Dynamic High Yield

Dynamic High Yield

High yield exposure by investing in liquid index derivatives

Key points:

  • Liquid exposure to the global high yield market, well-diversified US and European high yield holdings
  • Alpha is generated by Robeco’s proprietary quantitative market-timing model
  • Strong performance in research period and live track record since 2010


We believe that we can identify and understand what drives credit market returns and can capture investors’ behavioral biases in a systematic way. We have a disciplined investment and decision-making process to ensure consistent performance. We limit turnover by using a selected number of liquid instruments.


The alpha is driven by Robeco’s proprietary quantitative market-timing model. This model is based on academic research using various factors to forecast credit returns. The model also uses additional indicators to measure risk appetite in credit markets. Based on the model’s return forecast, the exposure (beta) to the high yield market will be reduced or increased. This strategy is implemented using credit default swap (CDS) index derivatives. The CDS indices are more liquid than high yield cash bonds, resulting in lower transaction costs.

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This strategy is managed by the experienced Quant Allocation team. The team cooperates with our high yield portfolio managers. The Quant Allocation Research team plays a key role in this strategy with the development and enhancement of our quantitative tools and models.

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