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Multi-factor high yield bonds
High yield

Multi-factor high yield bonds

Efficiently capturing factor premiums in high yield

Key points:

  • Robeco has been using factor models in credit management since 1999
  • Offers balanced exposure to factors in the high yield bond universe
  • Aims for attractive returns over a full market cycle, style diversifier, can be combined with equity factor investing

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.

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Process

The multi-factor high yield strategy is a quantitative credit strategy that exploits the low-risk, quality, value and momentum factors. Rather than using generic factor definitions, it uses enhanced definitions to avoid unrewarded risk and maximize returns. Size is taken into account when constructing the portfolio by overweighting the bonds of small firms and underweighting the bonds of large firms. 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.

Get in touch with us

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

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Disclaimer

Robeco Institutional Asset Management B.V. (Dubai office) is regulated by the Dubai Financial Services Authority (“DFSA”) and only deals with Professional Clients and does not deal with Retail Clients as defined by the DFSA.

Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.

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