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Decline
Conservative credits
Quant fixed income

Conservative credits

Efficiently capturing the low-risk anomaly in credits

Key points:

  • Robeco has been using factor models in credit management since 1999 
  • Implements the Low-Risk factor with enhanced factor definitions for investment grade corporate bonds 
  • Offers downside protection, while matching the credit market’s return over a full market cycle

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. 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 proven 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

Our conservative credits strategy is a quantitative credit strategy that exploits the Low-Risk factor. Rather than using generic factor definitions, it uses enhanced definitions to avoid unrewarded risk and maximize returns. The strategy aims to achieve market-like returns with lower volatility than the reference index. The portfolio’s exposure to high ranking bonds is optimized, while managing liquidity, limiting turnover and reducing transaction costs. Robeco’s credit analysts perform additional checks on the non-quantifiable risks that our model is unable to assess.

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Team

Robeco has a dedicated team of quantitative portfolio managers. They work in close cooperation with experienced quantitative researchers, credit analysts and fundamental portfolio managers.

Get in touch with us

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

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