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
MISSING: fund.detail.tabs.
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
€ 41,334,714
Size of share class
€ 41,334,714
Inception date share class
10-04-2019
1-year performance
6.57%
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
-2.33%
3 months
3.35%
YTD
-3.96%
1 year
6.57%
2 years
-14.61%
3 years
-12.42%
Since inception 05/2019
-5.98%
2023
9.88%
2022
-35.43%
2021
-7.95%
2020
10.75%
2021-2023
-13.24%
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.
0.42
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.
0.52
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.
-0.81
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..
0.10
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).
16.78
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.
20
Hit ratio (%)
This percentage indicates the number of months in which the fund outperformed in a given period.
55.6
Months Bull market
Number of months of positive benchmark performance in the underlying period.
13
Months outperformance Bull
Number of months in which the fund outperformed positive benchmark performance in the underlying period.
4
Hit ratio Bull (%)
This percentage indicates the number of months the fund outperformed a positive benchmark in an underlying period.
30.8
Months Bear market
Number of months of negative benchmark performance in the underlying period.
23
Months outperformance Bear
Number of months in which the fund outperformed negative benchmark performance in the underlying period.
16
Hit ratio Bear (%)
This percentage indicates the number of months the fund outperformed a negative benchmark performance in an underlying period.
69.6
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/AA1
Option Adjusted Modified Duration (years)
The interest rate sensitivity of the portfolio.
16.00
Maturity (years)
The average maturity of the securities in the portfolio.
14.80
Yield to Worst (%)
The average yield of the securities in the portfolio (lowest yield to either call date or redemption date).
2.50
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.
The fund has a defensive proposition by investing mainly in core Euro government bonds from countries such as Germany and the Netherlands.
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.
Market development
Government bonds posted negative returns in February, with German Bunds down 2.2%. In the US 10-year yields were up 34 bps on the month, while German Bund yields rose 24 bps. For euro periphery bonds, some of the losses were cushioned by spread tightening. Italian BTPs saw their 10-year spread versus Bunds moving down 13 bps to 142 bps. The broad-based sell-off was a response to stronger-than-expected data. In the US, January non-farm payrolls kicked off the negative bond market sentiment by increasing as much as 353k, the highest number since January 2023. High core US CPI numbers (0.4%) added to the sentiment, as did comments from Fed officials suggesting the Fed can be patient in cutting rates. These comments were echoed by ECB officials, which resulted in the market fully pricing out any chance of a March rate cut for both the Fed and the ECB.
Performance explanation
Based on closing GAV, the fund's return was -2.33%. The fund posted a negative absolute return over the month. We expect the ECB to start cutting rates in Q2, which will benefit bond markets more than is currently priced in. In addition, the yield curve should normalize from its very inverted level in this scenario. SSA bonds rallied over the month, as valuations versus government bonds are still very compelling.
Expectation of fund manager
Remmert Koekkoek
Yvo Schoemaker
The market has priced out any chance of a Fed or ECB rate cut at their March meetings, while their number of expected 25 bps cuts for 2024 as a whole has been reduced to 3 to 4. The re-pricing was data driven, which suggests that some of the move higher in yields is justified by fundamentals. Still, we remain of the opinion that most major central banks will start cutting rates this year. History suggests that any such policy change should result in lower front-end yields and steeper curves. We remain cautious on country spreads due to tight valuations and large supply needs in combination with even more (passive) QT in the second half of the year.