Robeco launches Multi Factor Absolute Return fund

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MEDIA RELEASE. Robeco has launched a Multi Factor Absolute Return fund in Australia, adding to its suite of factor investing strategies offered to local investors.

The Robeco Multi Factor Absolute Return Fund (AUD) has an enhanced sustainability profile, and targets a 6% absolute return over cash, with a volatility of 8%, and also offers daily liquidity.

The strategy harvests six proven factors across asset classes: value, momentum, low-risk, quality, carry and flow. It is managed by Robeco’s Quant Allocation team headed by Guido Baltussen and Pim van Vliet. The strategy provides clients with balanced factor exposure across global markets in a market neutral way and leverages off Robeco’s and RobecoSAM’s expertise in sustainability.

The strategy has gained early traction in the Australian market with Zurich Investments recently awarding Robeco an investment mandate in Zurich’s diversified funds. 

Matthew Drennan, head of savings and investments at Zurich, said “Robeco has a strong history in factor investing. The Multi Factor Absolute Return fund efficiently harvests a diverse range of factor premiums across a broad range of asset classes. The strategy is constructed to deliver returns across different market environments, making it a suitable addition to Zurich’s diversified funds including the Managed Growth Fund.”

Stephen Dennis, head of Robeco Australia, said: “This strategy brings together Robeco’s strengths in sustainability and factor investing – in credits, equities, commodities, currencies – in an absolute return structure. This liquid alternatives strategy has low correlation with traditional asset classes resulting in an ideal addition in portfolio construction.”

Besides this new absolute return strategy, Robeco also offers Australian investors access to three factor-based equity solutions. The Robeco Conservative Equities strategies, which provide exposure to the low-volatility factor, aim to capture equity premium with substantially lower downside risk, and invests in emerging markets and in developed markets. The Robeco Global DM Multi-Factor Equity Alpha strategy provides a balanced diversified exposure to the value, momentum and quality factors. All funds integrate sustainability criteria in its investment process.

Robeco manages over AUD 302 billion in assets globally, of which over AUD 117 billion are in quantitative investment strategies.