Combining Robeco’s rich heritage in fixed income, quant investing and sustainable investing
Sound offering of systematic strategies in credits, government bonds and aggregate fixed income
Strategies based on Robeco’s ground-breaking research
A quantitative approach to investing has become a popular option for gaining efficient access to factor premiums in the stock markets, beyond what a market capitalization-based approach can provide. The quantitative approach is strongly on the rise in fixed income markets too. Robeco has been involved in this development right from the start in the late 1990s with its groundbreaking research. Combined with our wealth of experience in fixed income and sustainable investing, we now offer a broad range of quantitative fixed income strategies.
Our Quant Fixed Income team applies a rules-based approach to investing that is able to exploit the market inefficiencies that exist in fixed income markets. This approach aims to deliver superior risk-adjusted returns and often provides style diversification with traditional active managers. Many clients use quant fixed income strategies as an alternative to passive ones, thanks to their transparent nature, cost efficiency and outperformance potential. Furthermore, their systematic nature bodes well for incorporating various kinds of sustainability objectives across portfolios.
Our research is primarily focused on the maintenance and enhancement of factors and variables, and their combination in quantitative models and portfolio construction algorithms. Furthermore, we focus our research on illiquidity modelling, risk modelling and performance attribution. Our track record began in 1998 with the introduction of our Global Dynamic Duration strategy, making us a pioneer in systematic fixed income solutions.
All research is conducted by our quantitative researchers in collaboration with portfolio managers and analysts who provide practical knowledge and experience in fixed income investing. The main source of information in the research process is academic research. Our Quant Fixed Income team also contributes to the academic literature, with groundbreaking research papers on the existence of factors in corporate bonds and government bonds to name but a few.
The Quant Fixed Income team is responsible for the portfolio management and research activities of all quantitatively managed fixed income strategies at Robeco. The experienced team consists of around , all with strong academic credentials. The team manages eight capabilities in various strategies and numerous customized mandates. It builds on Robeco’s fundamental fixed income expertise in research, execution and sustainability and applies human oversight to identify risks beyond the scope of the quantitative models.
A lot of knowledge sharing takes places within the Quant Fixed Income team and with other teams such as Quant Equities and the Sustainability Center of Expertise. This includes research ideas, factor and variable definitions, database maintenance, sustainability integration and code development.
Thanks to their systematic nature, quantitative fixed income strategies bode well for integrating sustainability targets such as climate or SDGs Patrick Houweling
All strategies have a global universe but can be customized to focus on a specific region.
These strategies offer balanced exposure to the low-risk, quality, value, momentum and size factors in the credit, high yield or aggregate market combined with an improved sustainability profile. The Global SDG & Climate Multi-Factor Credits strategy is based on Multi-Factor Credits and integrates Paris-aligned sustainability dimensions of carbon reduction as well as SDGs contribution.
Our Dynamic Duration strategies apply highly active duration management in the three main government bond markets to generate alpha, aimed at more sustainable issuers.
The strategy offers low-cost and highly liquid exposure to the global high yield credit market and applies dynamic market timing with the aim of generating outperformance.
This strategy adheres to Robeco’s general Exclusion Policy. We apply human checks for material ESG risks of corporates, ensure the portfolio’s average ESG score is better and the carbon, water and waste footprints of corporates are lower than those of the index, and ensure the carbon emissions per capita of government bonds are lower than those of the index. These strategies are classified as Article 8 under SFDR.
This strategy adheres to Robeco’s general Exclusion Policy. For the Global Dynamic Duration strategy, the portfolio’s average ESG score is better and its carbon emissions per capita are lower than those of the index. Long/Short Dynamic Duration strategy promotes investment in countries with minimum average scores on the Country Sustainability Ranking and excludes investing in countries that score poorly on the WGI Control of Corruption ranking. These strategies are classified as Article 8 under SFDR.
This strategy adheres to Robeco’s general Exclusion Policy.
A true understanding of the topic has been in our DNA since the start
This has been a core expertise for us for decades
Taking a rules-based approach to investment management
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