financial markets map an overview of the current state … markets map an overview of the current...
TRANSCRIPT
Financial Markets MapAn overview of the current state of global financial markets
1 May, 2018
Ruud van Suijdam
Robeco Investment Solutions
For professional investors
Multi-Asset Overview Source: Bloomberg
Choice of indices: p41
5.8%
5.0%
1.3%
-0.5%
1.5%
-0.8%
0.0%
2.0%
3.0%
-0.7%
1.9%
-1.0%
-0.1%
-0.7%
0.7%
4.1%
14.8%
7.3%
1.9%
0.5%
0.3%
0.3%
-0.1%
-0.3%
-0.8%
-0.8%
-1.0%
-1.4%
-1.4%
-2.7%
-2.7%
-3.2%
-10.0% -5.0% 0.0% 5.0% 10.0% 15.0%
Oil Index (USD)
GSCI Commodities (USD)
Emerging Markets (LC)
Gold (USD)
Emerging Markets (UH, EUR)
EMD local currency (UH, EUR)
Cash (EUR)
MSCI World local currency
MSCI World (UH, EUR)
Global Gov Bonds (H, EUR)
MSCI World (H, EUR)
Global inflation-linked bonds (H, EUR)
Global high yield (H, EUR)
Global investment grade bonds (H, EUR)
EMD hard currency (UH, EUR)
Global real estate (UH, EUR)
Multi-asset: April & YTD
April YTD
0.4%
5.8%
0.0%
1.3%
-0.4%
1.8%
0.0%
1.9%
-1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0%
US S&P500
EURO STOXX 50
Japan NIKKEI225
MSCI EM (local cur)
Equity markets
April YTD
2.95
0.05
0.56
1.42
0.55
0.01
0.13
0.23
0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50
US Treasuries
Japan 10YR
German Bunds
UK 10YR
Yields
April yield difference -12M
Ex. rate major currencies current level -1M YTD
EURO/US DOLLAR 1.2078 1.2300 1.8% 1.0517 -0.6%
EURO/JAPANESE YEN 132.05 130.91 -0.9% 122.97 2.4%
EURO/BRITISH POUND 0.8775 0.8774 0.0% 0.8535 1.2%
US DOLLAR/JAPANESE YEN 112.5400 106.4300 -2.7% 111.49 3.0%
US DOLLAR/BRITISH POUND 0.7393 0.7132 -1.9% 0.7722 1.9%
Robeco 2
1M Heat Map EUR (returns sorted on 1M performance)
3Robeco
Source: Bloomberg
MULTI ASSET 1mo 3mo YTD 1YR 3YR 5YR
Oil Index (USD) 5.8% 6.9% 14.8% 35.8% -11.4% -15.5%
GSCI Commodities (USD) 5.0% 3.8% 7.3% 22.1% -5.9% -10.1%
Global real estate (UH, EUR) 4.1% 0.3% -3.2% -5.4% -0.5% 4.8%
MSCI World (UH, EUR) 3.0% -2.2% -0.8% 2.0% 4.9% 11.2%
MSCI World local currency 2.0% -3.9% -0.3% 10.8% 7.4% 10.5%
MSCI World (H, EUR) 1.9% -4.4% -1.0% 8.8% 6.3% 9.6%
Emerging Markets (UH, EUR) 1.5% -3.9% 0.3% 9.7% 3.4% 6.6%
Emerging Markets (LC) 1.3% -4.6% 1.9% 20.6% 7.4% 8.5%
EMD hard currency (UH, EUR) 0.7% 0.6% -2.7% -7.7% 1.6% 4.9%
Cash (EUR) 0.0% -0.1% -0.1% -0.4% -0.3% -0.1%
Global high yield (H, EUR) -0.1% -1.8% -1.4% 0.9% 4.1% 4.2%
Gold (USD) -0.5% -1.8% 0.5% 3.3% 3.0% -2.7%
Global Gov Bonds (H, EUR) -0.7% 0.1% -0.8% -0.7% 0.5% 1.8%
Global investment grade bonds (H, EUR) -0.7% -1.9% -2.7% -0.8% 1.1% 2.0%
EMD local currency (UH, EUR) -0.8% 0.4% 0.3% -2.5% 0.7% 1.0%
Global inflation-linked bonds (H, EUR) -1.0% 0.1% -1.4% -1.6% 1.6% 1.8%
Equities: Country Indices 1mo 3mo YTD 1YR 3YR 5YR
Italy (EUR) 7.4% 2.4% 9.1% 20.0% 4.9% 11.0%
France (EUR) 7.2% 1.3% 4.5% 8.2% 6.5% 11.1%
UK (GBP) 6.8% 1.1% -0.9% 8.5% 6.6% 7.1%
India (INR) 6.6% -2.1% 3.4% 19.0% 10.7% 14.2%
Japan (JPY) 6.2% -1.9% -0.6% 19.3% 6.8% 12.1%
Eurozone (EUR) 5.8% -1.3% 1.8% 2.0% 2.0% 8.3%
Netherlands (EUR) 4.9% -0.9% 2.0% 6.6% 4.4% 9.6%
Spain (EUR) 4.7% -3.8% 0.5% -4.0% -1.1% 7.0%
Germany (EUR) 4.3% -4.4% -2.8% 1.4% 3.3% 9.8%
Australia (AUD) 3.9% 0.3% -0.2% 5.1% 5.4% 7.2%
Switzerland (CHF) 3.1% -2.1% -2.8% 4.3% 2.7% 5.7%
Korea (KRW) 3.1% -2.9% -0.4% 12.7% 6.7% 4.8%
Global equities (EUR) 3.0% -2.2% -0.8% 2.0% 4.9% 11.2%
Hong Kong (HKD) 2.5% -5.9% 3.5% 30.0% 6.9% 10.3%
Global equities (LC) 2.0% -3.9% -0.3% 10.8% 7.4% 10.5%
Emerging Markets (EUR) 1.5% -3.9% 0.3% 9.7% 3.4% 6.6%
Asia ex Japan (LC) 1.5% -4.8% 1.7% 22.4% 7.3% 9.1%
Russia (RUB) 1.4% 0.7% 9.7% 14.4% 11.0% 10.7%
Emerging Markets (LC) 1.3% -4.6% 1.9% 20.6% 7.4% 8.5%
Brazil (BRL) 0.9% 1.4% 12.7% 31.7% 15.3% 9.0%
USA (USD) 0.4% -5.8% -0.4% 13.3% 10.6% 13.0%
China (HKD) 0.0% -9.5% 1.8% 35.3% 5.0% 11.1%
Fixed Income 1mo 3mo YTD 1YR 3YR 5YR
EMD hard currency (UH, EUR) 0.7% 0.6% -2.7% -7.7% 1.6% 4.9%
High Yield US (UH, USD) 0.7% -0.8% -0.2% 3.3% 5.0% 4.8%
High Yield Europe (EUR) 0.6% -0.3% 0.2% 3.8% 4.6% 5.7%
Italy Gov Bonds (EUR) 0.1% 2.2% 2.6% 5.2% 1.7% 5.2%
Europe Senior Financials (EUR) 0.1% -0.2% -0.4% 1.6% 2.0% 3.1%
Europe Non-financials IG (EUR) 0.0% -0.1% -0.4% 1.2% 1.8% 3.0%
Investment Grade Europe (EUR) 0.0% -0.1% -0.4% 1.2% 1.8% 3.0%
Inflation-linked Europe (EUR) 0.0% 1.6% 1.1% 4.2% 1.0% 2.8%
Inflation-linked US (UH, USD) -0.1% 0.0% -0.8% 0.3% 1.0% -0.1%
Japan Gov Bonds (H, JPY) -0.1% 0.5% 0.3% 0.3% 1.9% 2.1%
Euro Covered Bonds (EUR) -0.2% 0.3% -0.3% 0.2% 0.6% 2.1%
German Gov Bonds (EUR) -0.5% 0.8% -0.2% -0.9% 0.1% 1.9%
France Gov Bonds (EUR) -0.5% 1.2% 0.3% 1.6% 0.7% 2.8%
Global Gov Bonds (H, EUR) -0.7% 0.1% -0.8% -0.7% 0.5% 1.8%
Spain Gov Bonds (EUR) -0.8% 1.7% 2.9% 4.7% 2.5% 5.7%
EMD local currency (UH, EUR) -0.8% 0.4% 0.3% -2.5% 0.7% 1.0%
Investment Grade US (UH, USD) -0.9% -2.3% -3.2% 0.7% 2.2% 2.5%
US Gov Bonds (H, EUR) -1.1% -1.3% -2.9% -3.1% -1.1% -0.1%
Return of FX versus the EUR current level 1M 3M YTD 12M
EURO/CANADIAN DOLLAR 1.55 2.1% -1.5% -2.8% -4.3%
EURO/HONG KONG DOLLAR 9.48 1.8% 2.4% -1.1% -11.8%
EURO/US DOLLAR 1.21 1.8% 2.7% -0.6% -10.9%
EURO/SOUTH KOREAN WON 1295.33 1.4% 2.5% -1.5% -4.9%
EURO/CHINA RENMINBI 7.65 1.1% 2.4% 2.0% -1.8%
EURO/SINGAPORE DOLLAR 1.60 0.7% 1.7% 0.2% -5.2%
EURO/INDONESIAN RUPIAH 16839.33 0.6% -1.2% -3.8% -15.9%
EURO/INDIAN RUPEE 80.54 0.3% -1.7% -5.2% -14.6%
EURO/BRITISH POUND 0.88 0.0% -0.3% 1.2% -4.3%
EURO/AUSTRALIAN DOLLAR 1.60 -0.1% -4.1% -4.3% -10.2%
EURO/NORWEGIAN KRONE 9.68 -0.4% -1.2% 1.7% -3.5%
EURO/JAPANESE YEN 132.05 -0.9% 2.6% 2.4% -8.7%
EURO/SWISS FRANC 1.20 -1.7% -3.5% -2.3% -10.4%
EURO/SWEDISH KRONA 10.57 -2.7% -8.0% -7.5% -9.5%
EURO/BRAZIL REAL 4.23 -4.1% -7.0% -6.4% -24.5%
EURO/RUSSIAN RUBLE 76.07 -7.9% -9.1% -9.8% -22.6%
1M Heat Map USD (returns sorted on 1M performance)
4Robeco
Source: Bloomberg
Return of FX versus the USD current level 1M 3M YTD 12M
US DOLLAR/CANADIAN DOLLAR 1.28 0.3% -4.3% -2.2% 5.9%
US DOLLAR/HONG KONG DOLLAR 7.85 0.0% -0.3% -0.4% -0.9%
US DOLLAR/SOUTH KOREAN WON 1068.05 -0.2% 0.0% -0.1% 6.1%
US DOLLAR/CHINA RENMINBI 6.33 -0.7% -0.7% 2.7% 8.1%
US DOLLAR/INDONESIAN RUPIAH 13913.00 -1.1% -3.9% -2.6% -4.4%
US DOLLAR/SINGAPORE DOLLAR 1.33 -1.1% -1.1% 0.8% 5.1%
US DOLLAR/EURO 0.83 -1.8% -2.8% 0.6% 9.8%
US DOLLAR/BRITISH POUND 0.73 -1.9% -3.1% 1.9% 5.9%
US DOLLAR/AUSTRALIAN DOLLAR 1.33 -2.0% -7.0% -3.7% 0.5%
US DOLLAR/NORWEGIAN KRONE 8.02 -2.2% -4.0% 2.3% 6.6%
US DOLLAR/INDIAN RUPEE 66.66 -2.3% -4.8% -4.4% -3.8%
US DOLLAR/JAPANESE YEN 109.34 -2.7% -0.1% 3.0% 1.9%
