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Multi-Factor Fixed Income

Multi-Factor Fixed Income

Efficiently capture factor premiums across the investment grade, high yield credit and government bond universes

Key points:

  • Robeco has been using factor models in credit management since 1999.
  • Within fixed income, we apply factor strategies to the investment grade, high yield credit and government bond universes.
  • Factor investing aims to deliver attractive returns over a full market cycle, style diversification, and can be combined with factor investing in equities.

Philosophy

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

Evidence-based research. Identifying factors that are rewarded with increased 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 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

Robeco’s factor investing strategies in fixed income exploit the low-risk, quality, value, momentum and size factors. Rather than using generic factor definitions, they use enhanced definitions to avoid unrewarded risk and maximize risk-adjusted returns.

Factor investing strategies in fixed income are aimed at achieving increased risk-adjusted returns over a full market cycle. This means outperformance with market-like volatility or market-like returns with lower risk. In these factor investing strategies, the exposure to bonds that score well on factors is optimized, while liquidity, turnover and transaction costs are carefully managed. For high yield and investment grade credit factor strategies, Robeco’s credit analysts perform additional checks on non-quantifiable risks that our model is unable to assess.

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Team

Robeco has a dedicated team of experienced portfolio managers and quantitative researchers for its factor-based fixed income strategies. They cooperate closely 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. (DIFC Branch) is regulated by the Dubai Financial Services Authority (“DFSA”) and only deals with Professional Clients and Market Counterparties, 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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