
Disclaimer
Please read this important information before proceeding further. It contains legal and regulatory notices relevant to the information contained on this website.
The information contained in the Website is NOT FOR RETAIL CLIENTS – The information contained in the Website is solely intended for professional investors, defined as investors which (1) qualify as professional clients within the meaning of the Markets in Financial Instruments Directive (MiFID), (2) have requested to be treated as professional clients within the meaning of the MiFID or (3) are authorised to receive such information under any other applicable laws. The value of the investments may fluctuate. Past performance is no guarantee of future results. Investors may not get back the amount originally invested. Neither Robeco Institutional Asset Management B.V. nor any of its affiliates guarantees the performance or the future returns of any investments. If the currency in which the past performance is displayed differs from the currency of the country in which you reside, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency.
Robeco Institutional Asset Management UK Limited (“RIAM UK”) markets the Funds of Robeco Institutional Asset Management B.V. (“ROBECO”) to institutional clients and professional investors only. Private investors seeking information about the Robeco Funds should consult with an Independent Financial Adviser. ROBECO will not be liable for any damages or losses suffered by private investors accessing the website.
RIAM UK is an authorised distributor for ROBECO Funds in the UK and has marketing approval for the funds listed on the website, all of which are UCITS Funds. ROBECO is authorised by the AFM and subject to limited regulation by the Financial Conduct Authority.
Many of the protections provided by the United Kingdom regulatory framework may not apply to investments in ROBECO Funds, including access to the Financial Services Compensation Scheme and the Financial Ombudsman Service. No representation, warranty or undertaking is given as to the accuracy or completeness of the information on this website.
If you are not an institutional client or professional investor, you should therefore not proceed. By proceeding, please note that we will be treating you as a professional client for regulatory purposes and you agree to be bound by our terms and conditions.
If you do not accept these terms and conditions, as well as the terms of use of the website, please do not continue to use or access any pages on this website.
Client Solutions case
Building a climate-resilient buy-and-maintain credit portfolio
Insurers and pension funds face the imperative of finding investment solutions that generate sufficient returns while also managing various risks and increasing regulation. In practice, we see that incorporating meaningful climate and SDG objectives into a portfolio can usually be achieved with limited impact on the return potential and quality of the portfolio. In this case study, we dive into one of our pension fund clients who wanted to build a cash flow-optimized buy-and-maintain credit portfolio that also included a Paris-aligned climate objective.

It takes the right metrics to engineer a Paris-aligned portfolio

Objectives
Build a buy-and-maintain credit portfolio that matches liability cash flows and has a net-zero 2050 ambition.
Balance the economic and regulatory profile of the portfolio with restrictions and objectives that are driven by sustainability.
Investor objectives we often tailor to:
Cash flows: Cash flow certainty on customized tenures
Return: Optimal return vs liabilities and reference universe
Costs: Low-fee and low transaction costs
Sustainability: Specific climate and SDGs targets
Risks: Avoiding fallen angels and credit impairments

Insights
Achieving a portfolio net-zero pathway requires an integrated approach
Proper application of relevant forward-looking analytics is key
Portfolio optimization needed to secure investor-specific investment objectives

Solution
When it comes to aligning a portfolio with a net-zero 2050 ambition, an important aspect to consider is the forward-looking portfolio profile of the carbon footprint. Forward-looking climate analytics, such as the Robeco Paris Alignment Assessment (based on our ‘traffic light’ system, which assesses a company’s degree of alignment with a below 2 °C scenario), play an important part in this.
The portfolio in this case study needs to limit the number of fallen angels, match the target cash flow, uphold a minimum rating, have an optimal spread, maintain low capital requirements, make an impact across the SDGs and limit the current and future carbon footprint.
After an in-depth client consultation, we constructed a portfolio that balances the client’s various risk, return, regulatory and sustainability criteria. Figure 1 illustrates how this portfolio measures up versus a passive reference across a range of metrics.
The SDGs can be used to further generate a targeted impact on specific investors’ sustainability objectives through alignment with a specific set of the UN SDGs. Also, by allocating solely to companies that score positively on the SDGs, an SFDR article 9 portfolio can be created.

Outcomes
Investors have their work cut out in implementing ambitious investment-related targets for Paris-aligned investing. Forward-looking climate metrics are crucial in this process of constructing and maintaining portfolios that decarbonize over time. In practice, we see that incorporating meaningful climate and SDG objectives into a portfolio can usually be achieved with limited impact on the return potential and quality of the portfolio. The more constrained the portfolio is, however, the more challenging this becomes. We can help investors assess the possible financial impact of incorporating SDG and climate-driven constraints on their portfolio.
Figure 1 | Case study portfolio characteristics

Source: Robeco, Trucost, Bloomberg, and September 2023 valuations. For illustrative purposes only and based on model assumptions. Fundamental score ranges between -3, +3 and reflect Robeco’s credit analysts’ assessment of the credit quality. SDG score ranges between -3, +3 and reflects Robeco’s SI analysts’ assessment of the SDG alignment. Carbon footprint is Scope 1, 2 & 3 and indexed to passive reference. The fallen angel percentage uses average historical rating migration numbers annualized by dividing on the average portfolio maturity. Capital requirements based on European solvency capital requirements. In this example the portfolio cashflow profile is relatively evenly distributed across the 2024-2033 tenures. Paris-aligning companies are defined as companies that score as aligning or aligned on Robeco’s climate traffic light assessment. Climate laggards are defined as companies with a high carbon footprint and not scoring as aligned or aligning on Robeco’s climate traffic light assessment. Past performance and current spreads/yields are not a reliable indicator of future results. *Specific SDGs: 7. affordable and clean energy, 11. sustainable cities and communities, 13. climate action.