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Diversified carry

Diversified carry

Systematic absolute return strategy identifying the most attractive carry assets

Key points:

  • Based on one of the strongest anomalies: Carry
  • Low correlation to traditional assets, designed to provide true diversification
  • Transparent UCITS vehicle offering daily liquidity

Philosophy

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

Evidence-based research. Identifying factors that are rewarded with superior risk-adjusted performance, based on 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. Risks that are not adequately rewarded should be avoided.

Prudent investing. Our approach is transparent and easily explainable. We avoid unnecessary trading costs, resulting in low turnover and enhanced returns.

Process

This Diversified Carry strategy focuses on a diversified combination of carry positions to capture the carry premium in a robust way. Based on proven quantitative models, this strategy invests in equity indices, fixed income markets and developed market currencies worldwide. The aim is to continuously select the equity markets that will pay the highest dividends, the fixed income markets with the highest coupon payments, and the currencies with the highest short-term interest rates.

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Team

Robeco has built up an experienced team of investment and research professionals who are backed by an organization with over 25 years of experience in multi-asset asset and quantitative investing.

Get in touch with us

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

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