Multi-Factor Absolute Return
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. We manage easily explainable portfolios and prevent unnecessary trading costs, and we have preference for sustainable business models.
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 sustainability profile. The strategy aims for diversifying returns across market and economic environments, and has a low long-run correlation with equity and bond markets.
