Robeco All Strategies Funds. Société d Investissement à Capital Variable Incorporated under Luxembourg law RCS B
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1 Robeco All Strategies Funds Société d Investissement à Capital Variable Incorporated under Luxembourg law RCS B Annual Report 2014
2 Contents General Information 3 Report of the Board of Directors 5 General 5 General introduction 6 Risk management 8 Fund governance 9 Sustainability investing 9 Life Cycle Subfunds 10 Performance analysis 10 Pension Return & Pension Match Subfunds 11 Performance analysis 11 Other data (not audited) 12 Financial statements 14 Statement of net assets 14 Statement of operations and changes in net assets 18 Number of shares outstanding 22 Notes to the financial statements as at 31 December Report of the Reviseur d Entreprises agréé 35 Exchange rates 36 Historical review 36 Investment portfolio 37 Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Life Cycle Fund Robeco Pension Return Portfolio 46 Robeco Pension Matching Portfolio 47 Robeco All Strategies Funds 2
3 General Information Robeco All Strategies Funds (hereafter the Company ) Undertaking for collective investment in tranferable securities incorporated as a Société d Investissement à Capital Variable (SICAV) under Luxembourg law. Register of Companies RCS Luxembourg B Registered Office Centre Etoile 11/13, Boulevard de la Foire L-1528 Luxembourg Grand Duchy of Luxembourg Board of Directors A. (Elbert) M.M. Rodenburg, Executive Director, Robeco Group, Rotterdam, The Netherlands Stefan Gordijn, Executive Director, Robeco Group, Rotterdam, the Netherlands D. Rob van Bommel, Managing Director, Robeco Group, Rotterdam, The Netherlands Management Company Robeco Luxembourg S.A. 5, Heienhaff L-1736 Senningerberg Grand Duchy of Luxembourg Cabinet de révision agréé (independent auditor) KPMG Luxembourg, Société coopérative 39, Avenue John F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Depositary, Domiciliary, Paying Agent and Listing Agent RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-Alzette Grand Duchy of Luxembourg Administration Agent and Registrar Robeco Luxembourg S.A. Delegated to: RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-Alzette Grand Duchy of Luxembourg Investment Adviser Robeco Luxembourg S.A. Delegated to: Robeco Institutional Asset Management B.V. ( RIAM ) Coolsingel 120, NL-3011 AG Rotterdam, The Netherlands Fund Selection Adviser: Corestone Investment Managers A.G. Baarerstrasse 37 CH-6300 Zug Switzerland Robeco All Strategies Funds 3
4 Subscriptions and publications No subscription can be accepted on the basis of financial reports such as this report. Subscriptions may only be accepted on the basis of the current prospectus, supplemented by the Company s latest annual report, and in the event that the Company s annual report has been published more than eight months previously, its latest semi-annual report. Financial reports, the prospectus and the Key Investor Information Document are available through the website and may be obtained free of charge at the Company s registered office. Robeco All Strategies Funds 4
5 Report of the Board of Directors General Website An information update on the subfund s investment policies, returns and investment portfolio can be found on Liquidation of subfunds Robeco Life Cycle Fund 2015 was liquidated on 24 October Robeco All Strategies Funds 5
6 General introduction Economy The year 2014 was characterized by a weak and uneven recovery in the global economy. The US maintained its momentum and continued to look solid, despite the slowdown in growth elsewhere should have been the year of gradual but convincing recovery, but in fact global growth was disappointing, stalling at around 2.4%, whereas expectations had been in the region of 3%. The performance of the Eurozone was not convincing. As a result of geopolitical unrest, the core countries were confronted with slackening producer and consumer confidence in the first six months of the year. The controversial annexation of the Crimea by Russia and the ensuing conflict in Ukraine caused Russia's relations with the West to cool significantly and uncertainty to increase. Eurozone governments made sluggish progress on structural reform and instead opted for austerity measures which slowed growth. Although there was almost no reform on the supply side of the economy, the periphery succeeded in significantly improving its competitiveness. Spain and Ireland in particular gained ground. Systemic risk in the Eurozone declined in the course of 2014, partially as a result of the more balanced competition between the member countries. In Japan, the effects of the April 2014 VAT hike on the economy were more extensive than people had generally anticipated. And it did not manage to pull itself together again in the third quarter. Japanese Prime Minister Abe reconfirmed his mandate in December by handsomely winning the interim elections, enabling him to push forward with his economic reform program 'Abenomics' with renewed fervor. This reform program now relies fairly and squarely on quantitative easing by the Bank of Japan. The Chinese economy weakened in 2014 as a result of a decrease in GDP growth to 7.3% in the third quarter. The Chinese authorities have implemented extra stimulus measures to ensure a controlled slowdown in overheated sectors such as real estate and we expect the Chinese economy to slow down in a restrained way. After all, the authorities have more than enough of a buffer to withstand the effects of potential bankruptcies. The leading role on the macroeconomic stage this year was not taken by the central banks as in previous years, but by oil. Developments in the oil market generally forced central banks to implement monetary easing. In the course of the year, the oil price fell by almost 50% as a result of drastic changes in market dynamics. The market was flooded with excess oil when additional supply came onto the market from unconventional oil fields in the US, while slower global macroeconomic demand exacerbated this imbalance. In November OPEC, which is usually the leveling force in the oil market, chose not to reduce output. This meant