robeco capital growth funds · robeco qi global momentum equities f gbp 25/09/2019 robeco qi global...

Annual Report 2019

Robeco Capital Growth Funds

Société d’Investissement à Capital Variable

Incorporated under Luxembourg law

RCS B 58 959

Contents

General Information 4

Report of the Board of Directors 6 General 6 General introduction 9

Risk management 10

Global Equity sub-funds 12

Regional & Country Equity sub-funds 25

Theme Equity sub-funds 35

Global Bond sub-funds 40

Regional Bond sub-funds 51

Asset Allocation sub-funds 57

Fund governance 58

Sustainable investing 58

Other data (unaudited) 62

Financial statements 110

Combined Statement of net assets 110

Combined Statement of operations and changes in net assets 128

Statistical Information 164

Notes to the financial statements as at 31 December 2019 186

REPORT OF THE REVlSEUR D’ENTREPRlSES AGREE 257

Schedule of Investments 260

Robeco BP Global Premium Equities 260

Robeco QI Global Conservative Equities 267

Robeco Sustainable Global Stars Equities 278

Robeco Emerging Stars Equities 281

Robeco Emerging Markets Equities 284

Robeco QI Emerging Markets Active Equities 289

Robeco QI Global Momentum Equities 299

Robeco QI Global Developed Sustainable Enhanced Index Equities 306

Robeco QI Emerging Markets Enhanced Index Equities 327

Robeco QI Emerging Conservative Equities 343

Robeco Emerging Markets Smaller Companies Equities 353

Robeco QI Global Value Equities 357

Robeco QI Global Developed Multi-Factor Equities 367

Robeco QI Global Developed Conservative Equities ex Japan 386

Robeco QI Emerging Markets Sustainable Active Equities 392

Robeco QI Global Developed Conservative Equities 400

Robeco QI Global Developed Active Equities 408

Robeco QI Customized Emerging Markets Enhanced Index Equities I 419

Robeco QI Global Quality Equities 444

Robeco QI Global Sustainable Conservative Equities 453

Robeco QI Global Developed Enhanced Index Equities 460

Robeco Sustainable Emerging Stars Equities 480

Robeco QI Emerging Markets Sustainable Enhanced Index Equities 483

Robeco Asia-Pacific Equities 496

Robeco Sustainable European Stars Equities 500

Robeco QI European Conservative Equities 502

Robeco QI US Conservative Equities 510

Robeco BP US Premium Equities 514

Robeco Chinese Equities 521

Robeco Indian Equities 524

Robeco Asian Stars Equities 526

Robeco BP US Large Cap Equities 529

Robeco BP US Select Opportunities Equities 533

Robeco QI Continental European Conservative Equities 539

Robeco Chinese A-share Equities 544

Robeco QI Chinese A-share Active Equities 546

Robeco QI Chinese A-share Conservative Equities 553

Robeco Capital Growth Funds 2

Contents (continued)

Schedule of Investments (continued)

Robeco QI European Value Equities 557

Robeco QI US Enhanced Index Equities 562

Robeco QI European Enhanced Index Equities 572

Robeco New World Financial Equities 581

Robeco Sustainable Property Equities 588

Robeco Global Consumer Trends Equities 592

RobecoSAM Sustainable Food Equities 597

Robeco MegaTrends 600

Robeco Digital Innovations 604

Robeco Global FinTech Equities 607

Robeco High Yield Bonds 611

Robeco Emerging Credits 634

Robeco Global Credits 642

Robeco QI Dynamic High Yield 657

Robeco QI Global Multi-Factor Credits 660

Robeco QI Global Multi-Factor Bonds 676

Robeco Global Credits – Short Maturity 679

Robeco Corporate Hybrid bonds 692

Robeco QI Global Multi-Factor High Yield 698

RobecoSAM SDG Credit Income 708

RobecoSAM Global SDG Credits 717

RobecoSAM SDG High Yield Bonds 730

Robeco Euro Government Bonds 745

Robeco Euro Credit Bonds 751

Robeco All Strategy Euro Bonds 762

Robeco European High Yield Bonds 773

RobecoSAM Euro SDG Credits 782

Robeco Financial Institutions Bonds 792

Robeco Investment Grade Corporate Bonds 800

Robeco QI Global Diversified Carry 807

Robeco QI Multi Factor Absolute Return 812

Note: In this report the abbreviated names of the sub-funds will be used, i.e. without the prefix 'Robeco Capital Growth Funds'.


General Information

Robeco Capital Growth Funds

(hereafter the ‘Company’)

Undertaking for collective investment in transferable securities incorporated as a ‘Société d’Investissement à Capital Variable’

(‘SICAV’) under Luxembourg law.

Register of Companies RCS Luxembourg B 58 959

Registered Office 6, route de Trèves

L-2633 Senningerberg

Grand Duchy of Luxembourg

Board of Directors Mr. H.P. de Knijff (Director/Chairman)

Mr. J.H. van den Akker (Director)

Mrs. S. van Dootingh (Director)

Mr. H.J. Ris (Director) (since 9 October 2019)

Rob van Bommel (until 9 October 2019)

H.P. de Knijff, J.H. van den Akker and H.J. Ris are employees of Robeco Nederland B.V. (Affiliated Entity).

S. van Dootingh is an independent director.

Management Company Robeco Luxembourg S.A.

5, rue Heienhaff



Cabinet de révision agréé (Independent auditor) KPMG Luxembourg, Société coopérative

39, Avenue John F. Kennedy

L-1855 Luxembourg


Depositary, Domiciliary and Paying Agent J.P. Morgan Bank Luxembourg S.A.

6, route de Trèves



Administration Agent Robeco Luxembourg S.A.

Delegated to:

J.P. Morgan Bank Luxembourg S.A.

6, route de Trèves



Registrar Robeco Luxembourg S.A.

(until 23 April 2019 delegated to:)

RBC Investor Services Bank S.A.

14, Porte de France

L-4360 Esch-sur-Alzette


(since 23 April 2019 delegated to:)

J.P. Morgan Bank Luxembourg S.A.

6, route de Trèves




General Information (continued)

Investment Adviser Robeco Luxembourg S.A.

Delegated to:

Robeco Institutional Asset Management B.V. (‘RIAM’)

Weena 850, NL-3014 DA Rotterdam, The Netherlands

Sub Delegated Portfolio Managers Boston Partners Global Investors Inc.

One Grand Central Place

60 East 42nd Street

Suite 1550

New York, NY 10165

United States

Robeco Hong Kong Ltd

2704-07, 27F

Man Yee Building

68 Des Voeux Road Central

Central, Hong Kong

RobecoSAM A.G.

Josefstrasse 218

8005 Zurich, Switzerland

Subscriptions and publications No subscription can be accepted on the basis of financial reports such as this report. Subscriptions may only be accepted on the basis of

the current prospectus, supplemented by the Company’s latest annual report, and in the event that the Company’s annual report has been

published more than eight months previously, its latest semi-annual report. Financial reports, the prospectus and Key Investor

Information Document are available in through the website www.robeco.com and may be obtained free of charge at the Company’s

registered office.

Representative and paying agent in Switzerland ACOLIN Fund Services AG, Leutschenbachstrasse 50, CH-8050 Zürich, is the fund’s representative in Switzerland. Copies of the Key

Investor Information Document and prospectus, articles of incorporation, (semi) annual reports and a list of all purchases and sales in the

investment portfolio during the reporting period are available from the above address free of charge. UBS Switzerland A.G.,

Bahnhofstrasse 45, CH-8001 Zurich (Postal address Badenerstrasse 574, Postfach, CH-8098 Zürich) is the Company’s paying agent in

Switzerland.

Information service in Germany Copies of the articles of incorporation, Key Investor Information Document and prospectus and the annual and semi-annual reports may

be obtained free of charge from the offices of the information service in Germany: Robeco Deutschland, Taunusanlage 17, D-60325

Frankfurt am Main. The prices at which shares are issued and repurchased are published on www.robeco.de. A list of all purchases and

sales in the Company’s investment portfolio during the reporting period is available at the paying agent/information service in Germany

free of charge.

