Robeco Customized Liability Driven Fund VII P EUR
Customized fixed income solutions for strategic portfolios
Share classes
Share classes
Every share class of a product invests in the same portfolio of securities and has the same investment objectives and policies. However, their parameters might deviate. For instance and amongst others, their distribution type, currency exposure or fees and expenses might differ. The most common share classes at Robeco are:
a) D/DH shares, which are regular shares and available for all Investors;
b) I/IH shares, for institutional investors as defined from time to time by the Luxembourg supervisory authority.
For more information on share classes please go to the prospectus.
P-EUR
Class and codes
Asset class:
Bonds
ISIN:
LU1949716051
Bloomberg:
ROCLVII LX
Index
Customized benchmark
Sustainability-related information
Sustainability-related information
Under the EU Sustainable Finance Disclosure Regulation, products can be labelled as either Article 6, 8 or 9 fund.
Article 6 - The fund is not in scope of enhanced sustainability disclosures compared to Article 8 and 9.
Article 8 - The fund does not have a sustainable investment objective but promotes environmental or social characteristics and is subject to enhanced sustainability disclosures.
Article 9 - The fund has a sustainable investment objective and is subject to enhanced sustainability disclosures.
Regardless of Article 8 or 9, the companies in which investments are made must follow good governance practices, and sustainable investments must not do any significant harm.
Article 8
- Overview
- Performance & costs
- Portfolio
- Sustainability
- Commentary
- Documents
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Key points
- Robeco has extensive experience in this type of overlay management and is a solid party with deep knowledge of the Dutch pension market. Robeco acts as sparring partner in the translation of Asset & Liability Matching studies towards a strategic investment portfolio.
- Implementation of the chosen interest overlay strategy is done by state-of-the-art systems with a strong focus on operational and financial risk management.
- Robeco offers liability matching tools in the form of stand-alone overlay management and in fund solutions.
About this fund
The fund has a defensive proposition by investing mainly in core Euro government bonds from countries such as Germany and the Netherlands.
Key facts
Total size of fund
€ 33,881,787
Size of share class
€ 33,881,787
Inception date fund
10-04-2019
1-year performance
-10.16%
Dividend paying
No
Fund manager
Remmert Koekkoek
Yvo Schoemaker
Remmert Koekkoek is Head of the Sustainable Multi Asset Solutions. In this role he focuses on the management of balance sheet solutions and buy and maintain portfolios for pension funds and insurance companies. He has worked at Robeco since 2011. Prior to joining Robeco, he was part of the insurance and pension solutions group of Credit Suisse in the period 2010-2011, where he was responsible for providing hedging and investment solutions to Dutch pension funds and insurance companies. Between 2005 and 2010 Remmert worked at Robeco's as structurer in the Structured Investment team. He started his career in the industry in 2004 at ING Risk Management. Remmert holds a Master's (cum laude) in Econometrics from Erasmus University Rotterdam. Yvo Schoemaker is Portfolio Manager Insurance & Pension Solutions in the Sustainable Multi Asset Solutions team. Since 2012 he has been responsible for the management and development of discretionary and pooled matching solutions on both the bond and swap markets. In 2006 he moved to the Structured Investments department where he was responsible for trading linear and non-linear exposures on the balance sheet of Robeco on predominantly the rates markets. Yvo started his career in 2005 at Robeco Quantitative Strategies. Yvo holds a Master’s in Computational Finance from Erasmus University Rotterdam.
Performance
Per period
Per annum
- Per period
- Per annum
1 month
0.13%
3 months
-1.20%
YTD
2.06%
1 year
-10.16%
2 years
-20.17%
3 years
-14.21%
Since inception 05/2019
-7.37%
2022
-35.43%
2021
-7.95%
2020
10.75%
2020-2022
-13.01%
Statistics
Statistics
Hit-ratio
Characteristics
- Statistics
- Hit-ratio
- Characteristics
Tracking error ex-post (%)
The ex-post tracking error is defined as the volatility of the fund's achieved excess return over the index return. In fund management, most managers are subject to an ex-ante (pre-determined) tracking error, which defines the extent of the additional risk they may take when aspiring to outperform the fund's benchmark. The ex-post tracking error explains the distribution of past fund performances compared to those of its underlying benchmark. With a higher tracking error, the fund's returns deviate more from its index's returns, hence there is a greater chance that the fund may outperform. The wider the spread of returns relative to the benchmark, the more "actively" a fund has been managed. In contrast, a low tracking error indicates more "passive" management.
