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Multi-Factor Multi-Asset

Multi-Factor Multi-Asset

Return focused sustainable multi-asset solution in factor investing

Key points

  • Efficiently harvesting six factor premiums across all major asset classes
  • Building upon Robeco's long-term factor investing expertise in equity and credit markets
  • Targeting superior returns and enhanced sustainability versus traditional 60/40 equity bond portfolios

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, resulting in low turnover and enhanced returns.

Process

Robeco's Multi-Factor Multi-Asset strategy captures a diverse set of market premiums and uncorrelated factor premiums across all major asset classes. The strategy targets a long-run risk profile in line with a 60/40 equity bond portfolio and aims for superior returns through factor-based top-down tactical allocation and bottom-up global security selection. Robeco's factor approach enhances proven factors and aims to avoid unrewarded risks, unintended exposures and going against other factors. Furthermore, our portfolio construction settings ensure a substantially higher sustainability profile than the market.

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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.

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