The 2020 returns of Dutch asset manager Robeco’s pension fund were -3.4 percentage points below its benchmark. The fund’s investment in some of Robeco’s actively managed equity funds was the main culprit.
The 934 million euro fund with 722 active members achieved a return of 9%, compared to 12.4% for its benchmark. Four-factor investment funds with a slant towards value stocks were to blame, pushing the return down -5.58%.
Robeco is not the only Dutch pension fund in the financial sector to post below benchmark returns due to the poor performance of factor investment portfolios. ING and Rabobank pension funds reported similar problems.
An example of the funds in question is the Robeco QI Global Developed Conservative Equity Fund which returned -8.6% last year. This contrasts with a return of 6.3% for the MSCI World Index.
Over the past five years, this fund has also underperformed its benchmark, according to Morningstar data. The Robeco QI Global Emerging Markets fund did even worse with a return of -11.8%, against a benchmark return of 8.5%.
The Robeco plan is one of the few pension funds to outperform its benchmark over the long term by investing actively. Most other funds have shifted to a largely passive approach in recent years.
The pension fund says that despite the poor returns last year, the active approach has still performed slightly better than passive investing over the past five years. Therefore, the fund’s board sees no reason to change its investment policy, he said in his annual report.
However, the Robeco fund will assess its equity investment policy this year and has asked its fiduciary manager NN Investment Partners to reconsider the fund’s multifactor approach.
