Conservative 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 aims to optimize its exposure to bonds with high model scores, while managing liquidity, limiting turnover and reducing transaction costs. Robeco’s credit analysts perform additional checks on risks that are beyond the scope of our quantitative multi-factor model.
Team
Robeco has a dedicated team of experienced portfolio managers and quantitative researchers for its factor-based credit strategies. They closely cooperate with our fundamental credit portfolio managers and analysts, and with our quantitative equity researchers.