Representative in Hong Kong RBC Investor Services Trust Hong Kong Ltd, 51st Floor Central Plaza, 18 Harbour Road, Wanchai, Hong Kong (until 23 April 2019).

JPMorgan Chase Bank, N.A. Hong Kong Branch, 21/F, JP Morgan Tower 138 Shatin Rural Committee Road, Shatin, New Territories,

Hong Kong (since 23 April 2019).

Representative in Taiwan Nomura Asset management Taiwan Ltd -30F, No.7, Sec. 5, Xinyi Road, Taipei 110,Taiwan.

Language versions This report is also published in German as a Teilbericht für die Schweiz, containing only the sub-funds that are registered in Switzerland.

Only the English edition is binding and will be submitted to the general meeting of shareholders.

Robeco Where reference is made to ‘Robeco’, it should be read RIAM including the activities of the other entities which are in the scope of

Robeco’s management.


Report of the Board of Directors

General

Website An information update on the sub-fund’s investment policies, returns and investment portfolio can be found on

www.robeco.com/luxembourg.

Market Impact Robeco Luxembourg S.A. considers the COVID-19 (Corona) Pandemic as a significant event after closing the Annual Reports 2019 of

the Investment Funds under management. The impact of the pandemic on people, companies and the economy at large cannot be

assessed in full depth at this stage. However, the impact may have a downward effect on the performance. Measures to mitigate the

immediate operational risks are in place. Additional measures are dependent on our own assessments and the response of the authorities.

Our operational measures for business continuity In response to the Covid-19 outbreak, Robeco is constantly monitoring the latest developments and has taken all measures necessary to

manage the situation and to ensure business continuity. Our operational measures and capabilities are such that Robeco remains fully

functional in managing client portfolios and serving clients. Our systems and platforms are designed to enable our staff, most of whom

are working from home, to operate as normal. Our approach is one of vigilance and flexibility, allowing us to implement new or revised

measures smoothly and as necessary to ensure the health and safety of our staff while maintaining business continuity.

Outsourcing part of the operational activities to J.P. Morgan In April 2019, the Company appointed J.P. Morgan Bank Luxembourg S.A. as its transfer agent. This appointment was part of an

outsourcing process, which started early 2018.

Sub-fund name changes

Old sub-fund name New sub-fund name Effective date

Robeco Global Stars Equities Robeco Sustainable Global Stars Equities 28/06/2019

Robeco QI Customized Enhanced Index Equities I

Robeco QI Customized Emerging Markets Enhanced Index

Equities I 25/10/2019

RobecoSAM Sustainable European Equities Robeco Sustainable European Stars Equities 28/06/2019

Robeco Property Equities Robeco Sustainable Property Equities 25/10/2019

Robeco Global Growth Trends Equities Robeco MegaTrends 25/10/2019

Robeco Global Industrial Innovation Equities Robeco Digital Innovations 25/10/2019

Robeco Credits Income RobecoSAM SDG Credit Income 28/06/2019

Robeco Euro Sustainable Credits RobecoSAM Euro SDG Credits 28/06/2019

New sub-funds

Sub-Fund Effective date

Robeco Sustainable Emerging Stars Equities 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities 05/09/2019

Robeco QI Global Multi-Factor Bonds 26/11/2019

RobecoSAM SDG High Yield Bonds 22/10/2019

Sub-funds closed

Sub-Fund Effective date

Robeco Emerging Opportunities Equities 19/06/2019

Robeco QI Asia-Pacific Active Equities 19/06/2019

Robeco Emerging Debt 20/05/2019

New share classes

Sub-fund Share class Effective date

Robeco BP Global Premium Equities I JPY 20/02/2019

Robeco Sustainable Global Stars Equities IL USD 26/11/2019

Robeco Emerging Markets Equities G GBP 18/06/2019

Robeco QI Emerging Markets Active Equities IE EUR 19/02/2019

Robeco QI Global Momentum Equities F GBP 25/09/2019

Robeco QI Global Developed Sustainable Enhanced Index Equities I USD 21/05/2019

Robeco QI Global Value Equities D EUR 05/02/2019


Report of the Board of Directors (continued)

General (continued)

New share classes (continued)


Robeco QI Global Value Equities F GBP 25/09/2019

Robeco QI Global Developed Active Equities G EUR 18/06/2019

Robeco Sustainable Emerging Stars Equities D EUR 05/09/2019

Robeco Sustainable Emerging Stars Equities D USD 05/09/2019

Robeco Sustainable Emerging Stars Equities F EUR 05/09/2019

Robeco Sustainable Emerging Stars Equities F USD 05/09/2019

Robeco Sustainable Emerging Stars Equities FL GBP 22/10/2019

Robeco Sustainable Emerging Stars Equities I EUR 05/09/2019

Robeco Sustainable Emerging Stars Equities I USD 05/09/2019

Robeco Sustainable Emerging Stars Equities KE EUR 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities D EUR 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities D USD 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities F EUR 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities F USD 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities I EUR 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities I USD 05/09/2019

Robeco QI Emerging Markets Sustainable Enhanced Index Equities Z CHF 05/09/2019

Robeco Sustainable European Stars Equities D USD 21/05/2019

Robeco Sustainable European Stars Equities F USD 21/05/2019

Robeco Sustainable European Stars Equities G GBP 21/05/2019

Robeco Sustainable European Stars Equities I GBP 21/05/2019

Robeco Sustainable European Stars Equities IE GBP 23/07/2019

Robeco Sustainable European Stars Equities M2 EUR 21/05/2019

Robeco BP US Premium Equities D2 USD 23/07/2019

Robeco BP US Select Opportunities Equities I GBP 17/12/2019

Robeco QI Chinese A-share Conservative Equities F EUR 19/02/2019

Robeco Sustainable Property Equities IE EUR 17/12/2019

Robeco Global Consumer Trends Equities D2 USD 23/07/2019

Robeco Global Consumer Trends Equities IE JPY 05/02/2019

Robeco Global Consumer Trends Equities M2H USD 05/02/2019

Robeco MegaTrends M2 EUR 20/02/2019

Robeco Global FinTech Equities DH CHF 20/02/2019

Robeco Global FinTech Equities IH EUR 05/02/2019

Robeco High Yield Bonds D2H USD 21/05/2019

Robeco High Yield Bonds DH SEK 05/02/2019

Robeco High Yield Bonds IBH CHF 20/02/2019

Robeco High Yield Bonds IH NOK 05/02/2019

Robeco High Yield Bonds IH SEK 05/02/2019

Robeco Global Credits FH CHF 05/02/2019

Robeco Global Credits IH JPY 05/02/2019

Robeco Global Credits ZH EUR 22/10/2019

Robeco QI Global Multi-Factor Bonds DH EUR 26/11/2019

Robeco QI Global Multi-Factor Bonds DH USD 26/11/2019

Robeco QI Global Multi-Factor Bonds FH EUR 26/11/2019

Robeco QI Global Multi-Factor Bonds FH USD 26/11/2019

Robeco QI Global Multi-Factor Bonds IH EUR 26/11/2019

Robeco QI Global Multi-Factor Bonds IH USD 26/11/2019

Robeco Global Credits – Short Maturity D2H USD 26/11/2019

Robeco Global Credits – Short Maturity D3H USD 22/10/2019

Robeco Global Credits – Short Maturity IH USD 26/11/2019

Robeco Global Credits – Short Maturity M2H USD 26/11/2019

Robeco Global Credits – Short Maturity M3H USD 22/10/2019

Robeco QI Global Multi-Factor High Yield IH GBP 20/02/2019

Robeco QI Global Multi-Factor High Yield Z EUR 12/02/2019

RobecoSAM SDG Credit Income BxH HKD 22/10/2019

RobecoSAM SDG Credit Income BxH SGD 22/10/2019

RobecoSAM SDG Credit Income D2H USD 18/06/2019

RobecoSAM SDG Credit Income D3H USD 18/06/2019

RobecoSAM SDG Credit Income DH EUR 17/12/2019



General (continued)

