Kluges Investieren in High Yield Bonds

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1 Wiesbadener Investorentag Wiesbaden, 27. Juni 2014 Alan van der Kamp For professional investors Robeco awarded as Best Pan-Europe High Yield Manager 1

2 Überblick Niedrige Zinsen: Was nun? Warum High Yield Bonds? Key Takeaways 2

3 Niedrige Zinsen: Was nun? Yields, 5 years, in % yr Bund 5 yr UST Data from 1 st January 2000 until end of May Source: Bloomberg 3

4 Warum High Yield Bonds? 8 > High-Yield-Bonds bieten attraktive Renditen 7 > 6Vor allem im Vergleich mit anderen (Fixed-Income) Asset-Klassen 5 > Expectation Management Yields, 5 years, in % yr Bund 5 yr UST Data from 1 st January 2000 until end of May Source: Bloomberg 4

5 High Yield Bonds: Solide Fundamentaldaten 4,5 Net Leverage (Net Debt/LTM EBITDA, x) 4,0 3,5 3,0 2,5 2,0 1, EU HY Leverage Ratio US HY LEVERAGE: > US High Yield Leverage-Ratio ist auf den Faktor 3.5 angestiegen > European High Yield Leverage-Ratio ist unter den Faktor 3 gesunken Source: Bank of America Merrill Lynch 5

6 High Yield Bonds: Ausgezeichnete langfristige Performance 60% Total Calendar Year Return 40% 20% 0% % 40% > High-Yield bietet attraktive Renditen über einen gesamten Konjunkturzyklus > Die laufende Verzinsung bietet in schwachen Märkten eine Kompensation für das Risiko einer Zinserhöhung oder einer Spread-Ausweitung Robeco High Yield Bonds DH EUR share, Gross of fees, based on Net Asset Value, All figures in EUR, Periods shorter than one year are not annualized. Benchmark: Barclays US HY + Pan Euro HY 2.5% Issuer Cap (EUR), ex financials. Source: Robeco Global Performance Measurement. 6

7 High Yield Bonds: Outperformance gegenüber Aktien 3000 Indexed at 100 (per April 1984) yrs MSCI US US HY Ann. Return 11.4% 9.8% Volatility 15.4% 8.6% Return/Risk ratio Apr Apr Apr Apr Apr Apr Apr Apr Apr Apr Apr Apr Apr Apr Apr Apr 1 MSCI US Barclays US HY > High Yield Bonds werden oft mit Aktien bei der Allokationsentscheidung in Portfolien verglichen > High Yield Bonds outperformen Aktien langfristig auf risikoadjustierter Basis > High-Yield Bonds höher in der Kapitalstruktur des Unternehmens 7

8 Kluges investieren in High Yield Bonds For institutional investors

9 High Yield Bonds: Kluges Investieren > Konservativer Anlagestil, langfristige Perspektive > Diversifizierung in Small Caps > Option zum Schutz vor steigenden Zinsen 9

10 Konservativer Anlagestil, langfristige Perspektive For institutional investors

11 Warum konservativ?: Investoren zahlen zuviel für Risiken Akademische Studien zeigen 1, daß die Low-Risk-Anomalie ebenfalls im Anleihemarkt zu finden ist > Risikoarme Unternehmen haben höhere risikoadjustierte Erträge > Risikoarme Anleihen haben höhere risikoadjustierte Erträge Source: Robeco 1 The low risk anomaly in credits ; Robeco Research (April 2012). Academic research: Ilmanen, Byrne, Gunasekera & Minikin (2004), Kozhemiakin (2007), Ilmanen (2010), Aussenegg, Götz & Jelic (2013), de Carvalho, Dugnolle, Lu & Moulin (2013), Frazzini & Pedersen (2013) 11

12 Warum konservativ?: Investoren zahlen zuviel für Risiken > Niedriger Excess Return, hohe Volatilität Source: Robeco, Barclays 12

13 CCC Spreads kompensieren aktuell nicht das Ausfallrisiko 13

14 Diversifizierung in Small Caps For institutional investors

15 Small Caps finden wenig Beachtung und beinhalten eine Liquiditätsprämie > Analysten konzentrieren sich auf Large Caps, Small Caps finden wenig Beachtung 2 Average number of analysts per size bucket for US IG and US HY over the period Sources: Robeco, Barclays, I/B/E/S 2 Smart Credit Investing: The Size Premium ; Houweling, Van Zundert (October 2013) 15

