Robeco Institutional Liability Driven Euro Core Government Bond 40 Fund
Customized fixed income solutions for strategic portfolios
Class and codes
Asset class:
Bonds
ISIN:
NL0009799246
Bloomberg:
RDECG40 NA
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
Morningstar
Morningstar
Copyright © Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Download The Morningstar Rating for Funds (chapter: The Morningstar Rating: Three-, Five-, and 10-Year) on the Morningstar website.
Rating (30/08)
- 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, in fund solutions and as hedged share class overlays.
About this fund
Robeco Institutional Liability Driven Euro Core Government Bond 40 Fund invests mainly in government bonds issued in euros by EMU member states and in euro denominated bonds issued by government-related entities. The Fund’s objective is geared towards capital accumulation in the long term. The Fund mainly invests in bonds rated at least AA or with a comparable rating from at least one of the recognized rating agencies and also aims to invest in green bonds of government and government-related entities. In addition, the Fund can invest in interest-rate swaps, inflation swaps, bond futures, other fixed-income securities, debt titles and/or liquid assets. The ESG scores of countries are a integral part of our bottom-up analysis.
Key facts
Size of share class
€ 82,512,961
Inception date fund
30-05-2011
1-year performance
-22.42%
Dividend paying
No
Fund manager
Remmert Koekkoek
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.
Performance
Per period
Per annum
- Per period
- Per annum
1 month
-0.91%
3 months
-5.21%
YTD
-6.30%
1 year
-22.42%
2 years
-38.92%
3 years
-29.16%
5 years
-11.10%
10 years
0.90%
Since inception 06/2011
4.06%
2022
-57.69%
2021
-16.24%
2020
28.07%
2019
25.81%
2018
10.01%
2020-2022
-23.15%
2018-2022
-8.88%
Statistics
Statistics
Hit-ratio
- Statistics
- Hit-ratio
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.
0.78
0.82
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.
-0.17
-0.22
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.
-0.89
-0.37
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..
-0.56
-0.35
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
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).
33.28
30.28
Max. monthly gain (%)
The maximum (i.e. highest) absolute positive monthly performance in the underlying period.
23.73
23.73
Max. monthly loss (%)
The maximum (i.e. highest) absolute negative monthly performance in the underlying period.
-19.30
-19.30
Months out performance
Number of months in which the fund outperformed the benchmark in the underlying period.
16
25
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
44.4
41.7
Months Bull market
Number of months of positive benchmark performance in the underlying period.
13
27
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
4
8
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
30.8
29.6
Months Bear market
Number of months of negative benchmark performance in the underlying period.
23
33
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
12
17
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
52.2
51.5
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.
0.47%
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
0.45%
Transaction costs
The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.
0.04%
Fiscal product treatment
The fund is established in the Netherlands. The fund is closed for corporate-income tax purposes (fiscally transparent). This means that all results are attributed directly to the participants. As a consequence, the fund is not liable to corporate-income tax and withholds no dividend tax.
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.
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.
Robeco Institutional Liability Driven Euro Core Government Bond 40 Fund invests mainly in government bonds issued in euros by EMU member states and in euro denominated bonds issued by government-related entities. The Fund’s objective is geared towards capital accumulation in the long term. The fund promotes E&S (i.e. Environmental and Social ) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrates sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, region-based exclusions and invests partly in green bonds. The Fund mainly invests in bonds rated at least AA or with a comparable rating from at least one of the recognized rating agencies and also aims to invest in green bonds of government and government-related entities. In addition, the Fund can invest in interest-rate swaps, inflation swaps, bond futures, other fixed-income securities, debt titles and/or liquid assets. The ESG scores of countries are a integral part of the bottom-up analysis. Benchmark: Bloomberg Barclays Treasury AAA/AA market value weighted index. The Benchmark is not consistent with the ESG characteristics promoted by the Fund.
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 as well as 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 ensures the fund has a minimum average score of 6.5. 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 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].