US DOLLAR/SWISS FRANC 0.99 -3.6% -6.4% -1.7% 0.4%
US DOLLAR/SWEDISH KRONA 8.75 -4.6% -11.0% -6.9% 1.2%
US DOLLAR/BRAZIL REAL 3.51 -6.0% -10.0% -5.9% -10.4%
US DOLLAR/RUSSIAN RUBLE 62.98 -9.9% -12.1% -9.2% -10.6%
MULTI ASSET 1mo 3mo YTD 1YR 3YR 5YR
Oil Index (USD) 5.8% 6.9% 14.8% 35.8% -11.4% -15.5%
GSCI Commodities (USD) 5.0% 3.8% 7.3% 22.1% -5.9% -10.1%
GSCI Industrial metals (USD) 4.3% -3.3% -3.2% 18.1% 2.7% 0.3%
GSCI Agriculture (USD) 2.3% 0.7% 1.4% -5.1% -6.3% -8.2%
Global equities (LC) 2.0% -3.9% -0.3% 10.8% 7.4% 10.5%
Global real estate (USD) 2.0% -2.6% -2.6% 5.7% 4.1% 4.5%
Global equities (USD) 1.2% -5.2% -0.1% 13.2% 7.5% 9.3%
Cash (USD) 0.1% 0.4% 0.5% 1.1% 0.6% 0.4%
Global high yield (UH, USD) 0.1% -1.1% -0.6% 3.2% 5.8% 5.4%
Emerging Markets (USD) -0.3% -6.8% 1.0% 21.7% 6.0% 4.7%
Global Gov Bonds (H, USD) -0.4% 0.8% 0.0% 1.4% 2.0% 2.7%
Gold (USD) -0.5% -1.8% 0.5% 3.3% 3.0% -2.7%
Global investment grade bonds (UH, USD) -0.5% -1.2% -1.9% 1.5% 2.7% 3.0%
Global inflation-linked bonds (UH, USD) -0.7% 0.8% -0.6% 0.5% 3.1% 2.8%
EMD hard currency (UH, USD) -1.1% -2.5% -2.1% 2.5% 4.2% 3.1%
EMD local currency (UH, USD) -2.5% -2.7% 0.9% 8.2% 3.2% -0.7%
Equities: Country Indices 1mo 3mo YTD 1YR 3YR 5YR
Italy (EUR) 7.4% 2.4% 9.1% 20.0% 4.9% 11.0%
France (EUR) 7.2% 1.3% 4.5% 8.2% 6.5% 11.1%
UK (GBP) 6.8% 1.1% -0.9% 8.5% 6.6% 7.1%
India (INR) 6.6% -2.1% 3.4% 19.0% 10.7% 14.2%
Japan (JPY) 6.2% -1.9% -0.6% 19.3% 6.8% 12.1%
Eurozone (EUR) 5.8% -1.3% 1.8% 2.0% 2.0% 8.3%
Netherlands (EUR) 4.9% -0.9% 2.0% 6.6% 4.4% 9.6%
Spain (EUR) 4.7% -3.8% 0.5% -4.0% -1.1% 7.0%
Germany (EUR) 4.3% -4.4% -2.8% 1.4% 3.3% 9.8%
Australia (AUD) 3.9% 0.3% -0.2% 5.1% 5.4% 7.2%
Switzerland (CHF) 3.1% -2.1% -2.8% 4.3% 2.7% 5.7%
Korea (KRW) 3.1% -2.9% -0.4% 12.7% 6.7% 4.8%
Hong Kong (HKD) 2.4% -6.3% 3.0% 25.2% 3.1% 6.3%
MSCI World (LC) 2.0% -3.9% -0.3% 10.8% 7.4% 10.5%
Russia (RUB) 1.4% 0.7% 9.7% 14.4% 11.0% 10.7%
Emerging Markets (LC) 1.3% -4.6% 1.9% 20.6% 7.4% 8.5%
MSCI World (USD) 1.2% -5.2% -0.1% 13.2% 7.5% 9.3%
Brazil (BRL) 0.9% 1.4% 12.7% 33.7% 15.3% 9.0%
Asia ex Japan (USD) 0.9% -5.7% 1.4% 24.0% 7.0% 8.0%
USA (USD) 0.4% -5.8% -0.4% 13.3% 10.6% 13.0%
China (HKD) -0.1% -9.2% 2.2% 33.8% 3.1% 8.5%
Emerging Markets (USD) -0.3% -6.8% 1.0% 21.7% 6.0% 4.7%
Fixed Income 1mo 3mo YTD 1YR 3YR 5YR
High Yield Europe (H, USD) 0.8% 0.4% 0.8% 6.1% 6.2% 6.8%
High Yield US (USD) 0.7% -0.8% 0.7% 3.3% 5.0% 4.8%
Investment Grade Europe (H, USD) 0.3% 0.6% 0.3% 3.5% 3.3% 3.9%
Inflation-linked Europe (H, USD) 0.2% 2.3% 0.2% 6.5% 2.5% 3.7%
Japan Gov Bonds (H, USD) 0.0% 1.5% 0.0% 2.9% 4.8% 4.6%
Inflation-linked US (USD) -0.1% 0.0% -0.1% 0.3% 1.0% -0.1%
Global Gov Bonds (H, USD) -0.4% 0.8% -0.4% 1.4% 2.0% 2.7%
US aggregate bonds (USD) -0.7% -1.1% -0.7% -0.3% 1.1% 1.5%
US Governemnt bonds (USD) -0.8% -0.6% -0.8% -1.1% 0.3% 0.7%
US Corporate (USD) -0.9% -2.3% -0.9% 0.7% 2.2% 2.5%
EMD hard currency (UH, USD) -1.1% -2.5% -1.1% 2.5% 4.2% 3.1%
Global Gov Bonds (UH, USD) -1.8% -1.0% -1.8% 4.3% 2.3% 0.8%
EMD local currency (UH, USD) -2.5% -2.7% -2.5% 8.2% 3.2% -0.7%
Multi-Asset 5-year Rolling Performance
5Robeco
Source: Bloomberg
Choice of indices: p41
25.0
50.0
75.0
100.0
125.0
150.0
175.0
200.0
May
/13
No
v/1
3
May
/14
No
v/1
4
May
/15
No
v/1
5
May
/16
No
v/1
6
May
/17
No
v/1
7
MSCI World MSCI Emerging Markets German BundsU.S. Treasuries Investment grade bonds High Yield bondsEmerging Debt Commodities
Multi-Asset Yields
6Robeco
• S&P500 / EURO STOXX 50: sum of gross dividends that have gone ex-dividend over the prior 12 months, divided by the index level.
• MSCI Asia ex-Japan / Real estate US: same definition, but instead of the index level, we use a representative Exchange Traded Fund (ETF).
• Euro Cash: 3M Euribor. German Gov 2yr & 10yr: generic Bloomberg yield.
• Emerging debt (hard & local currency): JP Morgan EM Debt Indices.
• High yield, credit and covered bonds: Yield to worst as calculated by Barclays Capital.
Source: Bloomberg
2.0%
3.3%
2.0%
4.1%
-0.3% -0.6%
0.6%
3.0%
6.1%6.1%5.8%6.3%
3.6%3.0%
3.9%4.0%3.8%
0.9%0.9%0.9%0.3%
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
7%
S&P
500
EURO
STOXX
50
MSC
I Asia e
x Japan
Glo
bal R
eal Esta
te
EuroC
ash 3M
Germ
an G
ov 2
yr
Germ
an G
ov 1
0yr
US G
ov bo
nds 1
0yr
Emerg
ing de
bt (hard
ccy)
Emerg
ing de
bt (local ccy)
Glo
bal H
igh Y
ield
US H
igh Yield
Europ
e High
Yield
Glo
bal IG
Credit
US IG
Credit
US IG
Indu
strials
US IG
Finan
cials
Europ
e IG Cre
dit
EUR IG
ex Fina
ncials
EUR IG
Finan
cials
Eur Covered
Bon
ds
Multi-asset yields
Current -1Y
Multi-Asset 5-year Rolling Yields
7Robeco
Source: Bloomberg
Choice of indices: p41
*In comparison with slide 5, we use the dividend yield of the EURO STOXX 50 and S&P 500 instead of MSCI dividends, because of data availability.
-1.0
1.0
3.0
5.0
7.0
9.0
May
/13
No
v/1
3
May
/14
No
v/1
4
May
/15
No
v/1
5
May
/16
No
v/1
6
May
/17
No
v/1
7
Multi Asset yields
EuroStoxx 50 S&P500 German Bunds US Treasuries Investment grade bonds High yield bonds Emerging Debt
Equity & Bond Market Volatility
8Robeco
Source: Bloomberg
0.0
5.0
10.0
15.0
20.0
25.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
3M realized equity market volatility
SPX Index EuroStoxx 50 MSCI EM MSCI AC World
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
3M implied equity market volatility
SPX Index EuroStoxx 50
40
60
80
100
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
3M implied bond market volatility
Europe US
25
45
65
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
3M realized bond market volatility
Europe US
Equities
9Robeco
Country Equity Indices (local currency)
10Robeco
Source: Bloomberg
TR Indices in local ccy
7.4%
7.2%
6.8%
6.6%
6.2%
5.8%
4.9%
4.7%
4.3%
3.9%
3.1%
3.1%
3.0%
2.5%
2.0%
1.5%
1.5%
1.4%
1.3%
0.9%
0.4%
0.0%
-1% 0% 1% 2% 3% 4% 5% 6% 7% 8%
Italy (EUR)
France (EUR)
UK (GBP)
India (INR)
Japan (JPY)
Eurozone (EUR)
Netherlands (EUR)
Spain (EUR)
Germany (EUR)
Australia (AUD)
Switzerland (CHF)
Korea (KRW)
Global equities (EUR)
Hong Kong (HKD)
Global equities (LC)
Emerging Markets (EUR)
Asia ex Japan (LC)
Russia (RUB)
Emerging Markets (LC)
Brazil (BRL)
USA (USD)
China (HKD)
Equity markets (in local currency)
April
The equity markets were in risk-on mode in April. Hence, all the equity markets
–except China – showed positive returns, especially in Europe. Japan also gained
ground (6.2%), but the rise in the US market was much less pronounced at just
0.4%. Developed markets outperformed emerging markets, and the difference in
local currencies was almost 2.0%.
