australieen
Multi Factor Absolute Return

Multi Factor Absolute Return

Market neutral multi-asset solution in factor investing with advanced sustainability integration

Key points

  • Efficiently harvesting six factor premiums across all major asset classes
  • Building upon Robeco's deep factor investing expertise in equity and credit markets
  • Targeting 6% absolute returns, low correlation with traditional portfolios and an enhanced sustainability profile

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, based on 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. Risks that are not adequately rewarded should be avoided. 
  • Prudent investing. Our approach is transparent and easily explainable. We avoid unnecessary trading costs and embed ESG, resulting in enhanced returns and a favorable ESG profile.
Stay informed on our latest insights with monthly mail updates
Stay informed on our latest insights with monthly mail updates
Subscribe

Process

Robeco's Multi Factor Absolute Return captures a diverse set of uncorrelated factor premiums across all major asset classes and markets. To this end, we take dynamic positions in individual stocks (including emerging markets and small caps), individual corporate bonds (from investment grade to high yield) and liquid derivatives on equity markets, bond markets and currencies. Robeco's factor approach enhances proven factors and aims to avoid unrewarded risks and unnecessary turnover. Furthermore, our portfolio construction settings ensure an enhanced substantially profile. The strategy aims for diversifying returns across market and economic environments, and has a low long-run correlation with equity and bond markets.

Team

Robeco has gathered an experienced team of more than 40 quantitative investment and research professionals who are backed by an organization with over 25 years of experience in multi-asset and quantitative investing.

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.
I Disagree