that the market had to sort out the supply surplus and demand shortage itself, resulting in a collapse in the oil price. The decline in the oil price and that of other commodities strengthened the disinflationary trend in the developed markets, particularly the Eurozone. In December 2014, this region was confronted with deflation for the first time since 2009, although core inflation remained positive at 0.8%. The ECB took preventative action in September by lowering its policy rate to zero and setting a negative deposit rate for banks. The ECB also started buying up more asset-backed securities to call a halt to falling inflation and to protect its inflation target of 'lower than, but close to 2%'. In the US, the Fed ended its policy of quantitative easing and prepared the markets for a rate hike in Equity markets in was once again a strong year for the global equity markets, with a total return of 18.6% for the MSCI World All Countries Index in euro terms. The main contributors to this performance were the developed equity markets and an appreciation of the US dollar versus the euro. Emerging markets lagged developed markets with a return of 11.4% in euro terms. Just as in 2013, stock prices outpaced earnings growth, pushing valuations equity price/earnings ratios to even higher levels. Stock prices gains were driven by optimism on US economic growth, easy monetary policy in Japan and plans for accommodative policy in Europe. The markets in the US, Europe and Japan diverged. The US was the strongest, with a return of 13.7% in US dollars. Europe was weak, returning 4.9% in the Eurozone and 1% in the United Kingdom. The market appreciation in Japan of 8.9% in Japanese yen terms was somewhere between that of Europe and the US. Emerging-markets in 2014 The return development of emerging markets in 2014 was positive (in euros), but was considerably lower than for developed markets. Measured in euros, the MSCI Emerging Markets showed a positive return of 11.4%, significantly lagging developed markets. At a global level, there were a number of themes that had a significant impact on equity markets. Firstly, 2014 was a year with many elections in emerging markets. The outcome of elections in India was the most positive for equity markets. Modi Robeco All Strategies Funds 6
7 led the Bharatiya Janata Party (BJP) there to a spectacular victory. With 282 seats, the BJP won the absolute majority. This is the first time since the elections in 1984 that a party has managed this. It is also the first time that a party other than the Congress Party has held power. Modi presented a strong program of reforms, which went down well with investors. What's more, elections in Turkey and Indonesia were positive for markets, too. The biggest disappointment was the reelection of Rousseff in Brazil. With just 51.4 percent of the vote, Dilma Rousseff whose main support comes from working-class Brazilians only just won the elections from the center-right Aécio Neves, investors' preferred candidate. Another dominant theme was the Ukraine crisis. This drawn-out conflict led to increasing risk aversion among investors, especially in late spring. Fears of a further escalation in the crisis with a global impact drove share prices lower. In the last part of the year, the chance of an escalation appeared to diminish, and markets started to see this crisis as a more localized issue. A third important theme was the uncertainty on economic growth in China. In the first part of the year, there were concerns that Chinese growth would decline sharply. During the year it became clear that, partly due to relaxed monetary policy, the chance of an abrupt economic deceleration had become very small. This is not only positive for China, but also for many other countries that export to China. The fourth key factor was the fall in oil prices in the second half of the year. For a number of oil-producing countries, such as Russia, Colombia and Malaysia, lower oil prices are a strong negative factor. On the other hand, countries like India, Turkey and China actually benefited from lower oil prices as they import large volumes of black gold. Outlook for equity markets Stock prices are made up of two parts: the earnings growth and the price/earnings ratio that investors are prepared to pay for that earnings growth. We expect corporate earnings to continue to grow not excessively, but somewhere between 5 and 10%. Japanese companies are expected to lead the way. The weaker yen is fully reflected in these higher earnings. Europe also has a tailwind, in the form of the weaker euro, but headwind from Russia. In the US strong growth and the lower oil price will have a positive effect on earnings growth. US consumers are having to spend less on energy and so have more disposable income for consumer goods. And now the second part: what price/earnings ratio are investors prepared to pay for this earnings growth in 2015 and the years that follow? The higher the price/earnings ratio, the more convinced investors are that the optimistic earnings expectations can also be achieved. Equity valuations say much about the prevailing sentiment. But sentiment has a tendency to suddenly change, especially when it reaches a peak or a trough. Given that we expect a slight pick up in earnings and no crisis, and that there are still enough skeptics and pessimists among investors, a fall in price/earnings ratios is unlikely. The price/earnings ratio can also fall if there are good alternatives available. But interest rates on savings and bond yields are low and equities seem to be the only option if you are seeking higher returns. The argument that there is nothing better available is primarily the result of the central banks' monetary policy. By keeping interest rates low and buying up debt paper, they have caused bond returns to become so low that investors are being driven towards more risky investments, such as equities. In a scenario of unchanged price/earnings ratios and higher earnings forecasts, we expect equity markets to rise further in Of course there are other possible scenarios that could completely upset our positive outlook for the equity markets. Imagine for example that the largest