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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

Philosophy

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.

Process

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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Team

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.

Get in touch with us

Contact us if you would like to know more about this strategy.

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Disclaimer Robeco Switzerland Ltd.

The information contained on these pages is for marketing purposes and solely intended for Qualified Investors in accordance with the Swiss Collective Investment Schemes Act of 23 June 2006 (“CISA”) domiciled in Switzerland, Professional Clients in accordance with Annex II of the Markets in Financial Instruments Directive II (“MiFID II”) domiciled in the European Union und European Economic Area with a license to distribute / promote financial instruments in such capacity or herewith requesting respective information on products and services in their capacity as Professional Clients. 

The Funds are domiciled in Luxembourg and The Netherlands. ACOLIN Fund Services AG, postal address: Affolternstrasse 56, 8050 Zürich, acts as the Swiss representative of the Fund(s). UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zurich, postal address: Europastrasse 2, P.O. Box, CH-8152 Opfikon, acts as the Swiss paying agent. The prospectus, the Key Investor Information Documents (KIIDs), the articles of association, the annual and semi-annual reports of the Fund(s) may be obtained, on simple request and free of charge, at the office of the Swiss representative ACOLIN Fund Services AG. The prospectuses are also available via the website www.robeco.ch. Some funds about which information is shown on these pages may fall outside the scope of the Swiss Collective Investment Schemes Act of 26 June 2006 (“CISA”) and therefore do not (need to) have a license from or registration with the Swiss Financial Market Supervisory Authority (FINMA). 

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