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Multi-Factor Fixed Income

Multi-Factor Fixed Income

Efficiently capture factor premiums across the investment grade, high yield credit and government bond universes

Key points:

  • Robeco has been using factor models in credit management since 1999.
  • Within fixed income, we apply factor strategies to the investment grade, high yield credit and government bond universes.
  • Factor investing aims to deliver attractive returns over a full market cycle, style diversification, and can be combined with factor investing in equities.

Philosophy

Robeco’s quantitative investment strategies are based on the following beliefs:

Evidence-based research. Identifying factors that are rewarded with increased risk-adjusted performance. This includes extensive 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. We enhance quantitative factors to avoid unrewarded risks.

Prudent investing. We manage easily explainable portfolios and prevent unnecessary trading costs, and we integrate environmental, social and governance (ESG) factors.

Process

Robeco’s factor investing strategies in fixed income exploit the low-risk, quality, value, momentum and size factors. Rather than using generic factor definitions, they use enhanced definitions to avoid unrewarded risk and maximize risk-adjusted returns.

Factor investing strategies in fixed income are aimed at achieving increased risk-adjusted returns over a full market cycle. This means outperformance with market-like volatility or market-like returns with lower risk. In these factor investing strategies, the exposure to bonds that score well on factors is optimized, while liquidity, turnover and transaction costs are carefully managed. For high yield and investment grade credit factor strategies, Robeco’s credit analysts perform additional checks on non-quantifiable risks that our model is unable to assess.

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Team

Robeco has a dedicated team of experienced portfolio managers and quantitative researchers for its factor-based fixed income strategies. They cooperate closely with our fundamental credit portfolio managers and analysts and with our quantitative equity researchers.

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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