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Multi-Factor Credits

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;
  • Strive 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. We strive to identify 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 quantitative factors that attempt 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 aims to exploit the low-risk, quality, value and momentum factors. Rather than using generic factor definitions, it uses enhanced definitions that attempt 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 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

This page is intended for US prospects, clients and investors only and includes information about the capabilities, staffing and history of RIAM US and its participating affiliates, which may include information on strategies not yet available in the US. SEC regulations are applicable only to clients, prospects and investors of RIAM US. Robeco BV, Robeco HK and Robeco SH are considered a “participating affiliate” of RIAM US and some of their employees are “associated persons” of RIAM US as per relevant SEC no-action guidance. Employees identified as associated persons of RIAM US perform activities directly or indirectly related to the investment advisory services provided by RIAM US. In those situations, these individuals are deemed to be acting on behalf of IUAM, a US SEC registered investment adviser.

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