The 2020 returns for the pension fund of Dutch asset manager Robeco was -3.4 percentage points below its benchmark. The fund’s investment in some of Robeco’s own actively managed equity funds was the main culprit.

The €934m fund with 722 active members made a return of 9%, compared to a 12.4% return for its benchmark. Four factor investment funds with a tilt towards value shares were to blame, pushing the return down by -5.58%.

Robeco is not the only Dutch financial sector pension fund with below-benchmark returns because of poor performance of factor investing portfolios. The pension funds of ING and Rabobank reported similar issues.

An example of the funds in question is the Robeco QI Global Developed Conservative Equity Fund that returned -8.6% last year. This contrasts with a 6.3% return 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%, compared to a benchmark return of 8.5%.

The Robeco scheme is one of few pension funds that expects to outperform its benchmark on the long term by investing actively. Most other funds have switched to a mostly passive approach in recent years.

The pension fund claims that despite last year’s poor returns, the active approach has still yielded slightly better results than passive investing over the past five years. Therefore, the fund’s board does not see a reason to change its investment policy, it said in its annual report.

The Robeco fund will, however, evaluate its investment policy for equities this year, and has asked its fiduciary manager NN Investment Partners to reconsider the fund’s multi-factor approach.

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