0.39
Information ratio
This ratio serves to evaluate the quality of the excess return a fund manager has achieved because it takes the active risk involved into account. The information ratio is defined as the excess return over the benchmark return divided by the fund's tracking error. The higher the information ratio, the better. For example, a fund with a tracking error of 4% and an excess return of 2% over benchmark has an information ratio of 0.5, which is quite good.
0.27
Sharpe ratio
This ratio measures the risk-adjusted performance and allows the performance quality of different investments to be compared. It is calculated by subtracting the risk-free rate from the fund's returns and dividing the result by the fund's standard deviation (risk). So the Sharpe ratio tells us whether a fund's returns are the result of smart investment decisions or stem from taking extra risk. The higher the ratio, the better, meaning that a greater return is achieved per unit of risk. This ratio is named after its inventor, Nobel Laureate, William Sharpe.
-0.95
Alpha (%)
Alpha measures the difference between a portfolio's actual return and its expected performance, given the level of risk, compared to the benchmark. A positive alpha figure indicates that the fund has performed better than expected, given the level of risk. Beta is used to calculate the level of risk compared to the benchmark..
-0.06
Beta
Beta is a measure of a portfolio's volatility, or systematic risk, in comparison to the benchmark. A beta of 1 indicates that the portfolio will move with the benchmark. A beta of less than 1 means that the portfolio will be less volatile than the benchmark. A beta of more than 1 indicates that the portfolio will be more volatile than the benchmark. For example, if a portfolio's beta is 1.2 it is theoretically 20% more volatile than the benchmark.
0.99
Standard deviation
Standard deviation is a measure of the dispersion of a set of data from its mean. The more spread out the data is, the higher the deviation. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility (risk).
15.51
Max. monthly gain (%)
The maximum (i.e. highest) absolute positive monthly performance in the underlying period.
10.31
Max. monthly loss (%)
The maximum (i.e. highest) absolute negative monthly performance in the underlying period.
-10.34
Months out performance
Number of months in which the fund outperformed the benchmark in the underlying period.
19
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
52.8
Months Bull market
Number of months of positive benchmark performance in the underlying period.
14
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
5
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
35.7
Months Bear market
Number of months of negative benchmark performance in the underlying period.
22
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
14
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
63.6
Rating
The average credit quality of the securities in the portfolio. AAA, AA, A en BAA (Investment Grade) means lower risk and BB, B, CCC, CC, C (High Yield) higher risk.
AAA
Option Adjusted Modified Duration (years)
The interest rate sensitivity of the portfolio.
15.70
Maturity (years)
The average maturity of the securities in the portfolio.
14.70
Yield to Worst (%)
The average yield of the securities in the portfolio (lowest yield to either call date or redemption date).
2.60
Costs
Ongoing charges
Indication of annual charges that are deducted for this fund. This indication is based on the costs over the last calendar year and may vary from year to year. Transaction costs incurred by the fund, any performance fees and other one-off costs are not included in the ongoing charges.
0.11%
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
0.10%
Transaction costs
The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.
0.01%
Fiscal product treatment
The fund is established in Luxembourg and is subject to the Luxembourg tax laws and regulations. The fund is not liable to pay any corporation, income, dividend or capital gains tax in Luxembourg. The fund is subject to an annual subscription tax ('tax d'abonnement') in Luxembourg, which amounts to 0,00% of the net asset value of the fund. This tax is included in the net asset value of the fund. The fund can in principle use the Luxembourg treaty network to partially recover any withholding tax on its income.