New share classes (continued)


RobecoSAM SDG Credit Income EH USD 26/11/2019

RobecoSAM SDG Credit Income IEH USD 20/08/2019

RobecoSAM SDG Credit Income M2H EUR 20/02/2019

RobecoSAM SDG Credit Income M2H USD 18/06/2019

RobecoSAM SDG Credit Income M3H EUR 20/02/2019

RobecoSAM SDG Credit Income M3H USD 18/06/2019

RobecoSAM Global SDG Credits DH SEK 17/12/2019

RobecoSAM Global SDG Credits FH CHF 05/02/2019

RobecoSAM Global SDG Credits FH EUR 25/09/2019

RobecoSAM Global SDG Credits FH USD 25/09/2019

RobecoSAM Global SDG Credits GH GBP 25/09/2019

RobecoSAM Global SDG Credits IB JPY 05/02/2019

RobecoSAM Global SDG Credits IBH JPY 20/02/2019

RobecoSAM Global SDG Credits IE EUR 15/01/2019

RobecoSAM Global SDG Credits IEH GBP 25/09/2019

RobecoSAM Global SDG Credits IH CHF 21/05/2019

RobecoSAM Global SDG Credits IH GBP 20/02/2019

RobecoSAM Global SDG Credits Z EUR 12/02/2019

RobecoSAM SDG High Yield Bonds DH EUR 22/10/2019

RobecoSAM SDG High Yield Bonds DH USD 22/10/2019

RobecoSAM SDG High Yield Bonds FH EUR 22/10/2019

RobecoSAM SDG High Yield Bonds FH USD 22/10/2019

RobecoSAM SDG High Yield Bonds GH GBP 22/10/2019

RobecoSAM SDG High Yield Bonds IE EUR 22/10/2019

RobecoSAM SDG High Yield Bonds IEH GBP 22/10/2019

RobecoSAM SDG High Yield Bonds IH EUR 22/10/2019

RobecoSAM SDG High Yield Bonds IH USD 22/10/2019

RobecoSAM SDG High Yield Bonds ZH USD 22/10/2019

Robeco Euro Credit Bonds IH JPY 21/05/2019

Robeco European High Yield Bonds IMBXH USD 26/11/2019

Robeco European High Yield Bonds IMH USD 26/11/2019

Robeco European High Yield Bonds MBXH USD 26/11/2019

Robeco European High Yield Bonds Z2H EUR 20/08/2019

RobecoSAM Euro SDG Credits M2H EUR 21/05/2019

Robeco Financial Institutions Bonds IBH EUR 18/06/2019

Robeco QI Multi Factor Absolute Return ZH AUD 21/05/2019

Deactivated share classes


Robeco BP Global Premium Equities IB JPY 25/09/2019

Robeco BP Global Premium Equities Z USD 16/10/2019

Robeco BP Global Premium Equities ZB AUD 19/06/2019

Robeco QI Emerging Markets Active Equities Z EUR 28/03/2019

Robeco QI Emerging Conservative Equities Z EUR 19/07/2019

Robeco Emerging Markets Smaller Companies Equities F GBP 13/03/2019

Robeco Emerging Opportunities Equities D EUR 19/06/2019

Robeco Emerging Opportunities Equities F EUR 19/06/2019

Robeco Emerging Opportunities Equities I EUR 19/06/2019

Robeco Emerging Opportunities Equities I USD 19/06/2019

Robeco QI Global Developed Conservative Equities B EUR 25/06/2019

Robeco Sustainable European Stars Equities IE EUR 30/09/2019

Robeco QI European Conservative Equities D2 USD 26/03/2019

Robeco QI European Conservative Equities IM USD 13/03/2019

Robeco QI European Conservative Equities MH USD 26/04/2019

Robeco QI US Conservative Equities M2 USD 14/06/2019

Robeco Chinese Equities IBH EUR 01/04/2019



General (continued)

Deactivated share classes (continued)


Robeco Chinese Equities IH EUR 02/05/2019

Robeco Chinese Equities IM USD 13/03/2019

Robeco Asian Stars Equities IL JPY 13/03/2019

Robeco BP US Large Cap Equities G EUR 13/03/2019

Robeco BP US Large Cap Equities G USD 02/12/2019

Robeco QI Asia-Pacific Active Equities D EUR 19/06/2019

Robeco QI Asia-Pacific Active Equities D USD 19/06/2019

Robeco QI Asia-Pacific Active Equities F EUR 19/06/2019

Robeco QI Asia-Pacific Active Equities F USD 19/06/2019

Robeco QI Asia-Pacific Active Equities I EUR 19/06/2019

Robeco QI Asia-Pacific Active Equities I USD 19/06/2019

Robeco Chinese A-share Equities I EUR 06/09/2019

Robeco QI Chinese A-share Conservative Equities Z AUD 25/09/2019

Robeco New World Financial Equities Z EUR 13/03/2019

Robeco Sustainable Property Equities IM USD 13/03/2019

Robeco Emerging Debt D EUR 20/05/2019

Robeco Emerging Debt D USD 20/05/2019

Robeco Emerging Debt F EUR 20/05/2019

Robeco Emerging Debt I USD 08/05/2019

Robeco Emerging Debt Z USD 20/05/2019

Robeco Global Credits 0IH EUR 20/03/2019

Robeco Global Credits IE USD 23/07/2019

Robeco QI Global Multi-Factor Credits IBH JPY 25/09/2019

Robeco Global Credits – Short Maturity IE EUR 25/09/2019

Robeco QI Global Multi-Factor High Yield IH USD 03/06/2019

Robeco QI Global Multi-Factor High Yield Z USD 09/12/2019

RobecoSAM SDG Credit Income ZH USD 04/12/2019

RobecoSAM Global SDG Credits IE EUR 27/12/2019

RobecoSAM SDG High Yield Bonds ZH USD 12/12/2019

Robeco Euro Government Bonds IEH EUR 23/07/2019

RobecoSAM Euro SDG Credits 0IH EUR 03/12/2019

Robeco Financial Institutions Bonds IBH HKD 30/01/2019

General introduction

Financial market environment 2019 was a paradoxical year for financial markets; excellent performances for equity and fixed income in an uncertain global

environment. The global economy in 2019 continued on the path of decelerating expansion that emerged in late 2018 on the back of

increasing geopolitical uncertainty. Persisting trade disputes between the US and China, the unpredictability around Brexit, protests in

Hong Kong and an increasingly divided political landscape in the US created an environment tough to navigate for global leaders and

investors alike. Global trade volumes declined below trend as retaliatory rounds of tariffs were put in place by the US and China,

especially hitting open, export-oriented economies with a strong manufacturing base. The deceleration in global economic growth was

therefore mainly concentrated in the manufacturing sector while the services sector remained fairly resilient. As 2019 unfolded, a

domestic slowdown in China began to affect Europe, notably the German economy where Germany’s car industry was already facing a

difficult transition towards cleaner forms of mobility. As a result, Germany narrowly escaped a technical recession in 2019. Overall,

global activity remained in expansion, with the global growth forecast reaching 3.0% in 2019 (IMF estimate).

Despite high levels of geopolitical risk, equity returns excellent over 2019, with the MSCI World unhedged in euro returning 30.0%. It

was also one of the most positive years since the global financial crisis for fixed income returns. There was a significant dovish shift in

Federal Reserve policy, which led to increased demand for both interest-rate and risk markets. Because of the Fed’s pause, followed by

rate cuts in the second half of the year, the environment remained supportive throughout 2019. Global government bonds (hedged to

euro) returned 4% while at the same time global corporate credit bonds (hedged to euro) returned 8.5%.



