Robeco has combined the latest innovation in quantitative research with its long-standing expertise in credits factor investing.
The application of factors to government bonds is the most recent development in the field of quantitative investing. Having originated in the 1970s with application to equities, factor investing moved to the realm of credits during the 1990s. With the ability now to apply factors to government bonds, too, it means that factor investing within fixed income has been extended from nearly a third of the asset class to over 75% coverage.
Robeco has combined this latest innovation in quantitative research, much of it driven by its own researchers, with its long-standing expertise in credits factor investing (read our white paper, ‘Factor investing in government bonds’). The result is the newly launched Robeco QI Global Multi-Factor Bonds fund.
Factor investing traditionally has focused on companies, whether within equity or credit markets. The shift to government bonds requires quants investors to define how to apply well-known factors like value in the context of government bonds – a new approach which to date has less coverage in academic research than equity factors. And yet, given the long data history for government bonds globally, there is plenty of useful data which makes this a viable avenue for factor investing.
Robeco QI Global Multi-Factor Bonds is one of the very first factor investing funds for aggregate fixed income that offers balanced exposure to five proven factors: low-risk, quality, value, momentum and size.
It follows a systematic, evidence-based strategy that enables it to achieve alpha without reliance on a specific market environment. The outperformance, which is measured against the Bloomberg Barclays Global Aggregate index, is accomplished through optimal exposure to proven factors in government bonds and credits.
The advantage of such a rules-driven approach is that it efficiently allows for risk-neutral portfolio construction, in the sense that the fund’s strategic risk profile is similar to that of the benchmark. At the same time, the fund can be tilted to an overweight or underweight duration positioning in a tactical way.
Due to portfolio enhancements that range from ESG integration and engagement to exclusions, the strategy ensures a high degree of sustainability.
The highly systematic nature of this solution serves as a style diversifier within an existing fixed income allocation. Adding the fund to a multi-manager portfolio therefore improves diversification and strengthens its risk-return profile.
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The information contained in the Website is NOT FOR RETAIL CLIENTS - The information contained in the Website is solely intended for professional investors, defined as investors which (1) qualify as professional clients within the meaning of the Markets in Financial Instruments Directive (MiFID), (2) have requested to be treated as professional clients within the meaning of the MiFID or (3) are authorized to receive such information under any other applicable laws. The value of the investments may fluctuate. Past performance is no guarantee of future results. Investors may not get back the amount originally invested. Neither Robeco Institutional Asset Management B.V. nor any of its affiliates guarantees the performance or the future returns of any investments. If the currency in which the past performance is displayed differs from the currency of the country in which you reside, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency.
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In the UK, ROBECO Funds has marketing approval for the funds listed on this website, all of which are UCITS funds. ROBECO is authorized by the AFM and subject to limited regulation by the Financial Conduct Authority. Details about the extent of our regulation by the Financial Conduct Authority are available from us on request.
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