Index 1M 3M ytd 1YR 3YR 5YR
Brazil BOVESPA 0.9% 1.4% 12.7% 31.7% 15.3% 9.0%
Italy SPMIB 7.4% 2.4% 10.4% 20.0% 4.9% 11.0%
MOEX Russia index 1.4% 0.7% 9.4% 14.4% 11.0% 10.7%
France CAC40 7.2% 1.3% 4.5% 8.2% 6.5% 11.1%
Hang Seng Index 2.5% -5.9% 3.5% 30.0% 6.9% 10.3%
India SENSEX 6.6% -2.1% 3.4% 19.0% 10.7% 14.2%
NL AEX 4.9% -0.9% 2.0% 6.6% 4.4% 9.6%
MSCI EM (local cur) 1.3% -4.6% 1.9% 20.6% 7.4% 8.5%
MSCI China (USD) 0.0% -9.5% 1.8% 35.3% 5.0% 11.1%
EURO STOXX 50 5.8% -1.3% 1.8% 2.0% 2.0% 8.3%
MSCI Asia Pac ex Japan 1.5% -4.8% 1.7% 22.4% 7.3% 9.1%
Spain IBEX 4.7% -3.8% 0.5% -4.0% -1.1% 7.0%
MSCI EM (in EUR) 1.5% -3.9% 0.3% 9.7% 3.4% 6.6%
Australia AS51 3.9% 0.3% -0.2% 5.1% 5.4% 7.2%
MSCI World (dev. in LC) 2.0% -3.9% -0.3% 10.8% 7.4% 10.5%
Korea KOSPI 3.1% -2.9% -0.4% 12.7% 6.7% 4.8%
US S&P500 0.4% -5.8% -0.4% 13.3% 10.6% 13.0%
Japan NIKKEI225 6.2% -1.9% -0.5% 19.3% 6.8% 12.1%
MSCI World (dev. in EUR) 3.0% -2.2% -0.8% 2.0% 4.9% 11.2%
UK FTSE100 6.8% 1.1% -0.9% 8.5% 6.6% 7.1%
Germany DAX 4.3% -4.4% -2.4% 1.4% 3.3% 9.8%
Swiss SMI 3.1% -2.1% -2.6% 4.3% 2.7% 5.7%
Global Sector Indices (local currency)
11Robeco
Source: Bloomberg
TR Indices in local ccy
10.0%
3.4%
3.4%
3.3%
3.0%
1.8%
1.7%
0.5%
0.4%
-0.9%
-6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14%
Energy
Consumer Discretionary
Telecom
Utilities
Materials
Financials
Health Care
Info Tech
Industrials
Staples
Equity sectors : April
Global US Europe EM
Global Sectors 1M 3M ytd 1YR 3YR 5YR
Consumer Discretionary 3.4% -2.5% 3.9% 14.5% 9.0% 13.3%
Energy 10.0% 2.3% 3.5% 13.6% 1.0% 2.2%
Information Technology 0.5% -3.5% 3.3% 23.5% 16.9% 19.0%
Utilities 3.3% 3.1% 0.6% 4.1% 5.3% 6.4%
MSCI World (LC) 2.0% -3.9% -0.3% 10.8% 7.4% 10.5%
Health Care 1.7% -4.5% -0.4% 6.4% 3.2% 10.8%
Financials 1.8% -5.0% -0.9% 11.9% 8.4% 10.6%
Industrial 0.4% -6.3% -2.7% 8.3% 8.5% 11.6%
Materials 3.0% -5.3% -3.0% 11.8% 6.8% 7.9%
Telecomm Services Sector 3.4% -3.8% -4.4% -1.2% 0.6% 5.9%
Consumer Staples -0.9% -7.2% -7.4% -2.7% 4.5% 6.8%
90.0
100.0
110.0
120.0
130.0
140.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Global Sector Performance (MSCI TR in local currency)
Staples Telecom Health Care Materials IT
Utilities Industrials Cons. Discr. Energy Financials
Global Factor Indices (USD)
12Robeco
Source: Bloomberg
Global Factors 1M 3M ytd 1YR 3YR 5YR
MSCI World Momentum (USD) 1.1% -3.9% 3.9% 24.4% 12.5% 12.6%
MSCI World Growth (USD) 1.1% -4.4% 1.6% 16.9% 9.1% 11.0%
MSCI World Small caps (USD) 1.0% -3.1% 0.4% 14.7% 9.5% 10.8%
FTSE RAFI World (USD) 1.9% -4.8% 0.2% 14.6% 7.4% 9.1%
MSCI World (USD) 1.2% -5.2% -0.1% 13.2% 7.5% 9.3%
MSCI World Quality (USD) -0.4% -5.3% -0.4% 14.0% 9.5% 11.2%
MSCI World MinVol (USD) 0.1% -4.1% -1.2% 8.7% 7.7% 8.3%
MSCI World Value (USD) 1.4% -5.9% -1.9% 9.6% 5.9% 7.6%
MSCI World High Div. (USD) 0.8% -5.9% -2.4% 8.1% 5.5% 6.1%
1.9%
1.4%
1.2%
1.1%
1.1%
1.0%
0.8%0.1%
-3% -2% -1% 0% 1% 2% 3% 4% 5%
FTSE RAFI World (USD)
MSCI World Value (USD)
MSCI World (USD)
MSCI World Momentum (USD)
MSCI World Growth (USD)
MSCI World Small caps (USD)
MSCI World High Div. (USD)
MSCI World MinVol (USD)
Factor Strategies: Global
April YTD
All Factor and Systematic strategies rose in April. On a global level, the RAFI-
strategy and Value outperformed the broad MSCI World Index. Year to date,
Momentum is the best performing strategy (+3.9%). The outperformance of
European stock is also visible in the regional factor strategies overview, but the
preferred strategies are clearly different from the US ones.
90.0
100.0
110.0
120.0
130.0
140.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Global Factor Performance (TR)
MSCI World MinVol MSCI World Small caps MSCI World ValueMSCI World Momentum MSCI World Growth MSCI World High Div.FTSE RAFI World
13Robeco
Regional Factor Indices Source: Bloomberg
0.9%
0.8%
0.4%
0.4%
0.3%
0.3%
0.0%
-0.1%
-0.9%
-4% -3% -2% -1% 0% 1% 2% 3%
US Small Cap
RAFI US 1000 TR
US Large Cap
S&P 500
US Growth
US Value
MSCI US min. volatility
MSCI US momentum
High Dividend
Factor Strategies: US
April YTD
6.5%
5.8%
5.7%
5.2%
5.0%
4.7%
4.6%
3.7%
2.5%
0% 1% 2% 3% 4% 5% 6% 7%
High Dividend Europe
Europe Large Cap
RAFI Europe
Europe Value
Europe Growth
MSCI Barra Europe Momentum
MSCI Europe
MSCI Europe min. Volatility
Europe Small Cap
Factor Strategies: Europe
April YTD
US factors 1M 3M ytd 1YR 3YR 5YR
US Growth 0.3% -5.0% 1.8% 19.0% 12.8% 15.1%
US Small Cap 0.9% -1.8% 0.8% 11.5% 9.6% 11.7%
MSCI US momentum -0.1% -5.9% 0.0% 16.3% 12.4% 14.4%
S&P 500 0.4% -5.8% -0.4% 13.3% 10.6% 13.0%
MSCI US min. volatility 0.0% -4.5% -1.2% 9.0% 9.9% 10.8%
US Large Cap 0.4% -6.9% -1.4% 11.7% 9.9% 11.8%
RAFI US 1000 TR 0.8% -5.8% -1.6% 10.7% 8.9% 11.8%
US Value 0.3% -6.1% -2.5% 7.5% 7.7% 10.5%
High Dividend (US) -0.9% -6.7% -3.1% 10.6% 10.1% 12.1%
Europe factors 1M 3M ytd 1YR 3YR 5YR
MSCI Barra Europe Momentum 4.7% -0.8% 2.9% 8.5% 7.7% 13.7%
High Dividend Europe 6.5% 0.2% 2.7% 5.1% 6.3% 11.4%
Europe Growth 5.0% -1.0% 1.9% 3.2% 3.5% 8.2%
Europe Large Cap 5.8% -1.3% 1.8% 2.0% 2.0% 8.3%
RAFI Europe 5.7% -0.5% 1.6% 6.2% 2.8% 9.6%
Europe Value 5.2% -2.4% 1.4% 3.4% 1.9% 9.4%
MSCI Europe min. Volatility 3.7% 0.1% 0.3% 1.8% 2.0% 8.5%
MSCI Europe 4.6% -1.5% 0.1% 2.4% 1.7% 7.9%
Europe Small Cap 2.5% -3.1% 0.1% 8.2% 5.9% 10.8%
Global Thematic Indices (in EUR)
14Robeco
Source: Bloomberg
Choice of indices: p41
Global themes 1M 3M ytd 1YR 3YR 5YR
Natural resources 6.9% 1.2% 2.6% 11.5% 4.3% 5.6%
Frontier Markets -3.0% -3.7% 1.8% 21.8% 5.4% 7.2%
African equities 2.8% 1.1% 1.3% 6.6% -5.4% -2.0%
DJ Sustainability 3.5% -2.5% -0.2% 4.1% 5.0% 10.2%
MSCI World (in EUR) 3.0% -2.2% -0.8% 2.0% 4.9% 11.2%
DAX Global Agribusiness 3.0% -0.9% -2.4% -8.7% -3.5% -0.2%
Property 4.1% 0.3% -3.2% -5.4% -0.5% 4.8%
Infrastructure 4.3% -1.5% -4.0% -5.4% 0.3% 7.4%
Alternative energy 0.6% -2.8% -4.0% 4.2% 2.1% 6.9%
Water 2.3% -1.5% -4.3% -1.9% 4.7% 11.1%
EM Infrastructure 0.9% -5.0% -4.6% -6.9% -4.3% 2.7%
6.9%
4.3%
4.1%
3.5%
3.0%
3.0%
2.8%
2.3%
0.9%
0.6%
-3.0%
-6% -4% -2% 0% 2% 4% 6% 8% 10%
Natural resources (EUR)
Infrastructure (EUR)
Property (EUR)
DJ Sustainability (EUR)
Global equities (in EUR)
Global Agribusiness (EUR)
African equities (EUR)
Water (EUR)
EM Infrastructure (EUR)
Alternative energy (EUR)
Frontier Markets (USD)
Equity themes: April and YTD
April YTD
As oil prices have risen by almost 15% this year, it isn't surprising that natural
resources is the best-performing theme in 2018 so far. This theme added 6.9% in
April and one of several themes – except frontier markets (-3.0%) – to show
positive returns during the month. Infrastructure was up 4.3%, despite a negative
performance of 4.0% year to date.