General introduction (continued)

Financial market environment (continued) Global economic growth disappointed with regard to consensus expectations and slowed from 3.6% in 2018 to a notably lower pace of

3%. Alongside a slowdown in external demand, this softening in global activity was mainly due to a deterioration in global investment

expenditures, as signs of fading multilateralism and international cooperation weakened CEO confidence to undertake new global

investment projects. In advanced economies, capital expenditures slowed from 2.6% in 2018 to 1.8% in 2019 (IMF estimate),

concentrated in the US. In conjunction with lower investment demand, aggregate demand from the consumer side advanced at a lower

rate of growth as well in 2019.

Even as this period of US economic expansion has now become the longest post-WWII, consumption growth has remained significantly

below the average growth rate observed during previous US expansion phases. This is partly due to a clear household deleveraging post

great financial crisis. US nominal wage growth has picked up to around 3% but given that the US unemployment rate at 3.5% signals that

the US is experiencing the tightest labor market in the past 50 years, this level is still subdued. In most advanced economies, employment

numbers have increased (though overall at a more modest pace compared to 2018) and unemployment rates are now close to or at

cyclical lows. Household demand remains underpinned by a rising trend in real disposable incomes, increased housing wealth and

generally low interest rates.

Despite higher import tariffs in some countries, global inflation remained muted. As the global manufacturing slowdown led to higher

inventory-to-sales ratios, capacity utilization rates came down and as a result core inflation decelerated further below target for many

advanced economies and emerging markets. In the US, core PCE inflation (which excludes changes in consumer food and energy prices)

remained at 1.6%, below the symmetrical inflation target of 2% of the Fed. Inflation is increasingly influenced by global factors such as

global commodity prices, global slack, exchange rates and producer price competition.

In the UK, the debate around Brexit continued to be as unpredictable as it was in 2018, until Boris Johnson won the December general

election with a clear majority. The UK Prime Minister showed his intention to move the UK out of the EU by end of January 2020 by

signing the EU withdrawal bill. He also indicated he would limit the transitional period and not to seek an extension of the UK’s

transition away from the EU beyond 31 December 2020. Given the challenging timetable the UK government has set itself, the UK will

likely negotiate a minimum trade deal, concentrating on the trade in goods. As Johnson may opt to remove the self-imposed 31

December 2020 deadline, the chances of a no-deal ‘hard’ Brexit by the end of 2020 have diminished, but not vanished altogether.

In China and other emerging markets, weakness in domestic consumer spending dominated the strong decrease in external demand.

Chinese economic growth slowed to 6.1% in 2019. Debt, deleveraging and demographics are each influencing China’s domestic policy

agenda. Policy makers are undertaking a difficult balancing act to keep near-term growth around the 6% target while also trying to

remove excess leverage (overall non-financial corporate debt is around 250% of GDP) to keep the economy on a sustainable longer-term

path. China’s rapidly ageing society is also hampering its long-term potential growth.

Risk management

The presence of risks is inherent to the character of asset management. It is therefore very important to have a procedure for controlling

these risks embedded in the company's day-to-day operations. The manager (RoLux) ensures that risks are effectively controlled via the

three-lines-of-defense model: RoLux management (first line), the Compliance and Risk Management departments (second line) and the

Internal Audit department (third line).

The management of RoLux has primary responsibility for risk management as part of its day-to-day activities. The Compliance and Risk

Management departments develop and maintain policy, methods and systems that enable the management to fulfill their responsibilities

relating to risk. Furthermore, portfolios are monitored by these departments to ensure that they remain within the investment restrictions

under the Terms and Conditions for Management and Custody and the information memorandum, and to establish whether they comply

with the internal guidelines. The Risk Management Committee decides how the risk-management policies are applied and monitors

whether risks remain within the defined limits. The Group Internal Audit department carries out audits to assess the effectiveness of

internal control.

RoLux uses a risk-management and control framework that helps control all types of risk. Within this framework, risks are periodically

identified and assessed as to their significance and materiality. Internal procedures and measures are focused on providing a structure to

control both financial and operational risks. Management measures are included in the framework for each risk. Active monitoring is

performed to establish the effectiveness of the procedures and measures of this framework.



Risk management (continued)

Operational risk Operational risk is the risk of loss as a result of inadequate or failing processes, people or systems. Robeco constantly seeks opportunities

to simplify processes and reduce complexity in order to mitigate operational risks. Automation is a key resource in this regard and

Robeco uses systems that can be seen as the market standard for financial institutions. The use of automation increases the IT risk. This

risk can be divided into three categories. The risk that unauthorized persons gain access is managed by means of preventive and detective

measures to control access to the network and to systems and data. Processes such as change management and operational management

ensure monitoring of a working system landscape. Lastly, business continuity measures are in place to limit the risk of breakdown as far

as possible and to restore operational effectiveness as soon as possible in the event of disaster. The effectiveness of these measures is

tested regularly both internally and externally.

Compliance risk Compliance risk is the risk of sanctions, financial loss or reputation damage as a result of non-compliance with the laws and regulations

applicable to the activities of Robeco and the funds it manages. Robeco's activities – collective and individual portfolio management –

are subject to European and national rules of financial supervision. Observance of these rules is supervised by the national competent

authorities (in Luxembourg the Commission de Surveillance du Secteur Financier (CSSF)). It is in the interest of investors in Robeco-

managed funds that Robeco complies with all the applicable laws and regulations. Robeco has implemented a meticulous process with

clear responsibilities in order to ensure that new laws and regulations are reported and implemented in a timely fashion.

Changes in the field of legislation and regulation that could affect the funds managed by Robeco also took place in 2019. An example of

this is the amended Shareholder Rights Directive (SRD II), which applies as of 10 June 2019. SRD II requires institutional investors and

asset managers to develop a policy on shareholder engagement and to disclose their voting and engagement policies in relation to its

strategies covering EU listed equities. Necessary changes to Robeco’s existing policies on these topics have been implemented in a

timely manner. Mandatory disclosures on these topics have been enhanced as well and these were made easily accessible to clients.

Robeco also ensured that its policies and procedures related to the prevention of use of the financial system for money laundering and the

financing of terrorism continue to be adequately designed. In 2019 policies and procedures were amended to reflect the requirements of

the Fifth Anti-Money Laundering Directive (5th AMLD). The amended Directive has introduced the obligation for Robeco to publicly

register the ultimate beneficial owners (‘UBOs’) of all its corporate entities and funds. For Luxembourg domiciled entities and funds,

registrations were completed before the deadline of 1 September 2019. In addition, solid enhanced due diligence measures with respect

to business relationships and transactions involving high risk countries were implemented in accordance with the 5th AMLD.

The EU Securitisation Regulation has introduced new obligations for investments in securitisations of which the securities are issued on

or after 1 January 2019. Based on these new rules, Robeco has adapted its processes for investments in securitisations in terms of initial

due diligence, ongoing monitoring, stress testing and internal reporting, in order to ensure that all risks arising from securitisations are

properly assessed to the benefit of end investors.

On 17 June 2019 EMIR Refit entered into force, amending the existing EMIR rules with the objective to simplify and increase the

efficiency of some of its requirements and to reduce disproportionate costs and burdens. The core EMIR requirements – clearing, margin

requirements, derivative transaction reporting, operational risk mitigation requirements and requirements for trade repositories/CCPs –

remain unchanged. For Robeco, the implementation of EMIR Refit in particular related to the introduction of a new category of financial

counterparty known as the small financial counterparty (SFC). Such SFC - whose OTC derivatives positions do not exceed any of the

clearing thresholds - can under certain circumstances be exempted from the clearing obligation under EMIR. Robeco has decided not to

benefit from such exemption and will continue clearing of the relevant instruments for all its funds.

Developments Financial Risk Management Robeco is continuously working to enhance its risk management methodologies, infrastructure and processes.

Over the past year, Financial Risk Management (FRM) continued with the modeling of climate risks and the integration of climate

models in the risk management framework and risk management systems. These models aim to incorporate both current carbon

emissions as well as forward looking based elements, such as investments in carbon footprint reduction. These analyses are done based

on RobecoSAM data. In addition, FRM is collaborating with its risk management system vendor to further complement the framework

with physical climate risks assets are exposed to, such as the risk of flooding, extreme heat waves or droughts.