global economies all grow unexpectedly quickly and in tandem in This would cause interest rates to rise rapidly and could cause significant declines in both the bond and equity markets. Or imagine that the slowdown in China's economic growth is more extreme and quicker than we are now expecting this could have a negative effect on all those companies that have benefited from the upcoming Chinese middle class in recent years. Outlook for the bond markets Next year too we expect the bond markets to remain at the mercy of central bank policy. The ECB has decided to implement a massive government bond buying program. In its attempts to boost the bank's balance sheet significantly, this appears to be a realistic and effective mechanism. However, it is more problematic for the recently implemented covered bond buying program, given the limited market liquidity. This planned bond buying is a shot in the arm for government bonds from the European periphery and although the interest rate differential with Germany has narrowed rapidly, in this scenario we still expect further price appreciation for government bonds from countries like Spain and Italy. The expectations for German government bonds are moderate, especially for the more short-dated paper, which now has a yield of around zero, and we will have to wait and see whether capital market rates will rise. Inflation is expected to fall further to around zero and a strong growth recovery is unlikely in the short term. Ongoing debt reduction by governments and private households is dampening economic activity. Companies are reluctant to invest. Perhaps the depreciation of the euro and the lower energy prices will offer some stimulus. In terms of the US, all eyes are on the Fed. Since it terminated its program of bond buying in October 2014, the big question has been when will it hike official short term interest rates. The economic recovery is progressing steadily, which is Robeco All Strategies Funds 7
8 translating into a further decline in unemployment. At the same time, there is no sign of rising inflation. In contrast, as a result of the sharp falls in energy prices, price pressure will decline in the US too. And despite the tightening labor market, there is no real sign of wage inflation as yet either. Nevertheless a first interest rate hike could increase volatility in the bond markets. The prospects for corporate bonds are mixed. On the one hand we expect default risk for most companies in the universe to continue to remain low. In that light, the current risk premium for corporate bonds over government bonds is quite reasonable. However it is possible that the supply and demand ratios may deteriorate, especially if the US central bank raises interest rates. This is particularly relevant for the segment of the credit market dominated by US issuers, such as the market for high yield bonds. Partly for this reason we have a preference for subordinated bank loans, a market segment that is almost entirely made up of European issuers. If selected carefully on the basis of the individual issues, this segment offers an attractive risk premium relative to that of non-subordinated bank debt. The appeal of emerging market debt has diminished somewhat in the course of the last year, due to their lagging returns. Falling commodity prices, sluggish reforms and a deteriorating economic outlook have had a negative effect on this asset class. Looking ahead, we do not expect a turnaround in this scenario: these challenges are still very much in evidence. It will be more important in future to make country-specific selections. This will enable investors to benefit from the higher interest rates that most countries in this universe can offer. Risk management The fund uses financial instruments, the associated risks of which are specified in the financial statements. Risk management is an integral part of the investment process. Various systems are used to measure and monitor the key risks, including price risk, counterparty risk and liquidity risk. In addition, an independent Group Risk Management department that reports directly to the CFO carries out controls. Financial and operational risks are inherent in asset management. Therefore it is very important to have a procedure for controlling these risks embedded in the company's day-to-day operations. At Robeco, management holds overall responsibility for risk management, as part of its daily activities. The second line of responsibility lies with the Group Compliance and Group Risk Management departments, which develop and maintain policy, methods and systems that enable management to fulfill its responsibilities in terms of risk control. The Group Internal Audit department carries out audits to check the level of internal control. The Risk Management Committee makes policy decisions on risk management and monitors whether risks remain within the set limits. The Robeco Group uses a risk-management framework (Robeco Control Framework) that supports the effective control of all types of risk. Within this framework, risks are periodically identified and assessed as to their significance and materiality. Internal procedures and measures are focused on providing a structure to control both financial and operational risks. The risks, procedures and measures are all actively monitored. Robeco constantly seeks opportunities to simplify processes and reduce complexity in order to mitigate operational risks. A number of major projects to reduce IT-related complexity were completed in Specific attention is paid to the continuity of critical operational processes. To this end, the Robeco Group has taken measures to minimize as far as possible the damage that may result from an interruption of its services. The Business Continuity Management (BCM) process has established a solid crisis organization and BCM policy with guidelines based on ISO to ensure that critical processes and services are maintained in the event of a crisis. The BCM provisions and plans are regularly evaluated by performing a range of tests, including crisis simulations and technical relocation tests. The Robeco Group has improved its processes and methods for measuring and controlling