Dividend yield:
The sum of gross dividend per share amounts that have gone ex-dividend over the prior 12 months, divided by the current stock price. Gross and Net Dividend amounts are assumed to be the same when only one is reported. All Cash Dividend Types are included in this yield calculation.
Price earnings yield:
Price divided by Index Estimated Earnings Next Year (Bloomberg calculations), based on the Bloomberg Estimated Earnings Per Share (EPS Adjusted) estimated returns Earnings Per Share from Continuing Operations, which may exclude the effects of one-time and extraordinary gains/losses.
15Robeco
Equity Market Valuations Source: Bloomberg
0
1
2
3
4
5
6
7
8
9
May-0
8
No
v-08
May-0
9
No
v-09
May-10
No
v-10
May-11
No
v-11
May-12
No
v-12
May-13
No
v-13
May-14
No
v-14
May-15
No
v-15
May-16
No
v-16
May-17
No
v-17
Dividend yield
EURO STOXX 50 Dividend Yield US S&P 500 dividend yield
6.00
8.00
10.00
12.00
14.00
16.00
18.00
20.00
May-0
8
No
v-08
May-0
9
No
v-09
May-10
No
v-10
May-11
No
v-11
May-12
No
v-12
May-13
No
v-13
May-14
No
v-14
May-15
No
v-15
May-16
No
v-16
May-17
No
v-17
Equity market valuations
EURO STOXX 50 P/E US S&P500 P/E
Fixed Income
16Robeco
Fixed Income Indices: Performance (hedged to EUR, unless stated otherwise)
17Robeco
Source: Bloomberg
TR Indices
0.7%
0.7%
0.6%
0.1%
0.1%
0.0%
0.0%
0.0%
-0.1%
-0.1%
-0.2%
-0.5%
-0.5%
-0.7%
-0.8%
-0.8%
-0.9%
-1.1%
-2% -1% -1% 0% 1% 1%
EMD hard currency (UH, EUR)
High Yield US (UH, USD)
High Yield Europe (EUR)
Italy Gov Bonds (EUR)
Europe Senior Financials (EUR)
Europe Non-financials IG (EUR)
Investment Grade Europe (EUR)
Inflation-linked Europe (EUR)
Inflation-linked US (UH, USD)
Japan Gov Bonds (H, JPY)
Euro Covered Bonds (EUR)
German Gov Bonds (EUR)
France Gov Bonds (EUR)
Global Gov Bonds (H, EUR)
Spain Gov Bonds (EUR)
EMD local currency (UH, EUR)
Investment Grade US (UH, USD)
US Gov Bonds (H, EUR)
Fixed income styles: April
The fixed income category showed mostly negative performances last month.
Sovereign bond yields rose, leading most government bond categories to decline.
US Treasuries was the worst-performing bond category (-1.1%), with German Bunds
declining -0.5%. EMD (hard currency) and High Yield bonds rose.
2.9%
2.6%
1.1%
0.3%
0.3%
0.3%
0.2%
-0.2%
-0.2%
-0.3%
-0.4%
-0.4%
-0.4%
-0.8%
-0.8%
-2.7%
-2.9%
-3.2%
-4% -3% -2% -1% 0% 1% 2% 3% 4%
Spain Gov Bonds (EUR)
Italy Gov Bonds (EUR)
Inflation-linked Europe (EUR)
France Gov Bonds (EUR)
Japan Gov Bonds (H, JPY)
EMD local currency (UH, EUR)
High Yield Europe (EUR)
High Yield US (UH, USD)
German Gov Bonds (EUR)
Euro Covered Bonds (EUR)
Europe Non-financials IG (EUR)
Investment Grade Europe (EUR)
Europe Senior Financials (EUR)
Global Gov Bonds (H, EUR)
Inflation-linked US (UH, USD)
EMD hard currency (UH, EUR)
US Gov Bonds (H, EUR)
Investment Grade US (UH, USD)
Fixed income styles: YTD
The bond categories have shown a mixed performance year to date. Spanish and
Italian government bonds have risen 2.9% and 2.6% respectively and Japanese
government bonds have also turned in a positive performance, albeit slight. Yet
German Bunds have declined somewhat and, as a result of rising yields, US
Treasuries have fallen 2.9%.
18Robeco
European Fixed Income Overview Source: Bloomberg
• Index yields & spreads: Barclays Capital Indices (using the market-cap yield methodology). • 10y yields using the Bloomberg Fair Value methodology.
European Government Bond Indices
Treasury Index Index yield 10y
yield
10y Spread vs Germany
Index yield -12M
10y yield -12M
10y Spread vs Germany
-12M
Index duration
1M return YTD return 1YR return 3YR return
Euro Treasury 0.6% 0.6% 7.61 -0.4% 1.0% 2.2% 1.1%
Germany 0.2% 0.6% 0.1% 0.3% 7.43 -0.5% -0.2% -0.9% 0.1%
Finland 0.2% 0.7% 15 0.1% 0.5% 19 6.87 -0.4% -0.3% -0.4% 0.4%
Netherlands 0.3% 0.7% 7 0.2% 0.4% 12 7.97 -0.5% -0.1% -0.5% 0.3%
Austria 0.4% 0.7% 16 0.3% 0.6% 27 8.88 -0.5% -0.4% -0.1% 0.3%
Belgium 0.6% 0.8% 17 0.5% 0.6% 32 9.37 -0.5% -0.1% 1.1% 0.7%
France 0.4% 0.7% 14 0.3% 0.8% 43 8.09 -0.5% 0.3% 1.6% 0.7%
Ireland 0.4% 0.9% 34 0.3% 0.9% 62 6.93 -0.4% 0.1% 1.4% 1.2%
Italy 1.1% 1.8% 122 1.2% 2.2% 191 6.81 0.1% 2.6% 5.2% 1.7%
Spain 0.8% 1.3% 68 0.9% 1.6% 132 7.52 -0.8% 2.9% 4.7% 2.5%
European Corporate Bond Indices
IndexIndex yield
Spread Index yield
-12MSpread
-12MIndex
duration1M return YTD return 1YR return 3YR return
Euro Corporate 0.9% 92 0.9% 111 5.24 0.0% -0.4% 1.2% 1.8%
Euro Corp ex-fin 0.9% 85 0.2% 102 5.58 0.0% -0.3% 1.0% 1.6%
Euro Financials 0.9% 101 0.5% 123 4.75 0.1% -0.4% 1.6% 2.0%
Euro Covered Bonds 0.3% 41 0.2% 57 4.78 -0.2% -0.3% 0.2% 0.6%
Euro Senior Banks 0.6% 78 0.5% 95 4.43 0.0% -0.3% 0.9% 1.4%
Euro LT2 Banks 1.2% 135 1.3% 161 4.40 0.1% -0.4% 2.4% 3.0%
Euro Tier 1 Banks 0.0% 0 0.5% 130 - 0.0% 0.0% 0.3% 1.7%
Euro High Yield 3.6% 310 3.7% 328 4.36 0.6% 0.2% 3.8% 4.6%
19Robeco
EMD & Non- Eurozone Gov Debt Overview Source: Bloomberg
• Index yields & spreads: JP Morgan (using the market-cap*duration yield methodology). • 10y yields using Bloomberg generic 10y bonds.
Emerging Markets Debt
Country weight in
index*S&P Moody's
index yield in hard currency
index yield in local currency
Index duration
1M return local rates
1M return FXYTD return local rates
YTD return FX1YR return local rates
1YR return FX
IDR Indonesia 9% BBB- STABLE Baa2 STABLE 4.8% 7.0% 6.31 -1.3% 1.1% 10.6% -4.2% 7.0% -4.2%
MYR Malaysia 6% A STABLE A3 STABLE 4.1% 4.2% 5.05 -1.0% -1.6% -0.8% 10.6% 4.2% 10.6%
THB Thailand 8% A- STABLE Baa1 STABLE 0.0% 2.4% 5.73 -0.2% -1.2% 6.8% 9.4% 2.4% 9.4%
HUF Hungary 5% BBB- POS Baa3 STABLE 3.4% 1.6% 4.18 -0.3% -2.5% 13.2% 9.8% 1.6% 9.8%
PLN Poland 9% A- POS A2 STABLE 3.4% 2.5% 4.14 0.1% -3.0% 5.4% 9.8% 2.5% 9.8%
RUB Russia 7% BBB Ba1 5.0% 7.1% 5.02 -1.4% -9.0% 0.9% -9.7% 7.1% -9.7%
TRY Turkey 7% BB+u NEG Ba2 STABLE 6.1% 12.8% 3.40 0.1% -2.8% -9.5% -13.1% 12.8% -13.1%
BRL Brazil 10% BB- STABLE Ba2 5.4% 8.3% 3.00 -0.2% -5.5% 12.1% -9.4% 8.3% -9.4%
MXN Mexico 10% A- STABLE A3 STABLE 5.6% 7.5% 5.30 -0.6% -3.0% -5.4% -0.3% 7.5% -0.3%
ZAR South Africa 9% BB+ STABLE Baa3 5.5% 8.8% 7.66 -1.6% -5.6% -3.9% 6.8% 8.8% 6.8%
0 Other 22%
EMD Indices Index yield Index duration 1M Index return YTD index return 1 YR return
6.1% 4.58 -2.9% 1.4% 8.4%
6.1% -1.5% -3.2% 1.3%
Non-Eurozone Government Bonds
Country S&P Moody'sunhedged 10yr rate
3m FX forward
FX spotAnnualized 3M
fwd-spothedged 10yr
rate 1M return
EUR hedgedYTD return
EUR hedged1yr return
EUR hedged
JPY JAPAN A+u POS A1 STABLE 0.0% 131.9710 131.9700 0.00% 0.0% -0.1% 0.3% 0.3%
CHF SWITZERLAND AAAu STABLE Aaa STABLE -0.1% 1.1951 1.1963 0.40% 0.3% -0.4% -0.5% -0.5%
CAD CANADA AAA STABLE Aaa STABLE 1.9% 1.5563 1.5485 -2.02% -0.1% -1.1% -3.8% -3.8%
SEK SWEDEN AAAu STABLE Aaa STABLE 0.7% 10.6472 10.6481 0.03% 0.8% 0.0% 1.0% 1.0%
AUD AUSTRALIA AAAu NEG Aaa STABLE 2.5% 1.6136 1.6029 -2.68% -0.2% -0.8% -0.6% -0.6%
DKK DENMARK AAA STABLE Aaa STABLE 0.4% 7.4495 7.4503 0.04% 0.5% -0.2% 0.3% 0.3%
GBP BRITAIN AAu NEG Aa2 STABLE 1.3% 0.8794 0.8771 -1.06% 0.3% -1.1% -1.8% -1.8%
USD UNITED STATES AA+u STABLE Aaa STABLE 2.4% 1.2137 1.2051 -2.87% -0.5% -1.1% -3.1% -3.1%
EMD Indices Index yield Index duration 1M return EUR hedged YTD return EUR hedged 1yr return EUR hedged