FRM has successfully enhanced and implemented tooling to conduct style factor analysis based on Barra factors. The results of these

analyses and the climate risk results are both used in portfolio risk deep dive sessions with portfolio management.

Securities lending is transferred to JPMorgan as the new lending agent. In 2019 risk management integrated securities lending data

(collateral, securities) in the Robeco collateral management systems to have an integrated view on counterparty exposures.

During the year several projects took place in which FRM participated. This included enhancement of the Model Risk Management,

Brexit and a transition towards new benchmark rates (IBOR).



Global Equity sub-funds

Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

Robeco BP Global Premium Equities B EUR shares

1

21.8

30.0

4.8

10.3

MSCI World Index (Net Return (in EUR)

C EUR shares

1

22.5

30.0

5.4

10.3


D EUR shares

21.8

30.0

4.8

10.3


F EUR shares

22.5

30.0

5.4

10.3


I EUR shares

22.6

30.0

5.5

10.3


IB EUR shares

1,4

22.6

30.0

4.5

12.6


M2 EUR shares

4

20.2

30.0

3.5

11.1


DH EUR shares 4

16.7

24.6

3.7

9.4

MSCI World Index (Net Return hedged into

EUR)

FH EUR shares 4

17.3

24.6

-0.0

6.2


EUR)

IH EUR shares 4

17.6

24.6

4.5

9.4


EUR)

M2H EUR shares 4

15.3

24.6

-2.7

6.9


EUR)

ZB AUD shares

3

14.3

18.9

11.6

14.7

MSCI World Index (Net Return (in AUD)

F GBP shares

15.2

22.7

5.2

10.0

MSCI World Index (Net Return (in GBP)

I GBP shares

15.2

22.7

5.2

10.0


IB GBP shares

1

15.2

22.7

5.2

10.0


I JPY shares

2

6.7

13.0

MSCI World Index (Net Return) (JPY)

IB JPY shares

3

9.8

15.6

-8.3

-0.7

MSCI World Index (Net Return) (JPY)

D USD shares

19.5

27.7

7.0

12.6

MSCI World Index (Net Return (in USD))

D2 USD shares

19.2

27.7

6.7

12.6


E USD shares

1

19.5

27.7

7.0

12.6


F USD shares

20.3

27.7

7.7

12.6


I USD shares

20.3

27.7

7.7

12.6


M USD shares

18.3

27.7

5.9

12.6


Z USD shares

3

14.2

18.5

-1.4

4.3


DH USD shares

20.3

28.4

6.9

12.6


USD)

Robeco QI Global Conservative Equities

B EUR shares 1

25.9

28.9

7.5

10.1

MSCI All Country World Index (Net Return)

(EUR)

C EUR shares 1

26.5

28.9

8.1

10.1


(EUR)

D EUR shares

25.9

28.9

7.5

10.1


(EUR)

F EUR shares

26.5

28.9

8.0

10.1


(EUR)

I EUR shares

26.6

28.9

8.1

10.1


(EUR)

M2 EUR shares 4

24.9

28.9

13.1

12.6


(EUR)

Z EUR shares

27.4

28.9

8.8

10.1


(EUR)

IH EUR shares

20.6

24.1

7.5

9.7


(hedged into EUR)



Global Equity sub-funds (continued)

Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

F GBP shares

18.9

21.7

7.8

9.9


(GBP)

D USD shares

23.6

26.6

9.8

12.4


(USD)

I USD shares

24.2

26.6

10.3

12.4


(USD)

Z USD shares

25.0

26.6

11.0

12.4


(USD)

Robeco Sustainable Global Stars Equities

D EUR shares

31.3

30.0

11.1

10.3

MSCI World Index (Net Return) (EUR)

F EUR shares

31.9

30.0

11.7

10.3


IL EUR shares 31.9 30.0 11.6 10.3 MSCI World Index (Net Return) (EUR)

Z EUR shares

33.2

30.0

12.7

10.3


IL USD shares

2

4.0

2.9

MSCI World Index (Net Return) (USD)

Robeco Emerging Stars Equities

D EUR shares

28.7

20.6

9.1

9.3

MSCI Emerging Markets Index (Net Return)

(EUR)

DL EUR shares

28.4

20.6

8.8

9.3


(EUR)

E EUR shares 1

28.7

20.6

9.3

9.3


(EUR)

F EUR shares

29.3

20.6

9.8

9.3


(EUR)

FL EUR shares 4

29.4

20.6

7.5

6.4


(EUR)

G EUR shares 4

29.2

20.6

5.7

4.7


(EUR)

I EUR shares

29.3

20.6

9.9

9.3


(EUR)

IE EUR shares 4

28.8

20.6

22.7

19.1


(EUR)

Z EUR shares

30.9

20.6

10.9

9.3


(EUR)

F GBP shares

21.5

13.9

9.5

9.0


(GBP)

G GBP shares 1

21.8

13.9

9.6

9.0


(GBP)

IL GBP shares

21.7

13.9

9.5

9.0


(GBP)

KE GBP shares 4

21.7

13.9

9.3

3.6


(GBP)

D USD shares

26.4

18.4

11.7

11.6


(USD)

DL USD shares 4

26.1

18.4

6.8

6.6


(USD)

F USD shares

26.9

18.4

12.1

11.6


(USD)

FL USD shares

27.0

18.4

12.0

11.6


(USD)

I USD shares

27.0

18.4

12.1

11.6


(USD)




Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

IL USD shares

27.1

18.4

12.0

11.6


(USD)

KE USD shares 1

27.1

18.4

12.0

11.6


(USD)

ML USD shares

25.7

18.4

10.8

11.6


(USD)

Robeco Emerging Markets Equities

D EUR shares

28.2

20.6

9.8

9.3


(EUR)

F EUR shares

29.1

20.6

10.6

9.3


(EUR)

I EUR shares

29.2

20.6

10.7

9.3


(EUR)

M EUR shares

27.5

20.6

9.3

9.3


(EUR)

M2 EUR shares 4

26.9

20.6

11.2

9.0


(EUR)

G GBP shares 2

6.6

4.7


(GBP)

D USD shares

25.8

18.4

12.1

11.6


(USD)

F USD shares

26.7

18.4

12.9

11.6


(USD)

I USD shares

26.8

18.4

13.0

11.6


(USD)

IM USD shares 4

26.5

18.4

5.6

4.6


(USD)

J USD shares

26.8

18.4

13.0

11.6


(USD)

M USD shares

25.2

18.4

11.6

11.6


(USD)

Robeco QI Emerging Markets Active Equities

D EUR shares

21.0

20.6

8.8

9.3


(EUR)

E EUR shares 1

21.0

20.6

8.7

9.3


(EUR)

F EUR shares

21.7

20.6

9.4

9.3


(EUR)

G EUR shares 1,4

21.7

20.6

0.1

1.4


(EUR)

I EUR shares

21.7

20.6

9.5

9.3


(EUR)

IE EUR shares 2

9.7

11.3


(EUR)

Z EUR shares 3

12.1

10.5

13.8

11.1


(EUR)

D USD shares

18.7

18.4

11.0

11.6


(USD)

I USD shares

19.5

18.4

11.7

11.6


(USD)




Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

Robeco QI Global Momentum Equities

D EUR shares

25.5

28.9

7.8

10.1

MSCI All Countries World (Net Return)

(EUR)

F EUR shares

26.2

28.9

8.4

10.1


(EUR)

I EUR shares

26.2

28.9

8.4

10.1


(EUR)

Z EUR shares

27.0

28.9

9.1

10.1


(EUR)

F GBP shares 2

-0.1

1.7


(GBP)

Robeco QI Global Developed Sustainable Enhanced Index Equities

D EUR shares

28.0

30.0

8.5

10.3

MSCI World Index (Net Return in EUR)