16 Small Caps finden wenig Beachtung und beinhalten eine Liquiditätsprämie > Marktrisiko: Volatilität von Small und Large Caps ist vergleichbar > Kreditrisiko: Small Cap Leverage ist niedriger als Large Cap Leverage > Small Caps haben eine tendenziell höher Sharpe Ratio als Large Caps 2 Sharpe ratio of excess returns of the index and the gross and net Sharpe ratio of excess returns of the small cap portfolio for US IG and US HY over the period ; Sources: Robeco, Barclays 2 Smart Credit Investing: The Size Premium ; Houweling, Van Zundert (October 2013) 16

17 Option zum Schutz vor steigenden Zinsen: Zero Duration Anteilsklasse For institutional investors

18 Zero Duration Anteilsklasse: eine innovative Lösung > Für Investoren, die sich gegen das Risiko steigender Zinsen absichern wollen > Implementiert mittels eines Interest Rate Swap Overlay > Gleiches High Yield Portfolio wie die reguläre Anteilsklasse Robeco High Yield Bonds 0-Duration Duration hedged high yield portfolio Duration Hedge Duration hedge layer of interest rate swaps to hedge the analytical duration of the portfolio Robeco High Yield Bonds Actively managed high yield bond fund with the aim to outperform the relevant high yield benchmark 18

19 Zero Duration Beispiel: Tausch langfristiger Zinsen gegen kurzfristige Zinsen Robeco Regular Share Class Robeco 0D Share Class Total yield: 5.4% Total yield: 3.7% Spread Sensitivity HIGH YIELD SPREAD 3.4% approx. 4 yrs Spread Sensitivity HIGH YIELD SPREAD 3.4% approx. 4 yrs Rate Sensitivity approx. 4 yrs LONG TERM RATES 2.0% Rate Sensitivity approx. 0.3 yrs SHORT TERM RATES 0.3% > Schutz gegen Zinsanstieg > Tausch von langfristigen Zinsen gegen kurzfristige variable Zinsen Robeco High Yield Bonds, data serve as an indication, and do not necessarily reflect current levels. This example is for information purposes only and not intended to be an investment advise in any way. 19

20 Robeco High Yield Zero Duration: Eine überzeugende Lösung Robeco 0D AM1 AM2 AM3 Note: data used in above graph are derived from Bloomberg with the following tickers: ROBHYOD LX, based on weekly data, total return data, including reinvestments of dividends, net of fees. Indexed from 1 st January 2012 until 23 rd May Source: Bloomberg, data until 23 rd May Annualized returns Robeco High Yield Bonds - Zero Duration Share Class 30-Apr Year 2-Year Since Jan-11 Robeco High Yield Bonds - Zero Duration Share Class* 9.86% 17.87% -1.82% 7.44% 10.06% 8.10% Robeco High Yield Bonds - Regular Share Class* 8.24% 18.17% 3.52% 6.44% 10.16% 9.70% *Robeco High Yield Bonds 0IH EUR share and Robeco High Yield Bonds IH share, Gross of fees, based on Net Asset Value, All figures in EUR, Periods shorter than one year are not annualized. Source: Robeco Global Performance Measurement. 20

21 Robeco High Yield Bonds: Ausgezeichnete langfristige Performance 3% Relative Return versus Index 2% 1% 0% 1H08 2H08 1H09 2H09 1H10 2H10 1H11 2H11 1H12 2H12 1H13 2H13 1% 2% 3% Konsistente Outperformance gegenüber der Benchmark : Leichte Underperformance wegen CCC Rally (aber Outperformance in 2008) : steigende Allokation in EUR HY, vorteilhaft in 2012/13 *Robeco High Yield Bonds DH EUR share, Gross of fees, based on Net Asset Value, All figures in EUR, Periods shorter than one year are not annualized. Benchmark: Barclays US HY + Pan Euro HY 2.5% Issuer Cap (EUR), ex financials. Source: Robeco Global Performance Measurement. 21