risk in a number of areas. In the field of market risk, the methodology for evaluating the predictive powers of the key market risk criteria has been improved. By regularly evaluating these measures and where necessary improving them, market risks can be even more effectively measured and monitored. In addition, a new type of market risk report has been introduced at individual fund level, which makes it possible to better analyze the investment funds' market risk figures. Group Risk Management has also improved the methodology for measuring and controlling liquidity risk. As a result, the Robeco Group is better able to gain insight into the risks that arise through a combination of the exit risk and liquidity risk relating to financial instruments. The Robeco Group also continuously strives to further minimize the consequences the possible bankruptcy of a counterparty would have on the funds. As such, further steps were taken in 2014 to make contractual agreements with almost all of our counterparties on the exchange of collateral. Robeco All Strategies Funds 8
9 Fund governance Robeco has its own Principles on Fund Governance, which largely correspond to the principles of the Dutch Fund and Asset Management Association (DUFAS). The objective of the Principles is to give more detailed guidelines for the organizational structure and working methods of fund managers or independent investment institutions and to provide guarantees for integrity in the fund's activities and ensure the careful provision of services. Group Compliance is the Robeco department that ensures that the Principles are constantly monitored. Once every three years Robeco's Group Internal Audit carries out an audit of the Fund Governance as structured and implemented at Robeco, and of its compliance with the DUFAS Principles on Fund Governance. The last audit was in July As a result of this audit, the text of Robeco's Principles on Fund Governance was amended slightly on several points. This text can be found on the Robeco website. Sustainability investing The sustainability investing carried out by funds at Robeco is implemented with minimum restrictions to the investment universe, and consists of a combination of effective measures: exercising voting rights engagement exclusions integrating ESG factors 1 into the investment processes Exercising voting rights The manager aims to exercise voting rights on shares held by the fund throughout the world and is convinced that effective corporate governance will be beneficial to shareholder value in the longer term. The corporate-governance policy of the manager is based on the internationally accepted principles of the International Corporate Governance Network (ICGN). The manager is of the opinion that local legislation and codes for corporate governance, such as the Corporate Governance Code in the Netherlands, should be guiding principles for corporate-governance practice and voting behavior. This approach is in line with the ICGN Global Governance Principles. Engagement Engagement means making active use of the rights of investors to influence how companies are managed. Robeco enters into active dialogue with companies about good corporate governance and a socially responsible corporate policy. In our opinion, this will increase shareholder value for our clients in the longer term. We use an integral approach, which combines the expertise of our investment analysts, our sustainability-investing research analysts and our engagement specialists. By using financially material information as the basis for our talks, we strive to ensure that our dialogue introduces added value and improves the risk/return profile of the company's stock. This way we generate value for our clients as well as the company. Exclusions Robeco's exclusion policy is based on two main exclusion criteria. Firstly, it excludes companies that are involved in the production of controversial weapons or essential components for such weapons, or that gain significant revenues from the sale or transport of these weapons. We base our policy of not investing in such companies on a legislative amendment in the Netherlands governing investments in cluster-munition companies that became effective on 1 January Besides the exclusion policy for companies, Robeco also has an exclusion policy for countries. Robeco considers any country that systematically violates the human rights of its own citizens as controversial. These exclusions apply to country-related investments (such as government bonds). Secondly, an unsuccessful dialogue may in time lead to a company's exclusion from the investment universe. In such cases, the dialogue relates to serious and systematic violations of widely accepted international directives on good corporate governance. Robeco focuses in particular on the United Nations Global Compact. Robeco Group s Management Board has the final authority to exclude companies and countries. Robeco Institutional Asset Management B.V. will apply this exclusion list in its capacity as manager. Integrating ESG factors into the investment processes With respect to Sustainability investing, the investment universe and the type of investments of the fund are such that it is not feasible to implement the ESG factors into the investment processes. 1 ESG stands for Environmental, Social and Governance. Robeco All Strategies Funds 9