Fiscal treatment of investor
Professional investors are divided into pension funds and non-pension funds. Dutch pension funds may re-claim the 25% dividend tax deducted on cash dividends entirely. Dutch non-pension funds may deduct the 25% dividend tax deducted on cash dividends in their corporate income tax assessment. Dividend tax in that case is tax deducted at source. No tax is deducted at source on interest income. Thus, Dutch pension funds do not owe taxes on interest income. Dutch non-pension funds should specify interest income in their corporate income tax assessment.
Fund allocation
Country
Currency
Duration
Rating
Sector
- Country
- Currency
- Duration
- Rating
- Sector
Policies
The portfolio holds euro-denominated investments only. No active currency policy is applied.
The fund does not distribute dividend. The income earned by the fund is reflected in its share price. The fund's entire result is thus reflected in its share price development.
Sustainable Pension Protection consists of a creditworthy portfolio with the aim of replicating the value development of a pension annuity as obtained on the retirement date. The fund therefore has no benchmark. The development in value of an annuity depends mainly on movements in interest rates, and the fund follows this value development as closely as possible. Sustainable Pension Protection invests exclusively in high-quality government bonds and government-related sustainable bonds listed in euros. A swap duration overlay is added to achieve the exact hedge desired in a cost-effective manner, thus reducing the spread risk between government bonds and the annuity.
Risk management is fully integrated in the investment process to ensure that positions always meet predefined guidelines.
Sustainability-related disclosures
Sustainability profile
Sustainability
The fund incorporates sustainability in its investment process by the means of exclusions, ESG integration and targets for the ESG scores and a minimum allocation to ESG-labeled bonds. The fund integrates ESG factors of countries in the investment process based on Robeco's proprietary Country Sustainability Ranking and ensure the fund has at least an average score of 7. The Corporate Sustainability Ranking scores countries on a scale from 1 (worst) to 10 (best) based on 40 environmental, social, and governance indicators. Besides incorporating the Country Sustainability Ranking, the fund adheres to Robeco's exclusion policy and avoids investments in high sustainability risk names. Lastly, the fund invests a minimum of 5% in green, social, sustainable, and/or sustainability-linked bonds.The following sections display the ESG-metrics that are relevant for this fund along with short descriptions. For more information please visit the sustainability-related disclosures. The index used for all sustainability visuals is based on [Index name].
Market development
For bond markets, August was characterized by two distinct halves. In the first half, robust economic data from the US caused longer tenor bond yields to rise globally, driven by market expectations that the US would be able to sustain a higher policy rate for longer. This led the US 10-year yield to reach a new high at 4.34%, a level not seen since 2007, while 10-year Bund yields reached 2.70%, not far from the March high. The second half of August saw bonds rally, as US data showed signs of moderating inflation and a slowing labor market. In the Eurozone, economic data was broadly weakening. The services PMI dropped into contractionary territory, while the manufacturing PMI remained at depressed levels. Additionally, bank lending growth slowed further.
Performance explanation
Based on closing GAV, the fund's return was 0.13%. The fund posted a positive absolute return over the month. Government-related bonds outperformed government bonds, as swap spreads started to tighten again in the latter part of the month. We are cognizant that as of July the ECB has stopped all reinvestments from its APP QE program, thereby potentially lowering support for country spreads.
Expectation of fund manager
Remmert Koekkoek
Yvo Schoemaker
We think the market is getting overly enthusiastic in its recalibration of long-term interest rates. Firstly, the US economy is not immune to the economic slowdown occurring in both China and Europe. Secondly, the adverse impact of monetary policy tightening has not reached its full effect yet and is partially offset by fiscal easing. We view the last window of opportunity to implement a rate hike for the ECB to be at the September meeting. CPI is likely to decrease significantly thereafter due to base effects, reducing the likelihood of additional hikes. For the Fed, our current base case is no hike at the September meeting, while keeping the option open for an additional hike before the end of the year.