united kingdomen
Dynamic high yield
High yield

Dynamic high yield

High yield exposure by investing in liquid index derivatives

Key points:

  • Liquid exposure to the global high yield market, well-diversified US and European high yield holdings
  • Alpha is generated by Robeco’s proprietary quantitative market-timing model
  • Strong performance in research period and live track record since 2010

Philosophy

We believe that we can identify and understand what drives credit market returns and can capture investors’ behavioral biases in a systematic way. We have a disciplined investment and decision-making process to ensure consistent performance. We limit turnover by using a selected number of liquid instruments.

Process

The alpha is driven by Robeco’s proprietary quantitative market-timing model. This model is based on academic research using various factors to forecast credit returns. The model also uses additional indicators to measure risk appetite in credit markets. Based on the model’s return forecast, the exposure (beta) to the high yield market will be reduced or increased. This strategy is implemented using credit default swap (CDS) index derivatives. The CDS indices are more liquid than high yield cash bonds, resulting in lower transaction costs.

Stay informed on Credit investing with monthly mail updates
Stay informed on Credit investing with monthly mail updates
Subscribe

Team

This strategy is managed by the experienced Quant Allocation team. The team cooperates with our high yield portfolio managers. The Quant Allocation Research team plays a key role in this strategy with the development and enhancement of our quantitative tools and models.

Get in touch with us

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

Contact

Disclaimer

Please read this important information before proceeding further. It contains legal and regulatory notices relevant to the information contained on this website.

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.

In the UK, Robeco Institutional Asset Management B.V. (“ROBECO”) only markets its funds to institutional clients and professional investors. Private investors seeking information about ROBECO should visit our corporate website www.robeco.com or contact their financial adviser. ROBECO will not be liable for any damages or losses suffered by private investors accessing these areas.

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.

Many of the protections provided by the United Kingdom regulatory framework may not apply to investments in ROBECO Funds, including access to the Financial Services Compensation Scheme and the Financial Ombudsman Service. No representation, warranty or undertaking is given as to the accuracy or completeness of the information on this website.

If you are not an institutional client or professional investor you should therefore not proceed. By proceeding please note that we will be treating you as a professional client for regulatory purposes and you agree to be bound by our terms and conditions.

If you do not accept these terms and conditions, as well as the terms of use of the website, please do not continue to use or access any pages on this website.

I Disagree