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Multi-Factor Fixed Income

Multi-Factor Fixed Income

Efficiently capture factor premiums across the investment grade, high yield credit and government bond universes

Key points:

  • Robeco has been using factor models in credit management since 1999.
  • Within fixed income, we apply factor strategies to the investment grade, high yield credit and government bond universes.
  • Factor investing aims to deliver attractive returns over a full market cycle, style diversification, and can be combined with factor investing in equities.

Philosophy

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

Evidence-based research. Identifying factors that are rewarded with increased 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 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

Robeco’s factor investing strategies in fixed income exploit the low-risk, quality, value, momentum and size factors. Rather than using generic factor definitions, they use enhanced definitions to avoid unrewarded risk and maximize risk-adjusted returns.

Factor investing strategies in fixed income are aimed at achieving increased risk-adjusted returns over a full market cycle. This means outperformance with market-like volatility or market-like returns with lower risk. In these factor investing strategies, the exposure to bonds that score well on factors is optimized, while liquidity, turnover and transaction costs are carefully managed. For high yield and investment grade credit factor strategies, Robeco’s credit analysts perform additional checks on non-quantifiable risks that our model is unable to assess.

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Team

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

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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.
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