1.6% 7.95 -0.7% -0.8% -0.7%
*JPM GBI-EM Global Diversified Index (EMD Local Currency)
JPM EMBI Global Diversified Index (EMD Hard Currency)
JPM Global Government Bond Index hedged to EUR
Bond Market: G3 Government Bonds
20Robeco
Source: Bloomberg
TR Indices
93.0
94.0
95.0
96.0
97.0
98.0
99.0
100.0
101.0
102.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
G3 Government Bonds (TR, hedged EUR)
US Germany Japan
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Apr/
17
Jul/
17
Oct
/17
Jan/
18
Apr/
18
2Y Yields
US Germany Japan
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Apr/
17
Jul/
17
Oct
/17
Jan/
18
Apr/
18
10Y Yields
US Germany Japan
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
30Y Yields
US Germany Japan
Total return ( annualized for 3 yr) Yields
name 1M 3M ytd 1YR 3YR Current yield -1M -12M
JPM Global Gov Bonds -0.7% 0.1% -0.8% -0.7% 0.5% 1.58% 1.48% 1.46%
US Treasuries -1.1% -1.3% -2.9% -3.1% -1.1% 2.95% 2.74% 2.41%
JGB Bonds -0.1% 0.5% 0.3% 0.3% 1.9% 0.05% 0.04% 0.04%
German Bunds -0.5% 0.8% -0.2% -0.9% 0.1% 0.56% 0.50% 0.43%
Bond Market: Eurozone Government Bonds
21Robeco
Source: Bloomberg
TR Indices
Total return ( annualized for 3 yr)
name 1M 3M ytd 1YR 3YR Spread (yield) -1M -12M
German Gov -0.5% 0.8% -0.2% -0.9% 0.1% 0 (0.6%) 0 (0.5%) 0 (0.4%)
France Gov -0.5% 1.2% 0.3% 1.6% 0.7% 23 (0.8%) 22 (0.7%) 35 (0.8%)
Belgium Gov -0.5% 1.1% -0.1% 1.1% 0.7% 25 (0.8%) 26 (0.8%) 20 (0.6%)
NL Gov -0.5% 0.9% -0.1% -0.5% 0.3% 13 (0.7%) 14 (0.6%) 10 (0.5%)
Finland Gov -0.4% 0.8% -0.3% -0.4% 0.4% 10 (0.7%) 10 (0.6%) 16 (0.6%)
Austria Gov -0.5% 1.0% -0.4% -0.1% 0.3% 18 (0.7%) 20 (0.7%) 14 (0.6%)
Italy Gov 0.1% 2.2% 2.6% 5.2% 1.7% 122 (1.8%) 129 (1.8%) 158 (2.0%)
Spain Gov -0.8% 1.7% 2.9% 4.7% 2.5% 72 (1.3%) 66 (1.2%) 113 (1.6%)
Spreads in bp over German yields (and
yields in %)
95.0
97.0
99.0
101.0
103.0
105.0
107.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
Euro Gov Bond Indices Total Return
Germany France Netherlands Italy Spain
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
Core Eurozone: 10Y yields
GERMANY FRANCE NETHERLANDS
BELGIUM AUSTRIA FINLAND
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
Peripheral Eurozone: 10Y yields
ITALY SPAIN PORTUGAL
Bond Market: Non-Eurozone Goverment Bonds
22Robeco
Source: Bloomberg
TR Hedged to EUR
Yield in local currency
Total return ( annualized for 3 yr, hedged to EUR) Unhedged 10y Yield in%
1M 3M ytd 1YR 3YR Current -1M -12M
United States -1.1% -1.3% -2.9% -3.1% -1.1% 2.95% 2.74% 2.41%
Japan -0.1% 0.5% 0.3% 0.3% 1.9% 0.05% 0.04% 0.04%
Australia -0.8% 0.2% -0.4% -0.8% -0.2% 2.77% 2.60% 2.63%
Canada -1.0% -0.1% -1.1% -3.7% -1.1% 2.30% 2.09% 2.04%
Switzerland -0.4% 0.0% -0.5% -0.5% 0.3% 0.06% 0.00% -0.18%
Sweden 0.0% 1.3% 0.4% 0.9% 0.8% 0.71% 0.68% 0.77%
Denmark -0.2% 0.9% -0.3% 0.3% 0.6% 0.56% 0.53% 0.47%
Norway 0.1% -0.4% -1.2% -1.1% -0.3% 1.85% 1.84% 1.58%
96.0
97.0
98.0
99.0
100.0
101.0
102.0
103.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
Non Euro Gov Bond Indices (TR, hedged EUR)
SWITZERLAND SWEDEN DENMARK
-0.4
0.0
0.4
0.8
1.2
1.6
2.0
2.4
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
European non-eurozone: 10Y yields
SWITZERLAND SWEDEN DENMARK NORWAY BRITAIN
Bond Market: Inflation-linked Market
23Robeco
Source: Bloomberg
TR Indices
Europe end of month -1M -3M -12M
10yr 30-04-18 29-03-18 31-01-18 28-04-17
swap rate 0.99% 0.96% 1.07% 0.79%
IL swap BE 1.56% 1.53% 1.57% 1.40%
real interest rate -0.56% -0.56% -0.51% -0.61%
US end of month -1M -3M -12M
10yr 30-04-18 29-03-18 31-01-18 28-04-17
Bond yield 2.95% 2.74% 2.71% 2.28%
IL BE yield 2.18% 2.06% 2.11% 1.92%
real interest rate 0.78% 0.68% 0.59% 0.36%
0.5
0.8
1.0
1.3
1.5
1.8
2.0
2.3
2.5
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
US Inflation breakeven levels
US 2 year US 5 year US 10 year US 30 year
0.0
0.3
0.5
0.8
1.0
1.3
1.5
1.8
2.0
2.3
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
European Inflation swap-levels
Europe 2 year Europe 5 year Europe 10 year Europe 30 year
95
100
105
Apr/
17
Jul/
17
Oct
/17
Jan/
18
Apr/
18
Inflation linked vs nominal returns (TR)
US Treasuries TR US ILB TR
Bond Market: Corporate Investment Grade
24Robeco
Source: Bloomberg
TR Indices
98
99
100
101
102
103
104
105
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
Investment Grade Credits (Total Return)
Global IG Corp EUR IG US IG Corp
0.7
1.0
1.2
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
Investment Grade credit spreads
Global IG Euro IG Corp US IG Corp
Total return ( annualized for 3 yr) Spreads in bp (and yields in %) duration
name 1M 3M ytd 1YR 3YR Spread (yield) -1M -12M today -1y
Global IG Credit (hdgd EUR) -0.7% -1.9% -2.7% -0.8% 1.1% 105 (3.0%) 241 (2.9%) 94 (2.6%) 6.51 6.65
US IG Credit (unh. USD) -0.9% -2.3% -3.2% 0.7% 2.2% 108 (3.9%) 326 (3.8%) 93 (3.3%) 7.29 7.40
Europe IG Credit 0.0% -0.1% -0.4% 1.2% 1.8% 92 (0.9%) 39 (0.9%) 86 (0.8%) 5.24 5.27
US IG Industrials (unh. USD) -1.0% -2.4% -3.3% 0.8% 2.2% 110 (4.0%) 331 (3.8%) 98 (3.3%) 7.81 7.89
US IG Financials (unh. USD) -0.7% -2.0% -2.9% 0.3% 2.1% 103 (3.8%) 316 (3.7%) 85 (3.1%) 5.77 5.96
EUR IG ex Financials 0.0% 0.0% -0.3% 1.0% 1.6% 85 (0.9%) 37 (0.9%) 83 (0.8%) 5.58 5.59
EUR IG Financials 0.1% -0.2% -0.4% 1.6% 2.0% 101 (0.9%) 42 (0.9%) 91 (0.7%) 4.75 4.82
Eur Covered Bonds -0.2% 0.3% -0.3% 0.2% 0.6% 41 (0.3%) -27 (0.2%) 40 (0.2%) 4.78 4.73
Bond Market: Corporate High Yield
25Robeco
Source: Bloomberg
TR Indices
2.0
3.0
4.0
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
High yield spreads
Global HY US HY European HY
98
100
102
104
106
108
110
Apr
/17
Jul/
17
Oct
/17
Jan/
18
Apr
/18
High Yield (Total Return)
Global HY US HY Corp EUR HY Corp
Total return ( annualized for 3 yr) Spreads in bp (and yields in %) duration
name 1M 3M ytd 1YR 3YR Spread (yield) -1M -12M today -1y
Global High Yield (hdgd EUR) -0.1% -1.8% -1.4% 0.9% 4.1% 351 (5.8%) 523 (5.7%) 339 (5.2%) 4.33 4.19
US High Yield (unh. USD) 0.7% -0.8% -0.2% 3.3% 5.0% 338 (6.3%) 569 (6.2%) 343 (5.7%) 3.95 3.91
Europe High Yield 0.6% -0.3% 0.2% 3.8% 4.6% 310 (3.6%) 319 (3.7%) 294 (3.3%) 4.36 4.19
Global IG Credit (hdgd EUR) -0.7% -1.9% -2.7% -0.8% 1.1% 105 (3.0%) 241 (2.9%) 94 (2.6%) 6.51 6.65
Bond Market: Emerging Markets Debt
26Robeco
Source: Bloomberg, JP Morgan
GBI-EM: local currency (LC)
EMBI: hard (USD) currency (HC)
Indonesia 9%
Malaysia 6%
Thailand 8%
Hungary 5%
Poland 9%
Russia 7%
Turkey 7%Brazil 10%
Mexico 10%
South Africa 9%
Other 22%
JPM GBI-EM (LC) Global Diversified: Weights
2.0
3.0
4.0
5.0
6.0
7.0
Apr/
17
Jul/
17
Oct
/17
Jan/
18
Apr/
18
Emerging Debt yields + HC spread
EMD hard currency yield EMD Local currency yield HC spread
90.0
95.0
100.0
105.0
110.0
115.0
Apr/
17
May
/17
Jun/
17
Jul/
17
Aug/
17
Sep/
17
Oct
/17
Nov
/17
Dec
/17
Jan/
18
Feb/
18
Mar
/18
Apr/
18EMD total returns (USD)
JP Morgan EMD Hard currency JP Morgan EMD Local currency
-45%
-40%
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
Indo
nesia
Mala
ysia
Thaila
nd
Hu
ngary
Pola
nd
Ru
ssia
Turkey
Brazil
Mexico
South
-Africa
EM FX Performance vs EUR (non-annualized)
1YR 3YR
0.0%
200.0%
400.0%
600.0%
800.0%
1000.0%
1200.0%
1400.0%
Indo
nesia
Mala
ysia
Thaila
nd (o
nly LC)
Hu
ngary
Pola
nd
Ru
ssia