F EUR shares

28.2

30.0

8.7

10.3


I EUR shares

28.4

30.0

8.9

10.3


Z EUR shares

28.9

30.0

9.3

10.3


IH EUR shares

22.9

24.6

8.2

9.7

MSCI World Index (Net Return) (hedged

into EUR)

I CHF shares

4

24.0

25.4

9.2

11.4

MSCI World Index (Net Return in CHF)

I USD shares

2

11.3

12.5

MSCI World Index (Net Return in USD)

Robeco QI Emerging Markets Enhanced Index Equities

D EUR shares 4

19.7

20.6

5.4

6.1


(EUR)

F EUR shares 4

20.2

20.6

5.8

6.1


(EUR)

Z EUR shares

20.8

20.6

9.9

9.3


(EUR)

I USD shares

18.0

18.4

11.6

11.6


(USD)

Robeco QI Emerging Conservative Equities

B EUR shares

1

16.9

20.6

7.5

9.3


(EUR)

C EUR shares

1

17.6

20.6

8.2

9.3


(EUR)

D EUR shares

16.9

20.6

7.5

9.3


(EUR)

F EUR shares

17.6

20.6

8.1

9.3


(EUR)

I EUR shares

17.7

20.6

8.2

9.3


(EUR)

IE EUR shares

1

17.7

20.6

8.2

9.3


(EUR)

Z EUR shares

3

14.9

13.0

9.3

8.2


(EUR)

ZB AUD shares

1 16.5 18.6 12.4 12.7 MSCI Emerging Markets Index (Net Return)

(AUD)

C GBP shares

4

10.6

13.9

5.7

5.7


(GBP)

D GBP shares

9.9

13.9

7.2

9.0


(GBP)




Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

F GBP shares

10.6

13.9

7.9

9.0


(GBP)

G GBP shares

1

10.6

13.9

7.9

9.0


(GBP)

I GBP shares

10.6

13.9

7.9

9.0


(GBP)

B USD shares

1

14.8

18.4

9.7

11.6


(USD)

C USD shares

1

15.5

18.4

10.4

11.6


(USD)

D USD shares

14.8

18.4

9.7

11.6


(USD)

D2 USD shares

14.5

18.4

9.5

11.6


(USD)

F USD shares

15.5

18.4

10.4

11.6


(USD)

G USD shares

1

15.5

18.4

10.4

11.6


(USD)

I USD shares

15.5

18.4

10.5

11.6


(USD)

M USD shares

13.9

18.4

8.9

11.6


(USD)

Robeco Emerging Markets Smaller Companies Equities

D EUR shares

16.5

15.2

4.6

7.7

MSCI Emerging Markets Mid Cap Index

(Net Return) (EUR)

F EUR shares

17.6

15.2

5.5

7.7


(Net Return) (EUR)

I EUR shares

17.6

15.2

5.5

7.7


(Net Return) (EUR)

F GBP shares

3

5.4

3.6

7.5

9.5


(Net Return) (GBP)

D USD shares

14.4

13.1

6.8

9.9


(Net Return) (USD)

I USD shares

15.5

13.1

7.8

9.9


(Net Return) (USD)

Z USD shares

16.6

13.1

8.8

9.9


(Net Return) (USD)

Robeco QI Global Value Equities

D EUR shares 2

4.2

18.1

MSCI AC World Index (EUR)

F EUR shares

17.4

28.9

4.4

10.1


I EUR shares

17.5

28.9

4.4

10.1


Z EUR shares

18.2

28.9

5.1

10.1


F GBP shares 2

3.0

1.7

MSCI AC World Index (GBP)

Robeco QI Global Developed Multi-Factor Equities

D EUR shares

22.8

30.0

6.1

10.3

MSCI World Standard Index (Net Return)

(EUR)

I EUR shares

23.4

30.0

6.6

10.3


(EUR)




Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

D USD shares

20.6

27.7

8.3

12.6


(USD)

I USD shares

21.2

27.7

8.9

12.6


(USD)

Robeco QI Global Developed Conservative Equities ex Japan

I JPY shares

23.8

27.2

7.6

10.3

MSCI Kokusai (World Ex-Japan)

Robeco QI Emerging Markets Sustainable Active Equities

D EUR shares

4

19.4

20.6

6.0

5.6


(EUR)

F EUR shares

4

20.0

20.6

6.5

5.6


(EUR)

I EUR shares

20.1

20.6

11.0

9.3


(EUR)

Z EUR shares

4

20.9

20.6

4.4

4.4


(EUR)

I AUD shares

4

18.0

18.6

3.6

4.7


(AUD)

I USD shares

17.9

18.4

13.3

11.6


(USD)

Robeco QI Global Developed Conservative Equities

B EUR shares 1,3

15.7

16.7

5.4

10.8

MSCI World Index (EUR)

D EUR shares

23.6

30.0

6.4

10.3


I EUR shares

24.3

30.0

6.4

10.3


IH EUR shares 4

18.9

24.6

6.4

9.0


B CAD shares 1,4

15.4

21.2

8.0

12.3

MSCI World Index (CAD)

I JPY shares

20.1

26.5

6.1

10.0

MSCI World Index (JPY)

D USD shares

21.3

27.7

8.1

12.6

MSCI World Index (USD)

I USD shares

22.0

27.7

8.6

12.6


Robeco QI Global Developed Active Equities

G EUR shares 2

8.4

10.2


I EUR shares 4

21.1

30.0

5.4

13.9


Robeco QI Customized Emerging Markets Enhanced Index Equities I

Z USD shares

23.0

23.6

11.6

11.8

Composite, 80% MSCI World Index (Net

Return) + 20% MSCI Emerging Markets (Net

Return) (USD)

Robeco QI Global Quality Equities

D EUR shares

27.9

28.9

9.6

10.1

MSCI All Countries World Index (Net

Return) (EUR)

F EUR shares

28.5

28.9

10.1

10.1


Return) (EUR)

I EUR shares

28.4

28.9

10.1

10.1


Return) (EUR)

I USD shares

4

26.2

26.6

11.7

11.8


Return) (USD)




Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

Robeco QI Global Sustainable Conservative Equities

D EUR shares

25.4

28.9

8.1

10.1


Return) (EUR)

F EUR shares

26.0

28.9

8.6

10.1


Return) (EUR)

I EUR shares

26.1

28.9

8.7

10.1


Return) (EUR)

Z EUR shares

4

26.9

28.9

11.0

10.8


Return) (EUR)

I USD shares

4

23.7

26.6

10.4

11.8


Return) (USD)

Robeco QI Global Developed Enhanced Index Equities

D EUR shares 4

27.5

30.0

10.6

12.6


F EUR shares 4

27.8

30.0

10.9

12.6


I EUR shares 4

27.9

30.0

11.0

12.6


I JPY shares 4

23.5

26.5

5.4

8.0

MSCI World Index (JPY)

D USD shares 4

25.1

27.7

7.9

9.9


F USD shares 4

25.4

27.7

8.2

9.9


I USD shares 4

25.6

27.7

8.3

9.9


Robeco Sustainable Emerging Stars Equities

D EUR shares

2

10.4

10.0


(EUR)

F EUR shares

2

10.7

10.0


(EUR)

I EUR shares

2

10.7

10.0


(EUR)

KE EUR shares

2

10.7

10.0


(EUR)

FL GBP shares

2

6.5

5.4


(GBP)

D USD shares

2

12.3

11.8


(USD)

F USD shares

2

12.5

11.8


(USD)

I USD shares

2

12.5

11.8


(USD)

Robeco QI Emerging Markets Sustainable Enhanced Index Equities

D EUR shares

2

9.1

10.0


(EUR)

F EUR shares

2

9.2

10.0


(EUR)

I EUR shares

2

9.2

10.0


(EUR)

Z CHF shares

2

9.2

9.8


(CHF)

D USD shares

2

10.9

11.8


(USD)

F USD shares

2

11.0

11.8


(USD)




Investment results

Notes

Investment

result

reporting

period in

%

Benchmark

return

reporting

period in

%

Investment

result 3

years

average or

since

inception

Benchmark

return 3

years

average or

since

inception

Index

I USD shares

2

11.1

11.8


(USD)

Robeco Emerging Opportunities Equities

D EUR shares

3

10.7

10.7

7.9

9.7


(EUR)

F EUR shares

3

11.0

10.7

8.7

9.8


(EUR)

I EUR shares

3

11.1

10.7

8.8

9.8


(EUR)

I USD shares

3

8.9

8.6

9.1

10.1


(USD)

1 Assuming reinvestment of the distributed dividend. 2 Share class activated in reporting period. See table on page 6 to 8. 3 Share class deactivated in reporting period. See table on page 8 to 9. 4 3 year performance since inception/until deactivation.

