Sizing up the competition: Building a factor scan

Robeco is an active asset manager with a wide array of products in different asset classes. Quant products already make up more than 1/3rd with over 60 billion Euros in assets under management. Of course we are not the only active asset manager. We are competing with other asset managers to get more clients on board. As such it is important to size up the competition:

  1. Who are our main competitors? Who is beating the benchmark?
  2. Do they also make use of quant factors? If so, similar or different to our factors?

The challenge in this research project is to determine factor exposures in the case you only see past returns of a fund, not the exact holdings. A fund may have none or multiple factor exposures, but it may also have beta biases (e.g. a higher bond beta than the benchmark). And these exposures may be varying over time. The references show examples of existing studies for equities, currency managers and hedge funds.

What is new is that we want to conduct a returns-based style analysis for fixed income funds. Robeco is pioneering factor investing in fixed income. Factors like value, momentum and low risk can also be used for corporate and government bonds. To what extent are these already used in practice? Do these funds have a higher performance than funds that do not use factors? Also do factor funds provide an alpha that is clearly different and hence diversifying from the alphas provided by non-factor funds? Hence both for academics and practitioners the outcomes of the research will be interesting.

Besides fixed income, we would also like to look into the multi asset absolute return space. There are quite some very successful funds out there that provide a transparent and cheap alternative to hedge funds making use of value, momentum, low risk, quality, carry and flow factors in all asset classes. With returns-based style analysis we want to learn more about these competitors to help us to better position our own recently launched multi-asset absolute return product, and to see which factors they appear to use that we do not and vice versa.

Of course we are also open to new ideas you might bring to the table. Once you have worked yourself into the topic we very much hope you can show your creativity.

Are you interested?
Let us know your motivation and send it together with your top-3 favorite internship topics, your CV and list of grades to
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Van Gelderen, E., & Huij, J. (2014). “Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies?”, Journal of Portfolio Management 40 (4), 157-167.

Fung, W., & D.A. Hsieh (2002). “Asset-based style factors for hedge funds”, Financial Analysts Journal 58, 16-27.

Nasypbek, S., and S. S. Rehman. “Explaining the returns of active currency managers”, BIS Papers No. 58 (