Turkey
Brazil
Mexico
South
Africa
Local currency yield vs hard currency yield
Local Currency Yield Hard Currency Yield
Total return in USD Yield
Return & Yield EMD Indices (in USD) 1M 1YR 3YR 5YR current 1YR 3YR 5YR
JPM EMD GD Local Currency TR (GBI-EM)(in USD) -2.9% 8.4% 10.5% -9.3% 6.12 6.40 6.44 5.23
JPM EMD GD Hard Currency TR (EMBI)(in USD) -1.5% 1.3% 14.8% 20.4% 6.04 5.31 5.40 4.51
JPM EMD GD Local Currency hedged EUR -0.5% 1.0% 2.9% 0.2% 6.12 6.40 6.44 5.23
Bond Markets: Yield Curve
27Robeco
Source: Bloomberg
Zero curves derived from par curves
Real rate = swap -/- IL swap rate
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
1y 6y 11y 16y 21y 26y
Euro zero swap curvenominal and real (dotted line)
30Apr2018 31Jan2018 28Apr2017
30Apr2018 31Jan2018 28Apr2017 -1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
1y 6y 11y 16y 21y 26y
Swap vs government bonds (zero rates)
Swap Germany Netherlands
GER - Swap NL - Swap
2yr Swap IL Swap (break-even) real rate DE NL
30-apr-18 -0.14% 1.29% -1.43% -0.59% -0.65%
31-jan-18 #N/A #N/A #N/A #N/A #N/A
28-apr-17 #N/A #N/A #N/A #N/A #N/A
5yr Swap IL Swap (break-even) real rate DE NL
30-apr-18 0.39% 1.41% -1.02% -0.06% -0.25%
31-jan-18 #N/A #N/A #N/A #N/A #N/A
28-apr-17 #N/A #N/A #N/A #N/A #N/A
10yr Swap IL Swap (break-even) real rate DE NL
30-apr-18 0.99% 1.56% -0.56% 0.56% 0.69%
31-jan-18 #N/A #N/A #N/A #N/A #N/A
28-apr-17 #N/A #N/A #N/A #N/A #N/A
30yr Swap IL Swap (break-even) real rate DE NL
30-apr-18 1.52% 1.94% -0.42% 1.23% 1.21%
31-jan-18 #N/A #N/A #N/A #N/A #N/A
28-apr-17 #N/A #N/A #N/A #N/A #N/A
Money Markets
28Robeco
Source: Bloomberg
30-04-18 29-03-18 31-01-18 28-04-17
Yield -1M (Mar/18) -3M (Jan/18) -12M (Apr/17)
EONIA overnight -0.36% -0.35% -0.36% -0.35%
Euribor 1M -0.37% -0.37% -0.37% -0.37%
Euribor 3M -0.33% -0.33% -0.33% -0.33%
USD overnight 1.70% 1.68% 1.34% 0.83%
Libor USD 1M 1.90% 1.88% 1.58% 1.00%
Libor USD 3M 2.36% 2.31% 1.78% 1.17%
UK GBP 1M 0.54% 0.51% 0.49% 0.26%
JPY 1M 0.05% 0.06% 0.06% 0.03%
Swiss CHF 1M -0.79% -0.79% -0.80% -0.79%
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
May
/13
No
v/1
3
May
/14
No
v/1
4
May
/15
No
v/1
5
May
/16
No
v/1
6
May
/17
No
v/1
7
3M Money market
Euro 3M US 3M JPY 3M UK 3M
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
May
/13
No
v/1
3
May
/14
No
v/1
4
May
/15
No
v/1
5
May
/16
No
v/1
6
May
/17
No
v/1
7
BRIC Central bank rates
Brazil Selic Target Rate Bank of Russia Key rateReserve Bank of India Reverse China 1 Year Benchmark Lending
0.0
0.5
1.0
1.5
2.0
May
/13
No
v/1
3
May
/14
No
v/1
4
May
/15
No
v/1
5
May
/16
No
v/1
6
May
/17
No
v/1
7
Central Bank rates
ECB refinancing rate FED Fund rate
Currencies
29Robeco
Currencies (displayed as performance of the FX)
30Robeco
Source: Bloomberg
2.1%
1.8%
1.8%
1.4%
1.1%
0.7%
0.6%
0.3%
0.0%
-0.1%
-0.4%
-0.9%
-1.7%
-2.7%
-4.1%
-7.9%
-10.0% -5.0% 0.0% 5.0%
CAD
HKD
USD
KRW
CNY
SGD
IDR
INR
GBP
AUD
NOK
JPY
CHF
SEK
BRL
RUB
1M Performance FX (vs euro)
FX
stronger
euro
stronger
Return of FX versus the EUR current level 1M 3M YTD 12M 1m 3m 1yr
EURO/US DOLLAR 1.21 1.8% 2.7% -0.6% -10.9% 1.2300 1.2414 1.0895
EURO/JAPANESE YEN 132.05 -0.9% 2.6% 2.4% -8.7% 130.91 135.54 121.53
EURO/BRITISH POUND 0.88 0.0% -0.3% 1.2% -4.3% 0.8774 0.8748 0.8413
EURO/SWISS FRANC 1.20 -1.7% -3.5% -2.3% -10.4% 1.1764 1.1561 1.0843
EURO/SWEDISH KRONA 10.57 -2.7% -8.0% -7.5% -9.5% 10.2871 9.7812 9.6468
EURO/NORWEGIAN KRONE 9.68 -0.4% -1.2% 1.7% -3.5% 9.6458 9.5662 9.3521
EURO/CANADIAN DOLLAR 1.55 2.1% -1.5% -2.8% -4.3% 1.5847 1.5286 1.4874
EURO/AUSTRALIAN DOLLAR 1.60 -0.1% -4.1% -4.3% -10.2% 1.6021 1.5410 1.4551
EURO/BRAZIL REAL 4.23 -4.1% -7.0% -6.4% -24.5% 4.0668 3.9561 3.4619
EURO/RUSSIAN RUBLE 76.07 -7.9% -9.1% -9.8% -22.6% 70.494 69.751 62.039
EURO/INDIAN RUPEE 80.54 0.3% -1.7% -5.2% -14.6% 80.808 79.188 70.260
EURO/CHINA RENMINBI 7.65 1.1% 2.4% 2.0% -1.8% 7.735 7.838 7.512
EURO/SOUTH KOREAN WON 1295.33 1.4% 2.5% -1.5% -4.9% 1313.74 1328.62 1235.33
EURO/HONG KONG DOLLAR 9.48 1.8% 2.4% -1.1% -11.8% 9.6540 9.7111 8.4761
EURO/SINGAPORE DOLLAR 1.60 0.7% 1.7% 0.2% -5.2% 1.6127 1.6288 1.5222
EURO/INDONESIAN RUPIAH 16839.33 0.6% -1.2% -3.8% -15.9% 16937.57 16646.35 14531.46
2.4%
2.0%
1.7%
1.2%
0.2%
-0.6%
-1.1%
-1.5%
-2.3%
-2.8%
-3.8%
-4.3%
-5.2%
-6.4%
-7.5%
-9.8%
-15.0% -5.0% 5.0%
JPY
CNY
NOK
GBP
SGD
USD
HKD
KRW
CHF
CAD
IDR
AUD
INR
BRL
SEK
RUB
YTD Performance FX (vs euro)
euro
stronger
FX
stronger
Currencies
31Robeco
Source: Bloomberg
80.0
85.0
90.0
95.0
100.0
105.0
110.0M
ar/1
7
Apr
/17
May
/17
Jun
/17
Jul/
17
Au
g/17
Sep
/17
Oct
/17
No
v/1
7
Dec
/17
Jan/
18
Feb/
18
Indexed return of FX (vs euro)
US dollar Japanese yen British pound Swiss franc
85.0
90.0
95.0
100.0
105.0
110.0
Mar
/17
Apr
/17
May
/17
Jun
/17
Jul/
17
Au
g/17
Sep
/17
Oct
/17
No
v/1
7
Dec
/17
Jan/
18
Feb/
18
Indexed return of FX (vs euro)
Swedish krone Norwegian krone Canadian dollar Australian dollar
80.0
90.0
100.0
110.0
Mar
/17
Apr
/17
May
/17
Jun
/17
Jul/
17
Au
g/17
Sep
/17
Oct
/17
No
v/1
7
Dec
/17
Jan/
18
Feb/
18
Indexed return of FX (vs euro)
Brazilian real Russian ruble Indian rupiah Chinese renminbi
80.0
85.0
90.0
95.0
100.0
105.0
110.0
Mar
/17
Apr
/17
May
/17
Jun
/17
Jul/
17
Au
g/17
Sep
/17
Oct
/17
No
v/1
7
Dec
/17
Jan/
18
Feb/
18
Indexed return of FX (vs euro)
Korean won Hongkong dollar Singapore dollar Indonesian rupiah
Commodities
32Robeco
Commodities
33Robeco
Source: Bloomberg
S&P GSCI TR Indices in USD
Returns GSCI TR Indices* 1M 3M YTD 1YR 3YR 5YR
S&P Official Close Index 5.0% 3.8% 7.3% 22.1% -5.9% -10.1%
Sub-Index Energy 6.5% 6.6% 12.0% 36.7% -8.4% -13.0%
WTI Crude Oil 5.6% 5.9% 13.5% 39.0% 4.8% -6.0%
Brent Crude Oil 8.7% 10.5% 14.8% 48.5% -4.9% -11.5%
Natural Gas -0.1% -9.8% -4.7% -26.4% -24.0% -24.5%
Heating Oil 6.9% 4.8% 5.3% 44.0% -5.1% -8.3%
Sub-Index Industrial Metals 4.3% -3.3% -3.2% 18.1% 2.7% 0.3%
Copper 1.3% -4.5% -6.3% 17.4% 1.9% -0.6%
Aluminum 13.9% 2.5% 0.1% 16.7% 2.6% -0.5%
Gold -0.5% -1.8% 0.5% 3.3% 3.0% -2.7%
Silver 0.5% -5.4% -4.7% -6.1% -0.9% -8.7%
Sub-Index Agriculture 2.8% 4.7% 6.2% -2.8% -5.7% -10.7%
Corn 1.3% 6.7% 10.1% -3.4% -7.3% -14.9%
Wheat 9.6% 6.8% 13.2% -1.2% -10.2% -16.0%
Sugar -5.2% -10.9% -22.1% -29.9% -9.5% -16.0%
Soybeans -0.5% 3.5% 7.3% 5.6% 0.8% -0.2%
3&5yr: annualized
80.0
85.0
90.0
95.0
100.0
105.0
110.0
115.0
120.0
125.0
130.0
Apr
/17
May
/17
Jun
/17
Jul/
17
Au
g/17
Sep
/17
Oct
/17
No
v/1
7
Dec
/17
Jan/
18
Feb/
18
Mar
/18
Apr
/18
GSCI Commodity indices
S&P GSCI Commodity Index Sub-index Energy
Sub-index Industrial Metals Sub-Index Agriculture
13.9%
9.6%
9.0%
8.7%
6.9%
6.2%
5.6%
5.5%
5.1%
3.6%
3.6%
2.6%
2.4%
1.3%
1.3%
0.5%
-0.1%
-0.5%
-0.5%
-3.0%
-4.5%
-4.9%
-5.2%
-30% -20% -10% 0% 10% 20% 30% 40% 50%
Aluminum
Wheat
Cocoa
Brent crude
Heating oil
Gas oil
WTI Crude
Gasoline
Feeder cattle
Live cattle
Cotton
Nickel
Coffee
Copper
Corn
Silver
Natural gas
Gold
Soybeans
Lead
Zinc
Lean hogs
Sugar
Commodities: April and YTD
April YTD
Commodity returns were predominantly positive last month. The oil price rose
further, with Brent crude advancing 8.7% and WTI 5.6%. Aluminum also rose last
month (13.9%). Cocoa added another 9.0% and has risen almost 50% since the
start of the year. Sugar, on the other hand, has fallen more than 20%.
