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Multi Factor Absolute Return: sustainable diversifier

Multi Factor Absolute Return: sustainable diversifier

13-12-2018 | Insight
  • Guido  Baltussen
    Guido
    Baltussen
    Co-head Quant Allocation
  • Pim  van Vliet, PhD
    Pim
    van Vliet, PhD
    Head of Conservative Equities
  • Martin Martens
    Martin
    Martens
    Researcher

This note explains how factor premiums can be harvested efficiently across markets and asset classes. It also explains how the Robeco QI Multi Factor Absolute Return strategy targets strong absolute returns, that are relatively uncorrelated with the market conditions, by capturing factor premiums across very broad investment universes. This strategy also applies Robeco’s proprietary approach to avoid typical factor pitfalls and uses advanced measures of sustainability in its investment process.

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