financial markets map an overview of the current state … markets map an overview of the current...

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%


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%


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


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


*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


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%


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)


Spain Gov Bonds (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)


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)


Inflation-linked US (UH, USD)


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


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


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


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


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


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


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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Additional Information for investors with residence or seat in SwitzerlandRobecoSAM AG has been authorized by the FINMA as Swiss representative of the Fund, and UBS AG as paying agent. The prospectus, the articles, the annual and semi-annual reports of the Fund, as well as the list of the purchases and sales which the Fund has undertaken during the financial year, may be obtained, on simple request and free of charge, at the head office of the Swiss representative RobecoSAM AG, Josefstrasse 218, CH-8005 Zurich. If the currency in which the past performance is displayed differs from the currency of the country in which you reside, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency. The value of the investments may fluctuate. Past performance is no guarantee of future results. The prices used for the performance figures of the Luxembourg-based funds are the end-of-month transaction prices net of fees up to 4 August 2010. From 4 August 2010, the transaction prices net of fees will be those of the first business day of the month. Return figures versus the benchmark show the investment management result before management and/or performance fees; the fund returns are with dividends reinvested and based on net asset values with prices and exchange rates of the valuation moment of the benchmark. Please refer to the prospectus of the funds for further details. The prospectus is available at the company’s offices or via the www.robeco.ch website. Performance is quoted net of investment management fees. The ongoing charges mentioned in this publication is the one stated in the fund's latest annual report at closing date of the last calendar year.

Disclaimer

http://www.robeco.ch/

Disclaimer (continued)

Additional Information for investors with residence or seat in the United KingdomThis statement is intended for professional investors only. Robeco Institutional Asset Management B.V. has a license as manager of UCITS and AIFs from the Netherlands Authority for the Financial Markets in Amsterdam and is subject to limited regulation in the UK by the Financial Conduct Authority. Details about the extent of our regulation by the Financial Conduct Authority are available from us on request.

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44Robeco

Disclaimer (II)

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