Commodities
34Robeco
Source: Bloomberg
S&P GSCI TR Indices in USD
40.0
45.0
50.0
55.0
60.0
65.0
70.0
75.0
80.0
1 M
6 M
11
M
16
M
21
M
Term structure Brent Crude
Today -1M (Mar/18) -3M (Jan/18) -12M (Apr/17)
40.0
45.0
50.0
55.0
60.0
65.0
70.0
1 M
6 M
11
M
16
M
21
M
Term structure WTI Crude
Today -1M (Mar/18) -3M (Jan/18) -12M (Apr/17)
60.0
70.0
80.0
90.0
100.0
110.0
120.0
130.0
140.0
150.0
160.0
Apr
/17
May
/17
Jun
/17
Jul/
17
Au
g/17
Sep
/17
Oct
/17
No
v/1
7
Dec
/17
Jan/
18
Feb/
18
Mar
/18
Apr
/18
Energy commodities
WTI Crude oil Brent crude Natural gas Heating oil
70.0
80.0
90.0
100.0
110.0
120.0
130.0
140.0
Apr
/17
May
/17
Jun
/17
Jul/
17
Au
g/17
Sep
/17
Oct
/17
No
v/1
7
Dec
/17
Jan/
18
Feb/
18
Mar
/18
Apr
/18
Metal commodities
Copper Aluminum Gold Silver
Real Estate
35Robeco
Real estate
36Robeco
Source: Bloomberg
80.0
90.0
100.0
110.0
120.0
130.0
140.0
150.0
May
/13
No
v/1
3
May
/14
No
v/1
4
May
/15
No
v/1
5
May
/16
No
v/1
6
May
/17
No
v/1
7
S&P Real Estate indices
Global REIT (EUR) Global REIT (USD) European REIT (USD) Japan REIT (USD)
Real estate 1mo 3mo ytd 1YR 3YR 5YR
Global REIT (USD) 1.6% -2.5% -4.0% 1.8% 3.6% 4.3%
European REIT (USD) 3.0% -1.7% 1.5% 16.4% 2.0% 6.8%
US REIT (USD) 1.5% -2.5% -6.8% -3.3% 3.1% 4.6%
Japan REIT (USD) 2.3% -1.4% 6.6% 13.8% 3.4% -0.1%
Global REIT (EUR) 4.1% 0.3% -3.2% -5.4% -0.5% 4.8%
Asia ex Japan REIT (USD) 2.1% -4.5% -3.9% 9.1%
Although the broad equity market outperformed real estate, the sector showed
positive returns for the second month in a row. Measured in US dollars, European
real estate was the best-performing strategy (+3.0%) while Japanese real estate is
the best performing region so far this year (+6.6%).
4.1%
3.0%
2.3%
2.1%
1.6%
1.5%
-7.5% -5.0% -2.5% 0.0% 2.5% 5.0% 7.5%
Real estate (EUR)
European real estate (USD)
Japan real estate (USD)
Asia ex-Japan real estate (USD)
Real estate (USD)
US real estate (USD)
Real estate
April YTD
Hedge Funds
37Robeco
Hedge Funds
38Robeco
Source: Bloomberg
80.0
90.0
100.0
110.0
120.0
130.0
140.0
May
/13
No
v/1
3
May
/14
No
v/1
4
May
/15
No
v/1
5
May
/16
No
v/1
6
May
/17
No
v/1
7
Hedge funds
HFR Eqty Hedge Total HFR RV F/I-Cnvtbl Arb HFR ED Merger ArbHFR ED Distressed/Restruc HFR Macro Total HFR Macro Systematic DvsfdHFR Event-Driven Total
Hedge Funds 1mo 3mo ytd 1YR 3YR 5YR
Convertible Arbitrage -0.5% -0.28% 0.6% 4.8% 4.3% 4.4%
Long-short equities -0.4% -2.21% 0.6% 9.7% 4.7% 5.6%
Distressed strategies -0.2% -0.69% 0.6% 4.2% 3.6% 3.8%
Merger Arbitrage -0.9% -0.78% 0.3% 3.7% 2.9% 3.3%
Event-driven -0.5% -1.13% 0.1% 5.2% 3.7% 4.5%
Global Macro -0.4% -3.97% -1.3% 1.0% -0.5% 0.8%
Managed Futures -0.3% -6.49% -2.7% 0.6% -2.2% 0.3%
-0.2%
-0.3%
-0.4%
-0.4%
-0.5%
-0.5%
-0.9%
-3.0% -2.0% -1.0% 0.0% 1.0%
Distressed strategies
Managed Futures
Long-short equities
Global Macro
Convertible Arbitrage
Event-driven
Merger Arbitrage
Hedge Funds
March YTD
Hedge fund performance is reported with a one-month time lag. In March, all the
strategies lost ground. Distressed strategies managed to limit the losses to 0.2%.
Merger Arbitrage was the worst-performing strategy (-0.9%). Despite this, most of
the strategies have generated positive returns year to date, with the exception of
Global Macro (-1.3%) and Managed Futures (-2.7%).
39Robeco
Correlation table
3yr correlation (weekly data)
MSCI A
C Wo
rld Daily TR
N
MSCI Em
erging M
arkets Daily N
e
S&P
500
IND
EX
Euro
Stoxx 50
Pr
MSCI A
C Asia P
acific Loc
J.P. M
organ
Hedged ECU
Un
it GB
Euro
Aggregate Treasu
ry
Euro
Aggregate Co
rporate
Glo
bal High
Yield
J.P. M
organ
GB
I-EM G
lobal D
ive
J.P. M
organ
EMB
I Glo
bal Divers
EA Tsy Italy TR
Un
h E
EA Tsy Spain
TR U
nh
E
EA Tsy G
erman
TR U
nh
S&P
GSCI O
fficial Close In
dex
S&P
GSCI Cru
de Oil O
fficial Cl
S&P
GSCI G
old O
fficial Close I
S&P
GSCI Co
pper Official Clo
se
EUR
-JPY X
-RA
TE
EUR
-AU
D X
-RA
TE
EUR
-GB
P X
-RA
TE
EUR
-USD
X-R
ATE
S&P
Glo
bal Pro
p USD
TR
SG CTA
Index
Hedge Fu
nd R
esearch H
FRX
Glo
ba
MSCI AC World Daily TR N 100% 83% 95% 85% 86% -20% -3% 24% 59% 43% 51% 11% 16% -18% 40% 37% -21% 41% 26% -57% -30% -23% 70% 19% 88%
MSCI Emerging Markets Daily Ne 83% 100% 70% 76% 83% -10% 4% 33% 55% 52% 60% 12% 19% -6% 41% 38% -11% 35% 1% -66% -29% -37% 64% 17% 72%
S&P 500 INDEX 95% 70% 100% 72% 70% -18% -5% 18% 52% 38% 44% 6% 12% -15% 35% 32% -16% 38% 23% -53% -28% -16% 65% 21% 85%
Euro Stoxx 50 Pr 85% 76% 72% 100% 75% -24% -1% 23% 45% 27% 40% 19% 21% -23% 29% 29% -35% 27% 19% -53% -38% -39% 50% 17% 73%
MSCI AC Asia Pacific Loc 86% 83% 70% 75% 100% -18% -3% 29% 59% 41% 46% 8% 13% -17% 38% 34% -23% 42% 36% -48% -30% -17% 65% 11% 73%
J.P. Morgan Hedged ECU Unit GB -20% -10% -18% -24% -18% 100% 87% 66% 3% 21% 39% 63% 66% 88% -19% -17% 40% -17% -43% 9% 20% 15% 29% 45% -21%
Euro Aggregate Treasury -3% 4% -5% -1% -3% 87% 100% 77% 4% 16% 35% 87% 85% 87% -11% -8% 17% -20% -35% 0% 7% -8% 28% 43% -6%
Euro Aggregate Corporate 24% 33% 18% 23% 29% 66% 77% 100% 35% 26% 53% 61% 63% 71% 1% 1% 7% 0% -25% -22% -7% -16% 46% 36% 18%
Global High Yield 59% 55% 52% 45% 59% 3% 4% 35% 100% 69% 78% 14% 18% -11% 53% 50% 22% 37% 19% -31% -10% 26% 63% -1% 62%
J.P. Morgan GBI-EM Global Dive 43% 52% 38% 27% 41% 21% 16% 26% 69% 100% 71% 20% 29% 5% 40% 35% 45% 19% 3% -35% 5% 38% 64% 11% 41%
J.P. Morgan EMBI Global Divers 51% 60% 44% 40% 46% 39% 35% 53% 78% 71% 100% 35% 42% 23% 29% 27% 29% 20% -12% -37% 1% 9% 67% 24% 47%
EA Tsy Italy TR Unh E 11% 12% 6% 19% 8% 63% 87% 61% 14% 20% 35% 100% 89% 55% 0% 2% 4% -15% -19% -5% 4% -8% 29% 33% 8%
EA Tsy Spain TR Unh E 16% 19% 12% 21% 13% 66% 85% 63% 18% 29% 42% 89% 100% 55% 1% 3% 9% -5% -20% -9% 4% -5% 34% 36% 14%
EA Tsy German TR Unh -18% -6% -15% -23% -17% 88% 87% 71% -11% 5% 23% 55% 55% 100% -19% -16% 26% -20% -48% 2% 6% -9% 20% 44% -20%
S&P GSCI Official Close Index 40% 41% 35% 29% 38% -19% -11% 1% 53% 40% 29% 0% 1% -19% 100% 96% 12% 32% 13% -24% -17% 6% 30% -15% 45%
S&P GSCI Crude Oil Official Cl 37% 38% 32% 29% 34% -17% -8% 1% 50% 35% 27% 2% 3% -16% 96% 100% 7% 22% 9% -21% -21% 1% 27% -17% 42%
S&P GSCI Gold Official Close I -21% -11% -16% -35% -23% 40% 17% 7% 22% 45% 29% 4% 9% 26% 12% 7% 100% 6% -29% 2% 13% 50% 24% 19% -12%
S&P GSCI Copper Official Close 41% 35% 38% 27% 42% -17% -20% 0% 37% 19% 20% -15% -5% -20% 32% 22% 6% 100% 20% -28% -11% 15% 30% 0% 42%
EUR-JPY X-RATE 26% 1% 23% 19% 36% -43% -35% -25% 19% 3% -12% -19% -20% -48% 13% 9% -29% 20% 100% 12% -3% 30% 5% -25% 19%
EUR-AUD X-RATE -57% -66% -53% -53% -48% 9% 0% -22% -31% -35% -37% -5% -9% 2% -24% -21% 2% -28% 12% 100% 38% 42% -46% 2% -43%
EUR-GBP X-RATE -30% -29% -28% -38% -30% 20% 7% -7% -10% 5% 1% 4% 4% 6% -17% -21% 13% -11% -3% 38% 100% 36% -21% 9% -24%
EUR-USD X-RATE -23% -37% -16% -39% -17% 15% -8% -16% 26% 38% 9% -8% -5% -9% 6% 1% 50% 15% 30% 42% 36% 100% 11% -1% -11%
S&P Global Prop USD TR 70% 64% 65% 50% 65% 29% 28% 46% 63% 64% 67% 29% 34% 20% 30% 27% 24% 30% 5% -46% -21% 11% 100% 26% 58%
SG CTA Index 19% 17% 21% 17% 11% 45% 43% 36% -1% 11% 24% 33% 36% 44% -15% -17% 19% 0% -25% 2% 9% -1% 26% 100% 31%
Hedge Fund Research HFRX Globa 88% 72% 85% 73% 73% -21% -6% 18% 62% 41% 47% 8% 14% -20% 45% 42% -12% 42% 19% -43% -24% -11% 58% 31% 100%
40Robeco
Equity performance and volatility
