Dutch asset management company Robeco has launched QI Global Multi-Factor high yield. The factor investing strategy builds on Robeco’s long-term experience in harvesting factor premiums using quantitative strategies.
It offers balanced exposure to the low-risk, quality, value, momentum and size factors in the high yield credit market. The liquidity of individual high yield bonds is measured in real time to effectively identify trading opportunities in high-ranked bonds and to reduce trading costs.
A quantitative multi-factor model forms the basis of the strategy and determines which bonds and companies are selected for the portfolio. Human oversight is embedded in the investment process and carried out by Robeco’s fundamental analysts to check for risks outside the model’s scope. ESG analysis is also systematically incorporated into the investment process.
Robeco’s strategy aims to outperform the Bloomberg Barclays Global High Yield Corporates ex. Financials benchmark with market-like volatility over a full market cycle. It will be managed by Patrick Houweling and Mark Whirdy, who currently also manage Robeco’s Multi-Factor Credit strategy.
Robeco currently has over €55bn in AuM in quantitative investment strategies, including approximately €5bn in credit factor investing strategies.