22 Key Takeaways Warum High Yield Bonds? > Solide Fundamentaldaten > Ausgezeichnete langfristige Performance > Vorteilhaft gegenüber anderen Asset Klassen Kluges Investieren > Konservativer Anlagestil > Inklusive Small Caps > Innovative Lösung zum Schutz vor Zinsanstieg (Zero Duration) Expectation Management > Moderate Renditen angesichts der aktuellen Zins- und Spreadniveaus > Untergewichtung von CCCs Herdeneffekt bei CCCs > Risiko/Return Profil von High Yield ist aktuell attraktiv 22

23 Anhang For institutional investors

24 Entscheidender Faktor: Vermeidung von Ausfällen im Portfolio Default rate May Dec % 10% 8% 6% 4% 2% 0% Entire 2005 period (ann.) portfolio 1,33% 2,78% 1,20% 1,51% 1,08% 5,86% 0,00% 0,00% 0,00% 0,00% benchmark 3,22% 2,65% 1,13% 1,58% 5,46% 10,53% 2,18% 2,05% 2,30% 0,91% Source: Robeco Credit Research, Global High Yield 24

25 Noch wichtiger, Limitierung der Effekte rapiden Preisverfalls Price drop rate (30 points, 1 month) May Dec % 8% 6% 4% 2% 0% Entire 2005 period (ann.) portfolio 0,70% 0,00% 0,00% 0,50% 4,05% 0,57% 0,00% 0,43% 0,55% 0,00% benchmark 1,41% 0,83% 0,45% 0,34% 8,15% 0,86% 0,26% 1,10% 0,36% 0,18% Source: Robeco Credit Research, Global High Yield 25

26 Robeco Global High Yield Bonds: Fondsdetails Fund characteristics Name Robeco High Yield Bonds Fund Manager Sander Bus Assets under Management EUR 4.2 billion (as of March 2014) Inception May 1998 Universe US and pan-european High Yield (excluding emerging markets) Reference index Barclays US HY + Pan Euro HY 2.5% Issuer Cap (EUR), ex financials Ex-ante tracking error Maximum 5% Institutional share classes IEH distributing (EUR hedged: LU ); (USD hedged: LU ) IH accumulating (EUR hedged: LU ); (USD hedged: LU ) 0IH accumulating, zero duration (EUR hedged: LU ); (USD hedged: LU ) Retail share classes Distributing, EUR hedged (BH, quarterly: LU ); (EH, annually: LU ) DH accumulating (EUR hedged: LU ); (USD hedged: LU ); (CHF hedged: LU ) 0DH accumulating, zero duration (EUR hedged: LU ); (USD hedged; LU ) 0EH distributing, zero duration (EUR hedged: LU ) Legal status Investment company with variable capital incorporated under Luxembourg law UCITS IV Yes Management fee 1.00% (retail); 0.50% (institutional) Service fee 0.12% (retail); 0.08% (institutional) Total expense ratio Ca. 1.17%-1.20% (retail); 0.59%-0.63% (institutional) 26

27 Important Information This document has been carefully prepared by Robeco Institutional Asset Management B.V. (Robeco). It is intended to provide the reader with information on Robeco s specific capabilities, but does not constitute a recommendation to buy or sell certain securities or investment products. Any investment is always subject to risk. Investment decisions should therefore only be based on the relevant prospectus and on thorough financial, fiscal and legal advice. The content of this document is based upon sources of information believed to be reliable, but no warranty or declaration, either explicit or implicit, is given as to their accuracy or completeness. This document is not intended for distribution to or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. The information contained in this document is solely intended for professional investors under the Dutch Act on the Financial Supervision (Wet financieel toezicht) or persons who are authorized to receive such information under any other applicable laws. Historical returns are provided for illustrative purposes only and do not necessarily reflect Robeco s expectations for the future. Past performances may not be representative for future results and actual returns may differ significantly from expectations expressed in this document. The value of your investments may fluctuate. Results obtained in the past are no guarantee for the future. All copyrights, patents and other property in the information contained in this document are held by Robeco Institutional Asset Management B.V. No rights whatsoever are licensed or assigned or shall otherwise pass to persons accessing this information. 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. Robeco Institutional Asset Management B.V., Rotterdam (Trade Register no ) is registered with the Netherlands Authority for the Financial Markets in Amsterdam. 27