Index 1M 3M ytd 1YR 3YR 5YR Index 1M vol -1M (Oct17) 3M -3M (Oct17) 1YR -12M (Oct17)
Brazil BOVESPA 0.9% 1.4% 12.7% 31.7% 15.3% 9.0% Brazil BOVESPA 16.5% 0.9% 18.4% 12.7% 19.3% 15.3%
Italy SPMIB 7.4% 2.4% 10.4% 20.0% 4.9% 11.0% Italy SPMIB 13.9% 7.4% 17.7% 10.4% 14.7% 4.9%
MOEX Russia index 1.4% 0.7% 9.4% 14.4% 11.0% 10.7% MOEX Russia index 33.5% 1.6% 25.9% 9.4% 16.2% 16.6%
France CAC40 7.2% 1.3% 4.5% 8.2% 6.5% 11.1% France CAC40 12.8% 7.2% 15.3% 4.5% 11.4% 6.5%
Hang Seng Index 2.5% -5.9% 3.5% 30.0% 6.9% 10.3% Hang Seng Index 19.4% 2.5% 23.4% 3.5% 15.4% 6.9%
India SENSEX 6.6% -2.1% 3.4% 19.0% 10.7% 14.2% India SENSEX 10.3% 6.6% 13.1% 3.4% 10.1% 10.7%
NL AEX 4.9% -0.9% 2.0% 6.6% 4.4% 9.6% NL AEX 13.4% 5.8% 16.0% 3.4% 10.6% 8.1%
MSCI EM (local cur) 1.3% -4.6% 1.9% 20.6% 7.4% 8.5% MSCI EM (local cur) 12.5% 1.2% 12.6% 1.9% 9.9% 7.4%
MSCI China (USD) 0.0% -9.5% 1.8% 35.3% 5.0% 11.1% MSCI China (USD) 21.7% -1.3% 21.8% 0.5% 17.2% 4.5%
EURO STOXX 50 5.8% -1.3% 1.8% 2.0% 2.0% 8.3% EURO STOXX 50 13.2% 5.8% 15.6% 1.8% 11.4% 2.0%
MSCI Asia Pac ex Japan 1.5% -4.8% 1.7% 22.4% 7.3% 9.1% MSCI Asia Pac ex Japan 14.2% 1.3% 14.4% 1.7% 10.8% 7.3%
Spain IBEX 4.7% -3.8% 0.5% -4.0% -1.1% 7.0% Spain IBEX 11.7% 4.7% 14.7% 0.5% 13.2% -1.1%
MSCI EM (in EUR) 1.5% -3.9% 0.3% 9.7% 3.4% 6.6% MSCI EM (in EUR) 15.1% 1.3% 14.9% 0.4% 12.8% 3.4%
Australia AS51 3.9% 0.3% -0.2% 5.1% 5.4% 7.2% Australia AS51 9.2% 3.9% 12.2% -0.2% 10.0% 5.4%
MSCI World (dev. in LC) 2.0% -3.9% -0.3% 10.8% 7.4% 10.5% MSCI World (dev. in LC) 14.2% 1.9% 13.8% -0.3% 9.1% 7.4%
Korea KOSPI 3.1% -2.9% -0.4% 12.7% 6.7% 4.8% Korea KOSPI 15.9% 2.8% 17.4% -0.2% 12.8% 8.7%
US S&P500 0.4% -5.8% -0.4% 13.3% 10.6% 13.0% US S&P500 20.9% 0.4% 21.8% -0.4% 12.3% 10.6%
Japan NIKKEI225 6.2% -1.9% -0.5% 19.3% 6.8% 12.1% Japan NIKKEI225 19.0% 4.7% 22.3% -0.5% 14.7% 6.8%
MSCI World (dev. in EUR) 3.0% -2.2% -0.8% 2.0% 4.9% 11.2% MSCI World (dev. in EUR) 15.3% 3.0% 14.5% -0.8% 10.8% 4.9%
UK FTSE100 6.8% 1.1% -0.9% 8.5% 6.6% 7.1% UK FTSE100 12.0% 6.8% 14.0% -0.9% 9.9% 6.6%
Germany DAX 4.3% -4.4% -2.4% 1.4% 3.3% 9.8% Germany DAX 16.7% 4.3% 17.8% -2.4% 13.0% 3.3%
Swiss SMI 3.1% -2.1% -2.6% 4.3% 2.7% 5.7% Swiss SMI 13.9% 3.1% 16.8% -2.6% 11.6% 2.7%
Risk (volatility)
Explanation (I)
41Robeco
Index providers:
Multi-asset performance and yields
• Equities: MSCI World Net TR In EUR, MSCI EM Net TR in EUR
• Government Bonds: BarCap Euro Treasury Germany TR , BarCap US Agg Total Treasury TR
• Corporate Bonds: BarCap Global Agg Corporates TR hegded to EUR, BarCap Global High Yield TR hegded to EUR
• Other: JP Morgan GBI-EM Global Diversified in USD , S&P GSCI Commodity Index TR in USD
Equity market
• Total returns and volatilities are calculated by Bloomberg.
• Equity country indices: measured in local currencies, to show the true index performance, regardless of currency movements.
• Global sector performance: MSCI Indices, measured in local currencies, to show the true sector performance, regardless of currency movements.
• Global thematic index performance: S&P indices (unless stated otherwise). EUR-denominated indices.
Bond market indices:
• Government bond TR Indices and spreads: BarCap Indices (except fo Global Gov Bonds: JP Morgan). Government bond yields: Generic Bloomberg yields.
• Non- Euro Gov Bonds TR Indices: Citigroup. Non-Euro Gov Bond yields: Generic Bloomberg yields.
• High Yield & IG Credit Indices (yield, spread, TR): BarCap Indices.
• Inflation-linked bond TR Indices: BarCap Indices. Inflation break-even yields: Generic Bloomberg yields.
• Emerging debt (yield, spreads, TR): JP Morgan
Commodities:
• S&P GSCI Total Return Indices used for the Sub-indices as well as for the individual commodities, in order to show the performance of a funded investment in the front-month
future (the usual way of institutional investing in commodities). S&P GSCI TR Indices = spot return (return on physical commodity) + roll return (see next bullet) + cash return
Hedge fund indices:
• Hedge Fund Research Indices. Returns calculated by Bloomberg.
Explanation (II)
42Robeco
Thematic index Description
S&P Global Agribusiness Index Exposure to the upstream and downstream supply chain of the agribusiness sector.
S&P Global Alternative Energy Index Exposure to the leading companies in the global alternative energy business, from both developed and emerging markets.
S&P Global Water Index Exposure to 50 companies from around the world that are involved in water related businesses.
S&P Global Property Equities with range of real estate-related activities, such as property management, development, rental, and investment.
S&P Natural Resource Index 60 of the largest publicly traded companies in natural resources and commodities businesses (Agri, Energy, Metals&Mining)
MSCI Frontier Markets Index Frontier Markets countries include: Argentina, Bahrain, Bangladesh, Bulgaria, Croatia, Estonia, Jordan, Kenya, Kuwait, Lebanon,
Lithuania, Kazakhstan, Mauritius, Nigeria, Oman, Pakistan, Qatar, Romania, Serbia, Slovenia, Sri Lanka, Tunisia, Ukraine, UAE
and Vietnam.
S&P Global Infrastructure Index Exposure to 75 global companies from infrastructure universe (Utilities, Transportation, Energy).
S&P Emerging Markets Infrastructure Index Exposure to 30 of the largest emerging markets companies in the infrastructure industy (Utilities, Transportation, Energy).
Dow Jones Sustainability World Index More than 300 companies that represent the top 10% of the leading sustainability companies out of the world index
S&P Africa 40 Index Exposure to 40 of the largest, most liquid companies that operate purely in Africa.
Factor & Systematic Strategies: Split between Global, US (in USD) and European indices (in EUR). Various index providers.
RAFI Fundamental Indexing Index weighting methodology based on fundamental valuation factors instead of market cap.
High dividend: Selection of high dividend stocks. S&P Index for US, STOXX for Europe.
Disclaimer (I)
43Robeco
Important Information Robeco Institutional Asset Management B.V., hereafter Robeco, has a license as manager of UCITS and AIFs from the Netherlands Authority for the Financial Markets in Amsterdam. Without further explanation this presentation cannot be considered complete. It is intended to provide the professional investor with general information on Robeco’s specific capabilities, but does not constitute a recommendation or an advice to buy or sell certain securities or investment products. All rights relating to the information in this presentation are and will remain the property of Robeco. No part of this presentation may be reproduced, saved in an automated data file or published in any form or by any means, either electronically, mechanically, by photocopy, recording or in any other way, without Robeco's prior written permission. The information contained in this publication is not intended for users from other countries, such as US citizens and residents, where the offering of foreign financial services is not permitted, or where Robeco's services are not available
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Disclaimer
Disclaimer (continued)
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44Robeco
Disclaimer (II)