Performance analysis

Robeco BP Global Premium Equities The sub-fund trailed the core MSCI World Index in a year where growth easily defeated value. Most winners had strong sales or price

momentum. The key sectors of note were energy, technology and finance. In energy, the sub-fund is overweight its index along with a tilt

towards higher beta, which lagged. In technology, the index posted very strong returns, mainly generated through highly priced

technology businesses that are too expensive for the sub-fund’s philosophy and process. Finally, in finance a mix of US insurance and

European banking led to the performance shortfall. We will continue to examine various sectors and regions to identify the stock-specific

opportunities where price and fair value dislocations appear. With respect to sustainable investing (SI), we qualitatively capture a range

of ESG factors which directly and indirectly affect our decision making during the course of our characteristic-based investment process.

Robeco QI Global Conservative Equities 2019 turned out to be a great year for investors in global equities. Despite a long list of events causing uncertainty – such as the looming

trade war between the US and China – the market climbed the wall of worries, supported by high returns for technology stocks.

Measured in euro terms, the MSCI AC World Index experienced ten positive months. Only in May and August did the heightened trade

war result in turbulent and negative markets, with low-risk stocks showed their merits by achieving a significantly lower drawdown.

However, low-risk stocks lagged the market overall in 2019 as the MSCI AC World Index in euro terms rose an impressive 28.9%. In US

dollar terms, the index rose 26.6%.

With regards to sector exposure, the underweight in cyclical technology and consumer stocks resulted in a lower relative return for the

sub-fund, while the underweight in energy stocks had a positive impact. These exposures are the result of our bottom-up stock selection

process, which prefers attractively valued low-risk stocks with a high payout yield and positive momentum. Moreover, as growth stocks

such as technology stocks outperformed the broader market and value-like energy stocks lagged, the value factor experienced a negative

year. Also, high dividend stocks in the US significantly lagged the market.

This sub-fund is characterized by generally having lower absolute risk than its reference index, while having a higher relative risk as the

strategy deviates considerably from its reference index, the MSCI AC World Index.

Robeco Sustainable Global Stars Equities (formerly Robeco Global Stars Equities) The last year of the decade closed on a high, making 2019 the best performing year of the 2010s. The Sustainable Global Stars equity

fund rose nearly 33% in 2019, 2.2% more than the market index. The largest relative contributors to the portfolio were the

communication services and the industrials sector. The biggest contributor was Charter Communications which rose no less than 74%.

We added several new, promising holdings to our fund. Firstly Neste, a Finnish oil refinery which is the largest biofuel refiner in the

world and a pioneer in the field of renewable fuels. As the transition to electric vehicles isn’t happening overnight, especially not within

heavy transportation, the role of alternative fuels or next generation biofuels are crucial in keeping carbon emissions as low as possible.

Neste is a clear example of a strong ESG strategy having a positive impact on both revenue growth and margins.




Performance analysis (continued)

Robeco Emerging Stars Equities In 2019, emerging equity markets rose by 21% in euro terms, but underperformed developed markets. The sub-fund significantly

outperformed the MSCI Emerging Markets Index thanks to positive stock selection results in China, India, Brazil, Indonesia, Hungary,

Taiwan, South Africa and Mexico, and thanks to a strong country allocation result. The largest change in the portfolio was a reduction in

the weight for South Korea. We also sold our position in Peru while increasing positions in China and Brazil. We entered a new position

in Turkey. The fund maintained its investment policy, which combines active country allocation, stock selection based on fundamental

research which is supported by quantitative models, and includes ESG factors to a significant extent. During the year, the fund added to

the growing gas distribution sector in China and India, which is gradually replacing the more pollutive thermal coal.

Robeco Emerging Markets Equities Emerging equity markets rose significantly though underperformed developed equity markets. The sub-fund substantially outperformed

the MSCI Emerging Markets Index, mainly thanks to the positive stock selection results in Greater China, India, Korea, Brazil and South

Africa, with country allocation contributing positively as well. The fund added to China and Brazil, bought a new position in Turkey, and

reduced exposure to South Korea and India. The fund stayed true to its investment policy, which combines active country allocation,

stock selection based on fundamental research which is supported by quantitative models, and includes ESG factors to a significant

extent. The team assesses shareholder, board, management, government and environmental factors on a case-by-case basis. Input from

RobecoSAM sustainability investing analysts is used to further integrate ESG factors into the investment process. During the year, the

fund added to gas distribution in China and India, which is gradually replacing the more pollutive thermal coal.

Robeco QI Emerging Markets Active Equities The investment objective of the sub-fund is to outperform its index, the MSCI Emerging Markets Index, with the aid of a quantitative

stock selection model. Using a combination of factors (value, quality, momentum and analyst revisions), the model identifies broad

groups of stocks that are likely to outperform in the long run. The sub-fund’s relative performance was positive. The momentum factor

contributed positively, while the value and quality factors contributed negatively to the sub-fund’s relative performance. The analyst

revisions factors performed in line with the index. The volatility of the sub-fund was in line with the volatility of its index, with a

medium level of active risk. Sustainability, based on RobecoSAM scores, is integrated into the investment policy of the sub-fund. The

portfolio construction process is highly disciplined and ensures that the overall sustainability score of the portfolio is better than or equal

to the overall sustainability score of the index.

Robeco QI Global Momentum Equities The investment objective of the sub-fund is to outperform the MSCI All Country World Index by using a quantitative stock selection

model. The model identifies broad groups of stocks that have positive momentum characteristics, while at the same time taking

valuation, quality and low-risk characteristics into account.

The sub-fund underperformed its index in a rising market. The momentum factor had the largest negative contribution to the performance

of the fund. Controlling for valuation, risk and quality had a positive contribution. The risk profile of the sub-fund, as measured by the

volatility, was lower than that of its index.

Sustainability, based on RobecoSAM scores, is integrated into the investment policy. These RobecoSAM scores take ESG factors into

account. The portfolio construction process is highly disciplined and ensures that the overall sustainability score of the portfolio is better

than or equal to the overall sustainability score of the index.

Robeco QI Global Developed Sustainable Enhanced Index Equities The investment objective of the sub-fund is to outperform its index, the MSCI World Index, with the aid of a quantitative stock selection

model. Using a combination of alpha factors (value, quality, momentum and analyst revisions) and sustainability factors, the model

identifies broad groups of stocks that are likely to deliver sustainable market-like returns. The sub-fund’s relative performance was

negative, with the alpha and sustainability factors contributing negatively to this. The volatility of the sub-fund was in line with the

volatility of its index, with a low level of active risk. Sustainability, based on RobecoSAM scores, is integrated into the investment policy

of the sub-fund. The sub-fund aims to achieve a 30% higher sustainability score and a 20% lower environmental footprint on four

dimensions versus its index while excluding controversial companies.

Robeco QI Emerging Markets Enhanced Index Equities The investment objective of the sub-fund is to outperform its index, the MSCI Emerging Markets Index, with the aid of a quantitative


groups of stocks that are likely to outperform in the long run. The sub-fund’s relative performance was negative. The momentum factors

delivered a positive contribution while the value, quality and analyst revisions factors contributed negatively. The volatility of the sub-

fund was in line with the volatility of its index, with a low level of active risk. Sustainability, based on RobecoSAM scores, is integrated

into the investment policy of the sub-fund. The portfolio construction process is highly disciplined and ensures that the overall

sustainability score of the portfolio is better than or equal to the overall sustainability score of the index.