10 Life Cycle Subfunds Investment results Robeco Life Cycle Fund As at liquidation date (24 October 2014). Price in currency x 1 31/12/2014 Price in currency x 1 31/12/2013 Investment result reporting period in % F EUR shares Robeco Life Cycle Fund 2020 F EUR shares Robeco Life Cycle Fund 2025 F EUR shares Robeco Life Cycle Fund 2030 F EUR shares Robeco Life Cycle Fund 2035 F EUR shares Robeco Life Cycle Fund 2040 F EUR shares Robeco Life Cycle Fund 2045 F EUR shares Robeco Life Cycle Fund 2050 F EUR shares Robeco Life Cycle Fund 2055 F EUR shares Robeco Life Cycle Fund 2060 F EUR shares Performance analysis Robeco Life Cycle Funds The Robeco Life Cycle Funds (RLCF) are target date funds where the asset allocation profile adjusts to become more defensive during their lifetime. Typically, the percentage of equity and alternatives diminishes over time, while that of bonds and cash increases. The so-called glide path determines changes in asset allocation and the allocation over the different asset classes. Changes in the strategic asset allocation resulting from the glide path are implemented annually at the end of the calendar year. In addition, the portfolio manager may implement tactical asset allocation within the funds. The currency exposure will be hedged to the euro, but the manager also has some scope to make tactical decisions on currencies. The funds do not have a formal benchmark and strive to achieve a good relative return, while aiming to deliver consistent performance relative to the risks over the lifetime of the funds, i.e. maximizing the Sharpe-ratio. Robeco Life Cycle Funds Portfolio The portfolios use a fund-of-funds structure with mainly Robeco funds and a small allocation to Exchange Traded Funds ( index-trackers ). The Robeco Life Cycle Funds invest in the following funds: Robeco Institutioneel Global Enhanced Index Fonds, Robeco BP Global Premium Equities, Robeco Global Stars Equities, Robeco Asia-Pacific Equities, Robeco Quant Emerging Markets Equities, Robeco Asian Stars Equities, Robeco Global Conservative Equities, Robeco Global Stars Equities, Robeco Property Equities, Robeco Euro Government Bonds, Robeco All Strategy Euro Bonds, Robeco Euro Credit Bonds, Robeco High Yield Bonds, Robeco Emerging Debt and Robeco GTAA Fund. In addition, the funds invest in ishares Core S&P500 ETF and ishares Euro Government Bond Index ETF. Two funds invest in a floating rate note issued by Rabobank. In October 2014 we closed Robeco Life Cycle Fund The fund was very small in terms of AuM, which made it difficult to manage it effectively. Its NAV at closing was EUR and the proceeds were paid out to the remaining investors. In the same month, a large investor stepped in causing the RLCF to grow fivefold to around EUR 40 million. As you might expect, the funds with a shorter horizon ( ) experienced higher growth in assets than those further out in the future, such as RLCF 2055 and RLCF Robeco All Strategies Funds 10
11 Pension Return & Pension Match Subfunds Investment results Robeco Pension Return Portfolio Price in currency x 1 31/12/2014 Price in currency x 1 31/12/2013 Investment result reporting period in % I EUR shares Robeco Pension Matching Portfolio IH EUR shares Performance analysis Robeco Pension Return Portfolio The Robeco Pension Return Portfolio uses a fund-of-funds structure which involves substantial allocations to third party funds. The subfund invests in the following funds: SSGA World Index Equity Fund, SSGA World SRI Index Equity Fund, Robeco Global Conservative Equities, Robeco European Conservative Equities, Lyxor ETF Russell 1000 Value, db x-trackers MSCI Europe Value TRN Index ETF, AQR International Momentum Fund, Threadneedle - Pan European Smaller Companies, Legg Mason Royce Smaller Companies Fund A, Robeco Active Quant Emerging Markets Equities, Robeco Emerging Markets Conservative Equities, Goldman Sachs SI-UBS Enhanced Strategy Portfolio, ishares Dow Jones-UBS Commodity Swap, Robeco High Yield Bonds, PIMCO Funds Global Investors Series plc - Emerging Local Bond Fund, and Stone Harbor Emerging Markets Local Currency Debt Fund. Over the course of 2014, the Pension Return Portfolio had an overweight position in equities, both in the SSGA World Index Equity Fund and Robeco Global Conservative Equities. This had a positive effect on returns. For most of the year the Return Portfolio was also overweight in high yield which had a negative effect on the overall return. The tactical decision on currencies had a positive effect: both the overweight in US dollar and underweight in Japanese yen contributed positively. During 2014 no mechanical rebalancing was needed as none of the minimum or maximum boundaries were crossed. Robeco Pension Matching Portfolio The Robeco Pension Matching Portfolio aims to protect the expected future retirement income as provided by an insurance company in two ways. It endeavors to match the duration of the investments to the expected duration of the future pension annuity and to partly protect the income against an unexpected rise in inflation. This will reduce the risk of a diminished future retirement income, due to fluctuations in interest rates or unexpected inflation in the period before retirement. In 2014, the stable base of the portfolio contained Dutch, German, Finnish and (inflation-linked) French government bonds. In addition the portfolio also contained investments in Robeco Euro Credit Bonds, Robeco Investment Grade Corporate Bonds, some money market products and an overlay of zero-coupon inflation swaps. Luxembourg, 23 April 2015 The Board of Directors Past performance is no indication of current or future performance. These performance data do not take account of the commissions and costs incurred on the issue and redemption of units. Robeco All Strategies Funds 11
12 Other data (not audited) Savings directive information Robeco All Strategies Funds is subject to the EU savings directive. Stock-exchange listing Robeco All Strategies Funds shares are not listed on the Luxembourg Stock Exchange. Global exposure The table below presents an overview of the method used to calculate the global exposure and the highest, lowest and average level of leverage during the period of 1 January 2014 through 31 December Global exposure Method used to calculate the global exposure Expected level of leverage Lowest level of leverage Highest level of leverage Average level of leverage Lowest level of VaR Highest level of VaR Average level of VaR Robeco Life Cycle Fund 2015 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2020 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2025 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2030 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2035 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2040 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2045 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2050 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2055 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Life Cycle Fund 