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Multi-factor credits
Quant fixed income

Multi-factor credits

Efficiently capturing factor premiums in credits

Key points:

  • Robeco has been using factor models in credit management since 1999 
  • Offers balanced exposure to factors in the investment grade bond universe
  • 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.

Process

The multi-factor credits 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 outperformance with market-like volatility over a full market cycle. 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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