Robeco QI Emerging Conservative Equities 2019 turned out to be a great year for investors in emerging markets equities, although underperforming developed markets equities.

Despite a long list events causing uncertainty – like the looming trade war between the US and China – the market climbed the wall of

worries, supported by high returns for technology and cyclical consumer stocks. All other sectors showed considerably lower returns.

Measured in euro terms, the MSCI Emerging Markets Index experienced ten positive months. Only in May and August did the

heightened trade war result in turbulent and negative markets, with low-risk stocks showing their merits by achieving a significantly

lower drawdown. Overall, low-risk stocks lagged the market in 2019 as the MSCI Emerging Markets Index, in euro terms rose 20.6%. In

US dollar terms, the index rose 18.4%.

In terms of sector exposure, the underweight in cyclical technology and consumer stocks resulted in a lower relative return for the sub-

fund. These exposures are the result of our bottom-up stock selection process, which prefers attractively valued low-risk stocks with a

high payout yield and positive momentum. The value factor had a positive impact on the fund’s relative return, mainly as the exposure to

Russian energy stocks and Brazilian utility stocks contributed positively.

This sub-fund is characterized by generally having lower absolute risk than its reference index while having a higher relative risk, as the

strategy deviates considerably from its reference index, the MSCI Emerging Markets Index.

Robeco Emerging Markets Smaller Companies Equities In 2019, emerging markets had a very strong year in terms of performance. The sub-fund outperformed its reference index (MSCI EM

Midcap index), mainly thanks to its positions in India, Russia, South Korea and China. During the year, the fund added to Brazil and

Taiwan and reduced positions in China and India. The absolute risk level for the portfolio remained comfortably within the risk limits of

the fund. For Robeco Emerging Smaller Companies, ESG factors are incorporated into the investment and decision-making process. A

proprietary bi-annual corporate governance questionnaire is an integral part of the fundamental framework. The team assesses

shareholder, board, management, government and environmental factors. Relevant ESG issues are discussed with the management of

companies. Input from RobecoSAM sustainability investing analysts is used to further enhance ESG integration into the investment

process.

Robeco QI Global Value Equities The investment objective of the sub-fund is to outperform the MSCI All Country World Index, by using a quantitative stock-selection

model. The model identifies broad groups of stocks that have positive value characteristics, while at the same time taking momentum,

quality and low-risk characteristics into account.

The sub-fund underperformed its index in a rising market. The value factor had a negative contribution. Controlling for momentum

contributed negatively and controlling for risk had a positive contribution, while the contribution of controlling for quality was flat. The

risk profile of the sub-fund, as measured by the volatility, was higher than that of its index.


account. The portfolio-construction process is highly disciplined and ensures that the overall sustainability score of the portfolio is better


Robeco QI Global Developed Multi-Factor Equities The investment objective of the sub-fund is to outperform the MSCI World Index by using a quantitative stock selection model. The

strategy allocates to subsets of companies that have positive value, momentum, quality and low-risk characteristics.

In a rising market, the sub-fund underperformed its index. The performance of value factor was the main negative contributor to the

performance, with the momentum, low-risk and quality factors also contributing negatively. The risk profile of the sub-fund, as measured

by the volatility, was higher than that of its index.


account. The portfolio construction process is highly disciplined and ensures that the overall sustainability score of the portfolio is better


Robeco QI Global Developed Conservative Equities ex Japan 2019 turned out to be a great year for investors in global equities. Despite a long list of events causing uncertainty – such as the looming


Measured in euro terms, the MSCI World Index experienced ten positive months in 2019. Only in May and August did the heightened

trade war result in turbulent and negative markets, with low-risk stocks showing their merits by achieving a significantly lower

drawdown. However, low-risk stocks lagged the market in 2019 as the MSCI World Index in euro terms rose an impressive 30.0%. In






Robeco QI Global Developed Conservative Equities ex Japan (continued) In terms of sector exposure, the underweight in cyclical technology and consumer stocks resulted in a lower relative return for the sub-

fund, while the underweight in energy stocks had a positive impact on the fund’s relative return. These exposures are the result of our

bottom-up stock selection process, which prefers attractively valued low-risk stocks with a high payout yield and positive momentum.

Moreover, as growth stocks such as technology stocks outperformed the broader market and value-like energy stocks lagged, the value

factor experienced a negative year. Also, high dividend stocks in the US significantly lagged the market.

This sub-fund is characterized by generally having lower absolute risk than its reference index while having a higher relative risk as the

strategy deviates considerably from its reference index, the MSCI AC World Index.

Robeco QI Emerging Markets Sustainable Active Equities The investment objective of the sub-fund is to outperform its index, the MSCI Emerging Markets Index, with the aid of a quantitative


groups of stocks that are likely to outperform in the long run. The sub-fund’s relative performance was negative. The value, quality and

momentum factors contributed negatively to relative performance and the analyst revisions factor positively. The volatility of the sub-

fund was in line with the volatility of its index, with a medium level of active risk. Sustainability, based on RobecoSAM scores, is

integrated into the investment policy of the sub-fund. The sub-fund aims to achieve a 20% higher sustainability score and a 20% lower

environmental footprint on four dimensions versus its index while excluding controversial companies.

Robeco QI Global Developed Conservative Equities 2019 turned out to be a great year for investors in global equities. Despite a long list of events causing uncertainty – such as the looming


Measured in euro terms, the MSCI World Index experienced ten positive months in 2019. Only in May and August did the heightened

trade war result in turbulent and negative markets, with low-risk stocks showing their merits by achieving a significantly lower

drawdown. However, low-risk stocks lagged the market in 2019 as the MSCI World Index in euro terms rose an impressive 30.0%. In


In terms of sector exposure, the underweight in cyclical technology and consumer stocks resulted in a lower relative return for Robeco

Conservative Equities, while the underweight in energy stocks had a positive impact on the fund’s relative return. These exposures are

the result of our bottom-up stock selection process, which prefers attractively valued low-risk stocks with a high payout yield and

positive momentum. Moreover, as growth stocks such as technology stocks outperformed the broader market and value-like energy

stocks lagged, the value factor experienced a negative year. Also, high dividend stocks in the US significantly lagged the market.

Robeco Conservative Equities is characterized by generally having lower absolute risk than its reference index while having a higher

relative risk as the strategy deviates considerably from its reference index, the MSCI AC World Index.

Robeco QI Global Developed Active Equities The investment objective of the sub-fund is to outperform its index, the MSCI World Index, with the aid of a quantitative stock selection

model. Using a combination of factors (value, quality, momentum and analyst revisions), the model identifies broad groups of stocks that

are likely to outperform in the long run. The sub-fund’s relative performance was negative. The value, quality, momentum and analyst

revisions factors delivered a negative contribution to the sub-fund’s relative performance. The volatility of the sub-fund was in line with

the volatility of its index, with a medium level of active risk. Sustainability, based on RobecoSAM scores, is integrated into the

investment policy of the sub-fund. The portfolio construction process is highly disciplined and ensures that the overall sustainability

score of the portfolio is better than or equal to the overall sustainability score of the index.

Robeco QI Customized Emerging Markets Enhanced Index Equities I The objective of the sub-fund is to outperform its indices, 80% MSCI World Index and 20% MSCI Emerging Markets Index. Using a

combination of value, quality and momentum factors, a stock selection model identifies broad groups of stocks that are likely to

outperform in the long run. The relative performance in the period under review was negative. The developed markets strategy (80% of

the sub-fund) showed negative relative performance, driven by value and quality factors. The volatility of the sub-fund was in line with

the volatility of its index, with a low level of active risk. The emerging markets strategy (20% of the sub-fund) showed negative relative

performance, mostly driven by the value factor. Sustainability is integrated in

robeco capital growth funds · robeco qi global momentum equities f gbp 25/09/2019 robeco qi global...

Documents