2060 Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Pension Return Portfolio Commitment approach Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Not applicable Robeco Pension Matching Portfolio Absolute VaR 75% 24% 26% 25% -4.36% -2.07% -3.67% The VaR used is based on weekly data using Parametric Modeling (using 3 years equally weighted data). The interval is scaled up to a monthly (20 days) VaR and 99% confidence interval is applied. Joint interest of directors At 1 January 2014 and at 31 December 2014 the members of the Board of Directors held the following joint interest in investments of the Company. Joint interest of directors At 1 January 2014 Description Number Robeco N.V. shares 2,713 Robeco Lux-o-rente shares 200 Robeco Lux-o-rente directorships 2 Robeco Capital Growth Funds- directorships 2 Robeco Active Quant Emerging Markets Equities shares 141 Robeco All Strategy Euro Bonds shares 397 Robeco BP Global Premium Equities shares 43 Robeco Emerging Conservative Equities shares 132 Robeco Emerging Debt shares 261 Robeco European Conservative Equities shares 71 Robeco Global Conservative Equities shares 335 Robeco High Yield Bonds shares 326 Robeco Property Equities shares 57 Robeco All Strategies Funds 12
13 Joint interest of directors At 31 December 2014 Description Number Robeco N.V. shares 3,049 Robeco Capital Growth Funds: directorships 2 Robeco All Strategy Euro Bonds shares 478 Robeco BP Global Premium Equities shares 108 Robeco Emerging Conservative Equities shares 157 Robeco Emerging Debt shares 318 Robeco European Conservative Equities shares 164 Robeco Global Conservative Equities shares 393 Robeco High Yield Bonds shares 267 Robeco Momentum Equities shares 126 Robeco Property Equities shares 56 Robeco All Strategies Funds 13
14 Financial statements Statement of net assets In EUR x thousand Robeco All Robeco Robeco Robeco Strategies Funds Life Cycle Life Cycle Life Cycle Combined Fund 2015 * Fund 2020 Fund 2025 Notes 31/12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/2013 Investment portfolio at market value Investment funds Deposits and other cash Unrealized gains on open forward exchange transactions Unrealized gains on inflation-linked swaps 4 5 Other assets Total assets Bank overdrafts 5 6 Unrealized losses on open forward exchange transactions Unrealized losses on inflation-linked swaps Other liabilities Total liabilities Total net assets Net asset value per F EUR share 50,22 54,14 50,16 55,58 51,31 Net asset value per I EUR share Net asset value per IH EUR share The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. * Robeco Life Cycle Fund 2015 was closed on 24 October Robeco All Strategies Funds 14
15 Statement of net assets In EUR x thousand Robeco Robeco Robeco Life Cycle Life Cycle Life Cycle Fund 2030 Fund 2035 Fund 2040 Notes 31/12/ /12/ /12/ /12/ /12/ /12/2013 Investment portfolio at market value Investment funds Deposits and other cash Unrealized gains on open forward exchange transactions Unrealized gains on inflation-linked swaps 4 Other assets Total assets Bank overdrafts 5 Unrealized losses on open forward exchange transactions Unrealized losses on inflation-linked swaps 4 Other liabilities Total liabilities Total net assets Net asset value per F EUR share 56,19 51,19 59,57 54,21 59,26 53,71 Net asset value per I EUR share Net asset value per IH EUR share The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. Robeco All Strategies Funds 15
16 Statement of net assets In EUR x thousand Robeco Robeco Robeco Life Cycle Life Cycle Life Cycle Fund 2045 Fund 2050 Fund 2055 Notes 31/12/ /12/ /12/ /12/ /12/ /12/2013 Investment portfolio at market value Investment Funds Deposits and other cash Unrealized gains on open forward exchange transactions Unrealized gains on inflation-linked swaps 4 Other assets Total assets Bank overdrafts 5 Unrealized losses on open forward exchange transactions Unrealized losses on inflation-linked swaps 4 Other liabilities Total liabilities Total net assets Net asset value per F EUR share 55,97 50,66 56,04 50,66 56,06 50,66 Net asset value per I EUR share Net asset value per IH EUR share The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. Robeco All Strategies Funds 16
17 Statement of net assets In EUR x thousand Robeco Robeco Robeco Life Cycle Pension Return Pension Matching Fund 2060 Portfolio Portfolio Notes 31/12/ /12/ /12/ /12/ /12/ /12/2013 Investment portfolio at market value Investment Funds Deposits and other cash Unrealized gains on open forward exchange transactions Unrealized gains on inflation-linked swaps 4 5 Other assets Total assets Bank overdrafts 5 6 Unrealized losses on open forward exchange transactions Unrealized losses on inflation-linked swaps Other liabilities Total liabilities Total net assets Net asset value per F EUR share 55,92 50,66 Net asset value per I EUR share 125,02 117,93 Net asset value per IH EUR share 116,42 102,35 The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. Robeco All Strategies Funds 17
18 Statement of operations and changes in net assets In EUR x thousand Robeco All Robeco Robeco Robeco Strategies Funds Life Cycle Life Cycle Life Cycle Combined Fund 2015 * Fund 2020 Fund /01/ /01/ /01/ /11/ /01/ /11/ /01/ /11/2013 Notes 31/12/ /12/ /10/ /12/ /12/ /12/ /12/ /12/2013 Net assets at beginning of the reporting period Bond interest and dividend income Bank and other interest 2 3 Other income Total Management fee Service fee Restitution management fee investment funds Depositary fee Interest on bank overdrafts 2 2 Taxes Other fees and expenses Transaction costs Total expenses Total net income/ loss ( ) on investments Net realized and changes in unrealized results on investments and other financial instruments Net increase / decrease ( ) from operations Subscriptions, redemptions ( ) (net) Net assets at end of the reporting period The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. * Robeco Life Cycle Fund 2015 was closed on 24 October Robeco All Strategies Funds 18
