries on a business of investment in financial products, interests in land or other investments; and
    (ii) for those purposes, invests funds received (directly or indirectly) following an offer or invitation to the public, within the meaning of section 82 of the Corporations Act 2001, the terms of which provided for the funds subscribed to be invested for those purposes.
  • that is a foreign entity which, if established or incorporated in Australia, would be covered by one of the preceding paragraphs.
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