Attribution analysis shows that investing in a way that contributes to the SDGs supports financial performance.
Robeco developed a unique approach in 2018 to screen for UN Sustainable Development Goals (SDGs), which is applied across a range of Robeco strategies. Last year, the initial analysis showed that sectors which were positively aligned with the SDGs had lower credit risk and that, over a five-year period, sectors with a positive or neutral SDG rating had a superior risk-return relationship compared to those with negative SDG scores.
With the SDG Credit strategies now having developed a track record, the next step of evaluating results at the portfolio level was taken, to determine how the SDG measurement framework adds value in practice. In particular, the results were assessed in the wake of the Covid-19-related market and economic crisis.
Following a positive start, 2020 has proven to be unprecedented, with a dramatic sell-off in global credit markets in response to the Covid-19 crisis and then a strong rebound in credit markets since the end of March. Spreads moved from late bull market tights to recessionary levels in both investment grade and high yield within just four weeks. Quick and decisive action by governments and central banks prompted a substantial tightening in credit markets in the second and third quarter. The Global Investment Grade Credit Index1 declined by -6.07% (EUR) in March, contributing to the first-quarter decline of -3.6%. The subsequent recovery resulted in a +7.57% (EUR) return in the second quarter and a more tempered gain of +1.49% (EUR) in the third quarter.
Detailed attribution analysis at the portfolio level shows that Robeco’s SDG credit screening methodology contributed to positive results during the height of the crisis and in the months that followed.
The RobecoSAM Global SDG Credits strategy has outperformed2 the Bloomberg Barclays Global Aggregate Corporate Index over the year to date. An outperformance of +103 basis points in the first quarter, +149 bps in the second quarter and +31 bps in the third quarter, takes the year-to-date outperformance to +292 basis points (DH EUR share class, gross of fees). Since inception in June 2018, the strategy has outperformed the index by 181 basis points per annum, and the cumulative outperformance over this period was 457 basis points (DH EUR share class, gross of fees).
Attribution analysis shows that a quarter of this cumulative outperformance is directly attributed to the SDG screening, through avoiding the bad names. In particular, the findings show:
Beyond the SDG screening process, there is also a strong contribution from issuer selection, totaling 161 basis points since June 2018. This is support for our conviction that SDG screening does not hinder our ability to generate performance through bottom-up issuer selection, which is an important performance driver in all our credit capabilities.
SDG screening was implemented for the RobecoSAM Euro SDG Credits strategy in January 2019. Over the period January 2019 to September 2020, the strategy outperformed3 the Bloomberg Barclays Euro Aggregate Corporate Index by +113 basis points. A similar outcome is seen here with regard to the contribution of the SDG screening to relative performance, albeit over a shorter period.
The SDG screening added 68 basis points, with equal contributions from avoiding names with a negative SDG score and being overweight in names with a positive SDG score. A strong contribution from issuer selection is evident here, too, at 79 basis points.
Robeco selects the SDG-eligible universe of credits using its proprietary SDG screening methodology, which was developed in 2018. This process of screening companies and giving each an SDG score comprises three steps: establish how the products or services produced by the company contribute in a positive or negative way to the SDGs, analyze how the company’s conduct contributes to the SDGs, and determine whether it is or has been involved in any controversies and, if so, whether measures have been taken by the management to prevent this from reoccurring. The SDG scores range from +3 to -3. Only bonds with a positive or neutral SDG score are eligible for inclusion in the portfolio; those with a negative score are excluded from further consideration.
1Global Investment Grade Credit Index: Bloomberg Barclays Global Aggregate Corporate Index.
2Source: Robeco. RobecoSAM Global SDG Credits DH EUR, gross of fees, based on gross asset value. Benchmark: Bloomberg Barclays Global Aggregate Corporate. In reality, management fees and other costs are charged. These have a negative effect on the returns shown. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.
3Source: Robeco. RobecoSAM Euro SDG Credits, gross of fees, based on gross asset value. In reality, management fees and other costs are charged. These have a negative effect on the returns shown. Periods shorter than one year are not annualized. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future.
This is an updated version of an article that was published in April 2020.
当資料は情報提供を目的として、Robeco Institutional Asset Management B.V.が作成した英文資料、もしくはその英文資料をロベコ・ジャパン株式会社が翻訳したものです。資料中の個別の金融商品の売買の勧誘や推奨等を目的とするものではありません。記載された情報は十分信頼できるものであると考えておりますが、その正確性、完全性を保証するものではありません。意見や見通しはあくまで作成日における弊社の判断に基づくものであり、今後予告なしに変更されることがあります。運用状況、市場動向、意見等は、過去の一時点あるいは過去の一定期間についてのものであり、過去の実績は将来の運用成果を保証または示唆するものではありません。また、記載された投資方針・戦略等は全ての投資家の皆様に適合するとは限りません。当資料は法律、税務、会計面での助言の提供を意図するものではありません。
商号等： ロベコ・ジャパン株式会社 金融商品取引業者 関東財務局長（金商）第２７８０号
加入協会： 一般社団法人 日本投資顧問業協会