19 Statement of operations and changes in net assets In EUR x thousand Robeco Robeco Robeco Life Cycle Life Cycle Life Cycle Fund 2030 Fund 2035 Fund /01/ /11/ /01/ /11/ /01/ /11/2013 Notes 31/12/ /12/ /12/ /12/ /12/ /12/2013 Net assets at beginning of the reporting period Bond interest and dividend income Bank and other interest 1 Other income Total Management fee Service fee Restitution management fee investment funds Depositary fee Interest on bank overdrafts 1 Taxes Other fees and expenses Transaction costs Total expenses Total net income/ loss ( ) on investments Net realized and changes in unrealized results on investments and other financial instruments Net increase / decrease ( ) from operations Subscriptions, redemptions ( ) (net) Net assets at end of the reporting period The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. Robeco All Strategies Funds 19
20 Statement of operations and changes in net assets In EUR x thousand Robeco Robeco Robeco Life Cycle Life Cycle Life Cycle Fund 2045 Fund 2050 Fund /01/ /11/ /01/ /11/ /01/ /11/2013 Notes 31/12/ /12/ /12/ /12/ /12/ /12/2013 Net assets at beginning of the reporting period Bond interest and dividend income Bank and other interest Other income Total Management fee Service fee 10 1 Restitution management fee investment funds Depositary fee 12 Interest on bank overdrafts Taxes 7 1 Other fees and expenses 13 Transaction costs 14 Total expenses Total net income/ loss ( ) on investments 2 Net realized and changes in unrealized results on investments and other financial instruments Net increase / decrease ( ) from operations Subscriptions, redemptions ( ) (net) Net assets at end of the reporting period The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. Robeco All Strategies Funds 20
21 Statement of operations and changes in net assets In EUR x thousand Robeco Robeco Robeco Life Cycle Pension Return Pension Matching Fund 2060 Portfolio Portfolio 01/01/ /11/ /01/ /01/ /01/ /01/2013 Notes 31/12/ /12/ /12/ /12/ /12/ /12/2013 Net assets at beginning of the reporting period Bond interest and dividend income Bank and other interest Other income Total Management fee Service fee Restitution management fee investment funds Depositary fee Interest on bank overdrafts 1 2 Taxes Other fees and expenses Transaction costs Total expenses Total net income/ loss ( ) on investments Net realized and changes in unrealized results on investments and other financial instruments Net increase / decrease ( ) from operations Subscriptions, redemptions ( ) (net) Net assets at end of the reporting period The accompanying notes set out on pages 23 to 32 inclusive form an integral part of the financial statements. Robeco All Strategies Funds 21
22 Number of shares outstanding Movement in the reporting period 01/01/2014 through 31/12/2014 Robeco Life Cycle Sub-funds Class of shares Shares at the beginning of the period Shares subscribed Shares redeemed Shares at the end of the period Robeco Life Cycle Fund 2015 * F EUR 58, ,008 Robeco Life Cycle Fund 2020 F EUR 67, ,433 62, ,739 Robeco Life Cycle Fund 2025 F EUR 81, ,984 77, ,088 Robeco Life Cycle Fund 2030 F EUR 47, ,761 52, ,972 Robeco Life Cycle Fund 2035 F EUR 26, ,061 25, ,244 Robeco Life Cycle Fund 2040 F EUR 18,591 82,118 18,412 82,297 Robeco Life Cycle Fund 2045 F EUR 2,000 30,096 4,161 27,935 Robeco Life Cycle Fund 2050 F EUR 2,000 16,038 2,442 15,596 Robeco Life Cycle Fund 2055 F EUR 2,000 2, ,601 Robeco Life Cycle Fund 2060 F EUR 2, ,283 Asset Allocation Sub-funds Robeco Pension Return Portfolio I EUR 50, ,452 49, ,140 Liability Matching Sub-funds Robeco Pension Matching Portfolio IH EUR 51,338 42,500 43,489 50,349 * Robeco Life Cycle Fund 2015 was closed on 24 October Robeco All Strategies Funds 22
23 Notes to the financial statements as at 31 December General Robeco All Strategies Funds ( the Company ) was incorporated on 26 January 2007 for an undetermined period as an open-ended investment company based in Luxembourg, issuing and redeeming its shares at prices based on the respective net asset value. The Company reserves the right to refuse any subscription request at any time. Its Articles of Incorporation were published in the Mémorial, Recueil des Sociétés et Associations of the Grand Duchy of Luxembourg (the Mémorial ) on 13 February The Articles of Incorporation were last amended on 23 May 2012 and such amendments were published on 13 June 2012 in the Mémorial. Robeco All Strategies Funds is a Société d Investissement à Capital Variable (Investment Company with variable capital) pursuant to the law of 10 August 1915, as amended, on commercial companies and to part I of the law of 17 December 2010 on undertakings for collective investment of the Grand Duchy of Luxembourg, as amended. The Company takes the form of an umbrella fund. The Board of Directors has authority to issue different classes of shares within each of the subfunds. Details of the characteristics of such share classes offered by the Company will be determined by the Board of Directors. The Directors of the Company may at any time decide upon the issue of Class D, DH, DHI, DHHI, DT, 0D, 0DH, 10D, 10DH, 20D, 20DH, 30D, 30DH, 40D, 40DH, F, FH, FHI, FHHI, FT, 0F, 0FH, 10F, 10FH, 20F, 20FH, 30F, 30FH, 40F, 40FH, I, IH, IHI, IHHI, IT, 0I, 0IH, 10I, 10IH, 20I, 20IH, 30I, 30IH, 40I, 40IH, Z and ZH Shares (accumulating classes) and Class B, BH, BHI, BHHI, C, CH, CHI, CHHI, E, EH, EHI, EHHI, G, GH, GHI, GHHI, IE and IEH Shares (distribution classes). The reference currency of the Classes of Shares may be the euro (EUR), the US dollar (USD), the British pound (GBP) or the the Swiss franc (CHF). Only the shares mentioned in the paragraph Share capital are active at the reporting date. Legal entity The Company as a whole constitutes a single legal entity but the assets of any one subfund will only be available to satisfy the rights of investors in relation to that subfund and the rights of creditors whose claims have arisen in connection with the creation, operation or liquidation of the subfund. For the purpose of the relations as between shareholders, each subfund is deemed to be a separate entity. Share capital The capital of the Company will automatically be adjusted in case that additional shares are issued or outstanding shares are redeemed without special announcements or measure of publicity being necessary in relation thereto. The possession, redemption and transfer of class I and IH shares is limited to institutional investors as defined from time to time by the Luxembourg supervisory authority. The Company will not issue class I and IH shares or contribute to the transfer of class I and IH shares to non-institutional investors. If it appears that class I and IH shares are being held by noninstitutional investors the Company will redeem these shares. Class I and IH shares have a minimum subscription amount of (the equivalent of) EUR 500,000. The Board of Directors can waive this minimum subscription amount at its discretion. Class I and IH shares can only be placed through a direct account of the shareholders with the Registrar. The Company, for the account of class IH shares ( Hedged Currency Class ), engages in currency hedging transactions to preserve, to the extent possible, the currency of expression value of the Hedged Currency Class assets against the fluctuations of the currencies, with a substantial weight, in which the assets of the subfund allocable to the Hedged Currency Class are denominated. At the end of the reporting period the share capital comprised eleven active subfunds (one subfund was closed), each relating to a separate investment portfolio consisting of securities, cash and other instruments. Fifty-three subfunds were not yet introduced at the end of the reporting period. The complete list of subfunds is as follows: Life Cycle Subfunds Robeco Life Cycle Subfunds 1 Multi-Asset Subfunds Robeco Solid Multi-Asset 2 Robeco Balanced Multi-Asset 2 Robeco Growth Multi-Asset 2 1 All Robeco Life Cycle Subfunds are presented in a single line due to the fact that all Life Cycle Subfunds have the same characteristics and the same Investment Policy, the sole differences being their target date, and, as a result, their intended time to maturity and the associated profile of typical Investor. Subfunds have target dates from 2015 through Some of the Robeco Life Cycle subfunds are not yet introduced. 2 Subfund not yet introduced. Robeco All Strategies Funds 23
24 Robeco ONE Subfunds Robeco ONE Defensief 2 Robeco ONE Neutraal 2 Robeco ONE Offensief 2 Asset Allocation Subfunds Robeco Solid Income Fund 2 Robeco Pension Return Portfolio Liability Matching Subfunds Robeco Pension Matching Portfolio 2 Subfund not yet introduced. Sales commissions The maximum sales commission is 0.5% for I and IH shares and 4.0% for F shares. The percentage represents a percentage of the total subscription amount. This commission rate is to be considered as a maximum rate and the sales agents may decide at their discretion to waive this sales commission in whole or in part. The Company reserves the right to refuse any subscription request at any time. Sales commissions are are not booked in the sub funds. Dividend policy The general policy regarding the appropriation of net income and capital gains is as follows: Class F, I and IH shares Income is automatically reinvested and added to the relevant class and will thus contribute to a further increase in value of the total net assets. Open-ended fund Robeco All Strategies Funds is an open-ended investment company meaning that, barring exceptional circumstances, Robeco All Strategies Funds issues and purchases its shares on a daily basis at net asset value per share. The Company reserves the right to refuse any subscription request at any time. Swing pricing Shares are issued and redeemed on the basis of the net asset value per share. However, the actual costs of purchasing or selling assets and investments for a subfund may deviate from the latest available prices, as appropriate, in calculating the net asset value per share. This deviation can be caused by duties and charges and spread from buying and selling prices of the underlying investments ( spreads ). These costs have an adverse effect on the value of a subfund and its underlying share classes and this in known as dilution. To mitigate the effects of dilution, the Directors may, at their discretion, make a dilution adjustment to the net asset value per share. The Directors will retain the discretion in relation to the circumstances under which to make such a dilution adjustment. At the end of the reporting period, no swing adjustments were made. Pooling and co-management For the purpose of efficient management and to reduce administrative costs and if the investment policies of the subfunds allow such, the Board of Directors may decide to co-manage some or all of the assets of certain subfunds with assets of other Luxembourg UCIs of the Robeco Group (co-managed units). In this case, the assets from different co-managed units will be jointly managed using the technique of pooling. Assets that are co-managed will be referred to using the term pool. Such pools will only be used for the purposes of internal management. They will not constitute distinct legal entities and will not be directly accessible to investors. Each co-managed unit will have its own assets allocated to it. During the reporting period no pooling or co-management took place. Affiliated parties Robeco All Strategies Funds is affiliated to the entities belonging to Robeco Groep N.V. The affiliation with Robeco Groep N.V. is the result of the possibility of having decisive control or a substantial influence on the Company s business policy. ORIX Corporation owns just over 90% of the shares of Robeco Groep N.V. The management structure of Robeco Groep N.V., in which significant authority is allocated to its independent supervisory board, is such that ORIX Corporation does not have any meaningful say in or influence on the Company s business policy. Robeco Groep N.V. pursues an independent investment policy on behalf of its affiliated investment companies, taking into account the interest of the investors involved. Besides services of other market parties, Robeco All Strategies Funds also utilizes the services of one or more of these affiliated entities including transactions relating to securities, treasury, derivatives, securities lending, and subscriptions and redemptions of its own shares, as well as management activities. Transactions are executed at market rates. Robeco All Strategies Funds 24
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