robecoqiglobalfactor solution fund · 2020-04-30 · cash flow statement 16 notes 17 general 17...

Annual Report 2019

Fund for joint account

RobecoQIGlobalFactor Solution

Fund

Robeco QI Global Factor Solution Fund 2

Contents

Report by the manager 4

General information 4

Key figures 5

General introduction 5

Investment policy 7

Investment result 8

Risk management 8

Movements in net assets 8

Remuneration policy 9

Sustainable investing 10

In Control Statement 13

Annual financial statements 14

Balance sheet 14

Profit and loss account 15

Cash flow statement 16

Notes 17

General 17

Accounting principles 17

Principles for determining the result 17

Principles for cash flow statement 18

Risk management 18

Risks relating to financial instruments 19

Notes to the balance sheet 23

Notes to the profit and loss account 25

Additional information on investments in Robeco Group funds 28

Robeco QI Global Conservative Equities Z EUR 28

Robeco QI Global Momentum Equities Z EUR 49

Robeco QI Global Value Equities Z EUR 63

Schedule of Investments 80

Other information 81

Provisions regarding appropriation of the result 81

Directors’ interests 81

Auditor’s report by the independent auditor 82


Robeco QI Global Factor Solution Fund

(fund for joint account incorporated under Dutch law, subject to the definitions contained within the 1969 Dutch Corporation Tax Act,

domiciled at the offices of the fund manager in Rotterdam, the Netherlands)

Contact detailsWeena 850

PO Box 973

NL-3000 AZ Rotterdam

Telephone +31 (0)10 - 224 12 24

Internet: www.robeco.com

ManagerRobeco Institutional Asset Management B.V. (‘RIAM’)

Policymakers RIAM:

Gilbert O.J.M. Van Hassel

Karin van Baardwijk

Monique D. Donga (until 30 June 2019)

Peter J.J. Ferket

Mark C.W. den Hollander (since 24 June 2019)

Martin O. Nijkamp

Hans-Christoph von Reiche

Victor Verberk

Lia Belilos-Wessels (since 1 December 2019)

Supervisory directors of RIAM:Jeroen J.M. Kremers (until 30 March 2020)

Sonja Barendregt-Roojers

Yoshiko Fujii (until 31 December 2019)

Mark A.A.C. Talbot (since 18 September 2019)

Radboud R.L. Vlaar

Custodian and Transfer Agent (since 23 April 2019)J.P. Morgan Bank Luxembourg S.A., Amsterdam Branch

Strawinskylaan 1135

NL-1077 XX Amsterdam

Fund managersJoop Huij

Simon Lansdorp

Viorel Roscovan

Daniel Haesen

AuditorKPMG Accountants N.V.

Papendorpseweg 83

NL-3528 BJ Utrecht


Report by the manager

General information

Legal aspectsRobeco QI Global Factor Solution Fund (the “fund”) is a closed fund for joint account within the meaning of the Dutch Corporation Tax

Act of 1969 and is therefore fiscally transparent. This means that the fund’s income is allocated directly to the participants. The fund is

formed by the fund's assets that are obtained through deposits by participants, entitling participation in the fund's assets.

Robeco Institutional Asset Management B.V. (“RIAM”) manages the fund. In this capacity, RIAM handles the asset management, risk

management, administration, marketing and distribution of the fund. RIAM holds an AIFMD license as referred to in Section 2:65 Wft,

as well as a license to manage UCITS as referred to in Section 2:69b Wft. RIAM is moreover authorized to manage individual assets and

give advice with respect to financial instruments. RIAM is subject to supervision by the Dutch Authority for the Financial Markets (the

“AFM”).

The assets of the fund are held in custody by J.P. Morgan Bank Luxembourg S.A., Amsterdam Branch. J.P. Morgan Bank Luxembourg

S.A., Amsterdam Branch is appointed as the custodian of the fund as referred to in Section 4:62n Wft. The custodian is responsible for

supervising the fund insofar as required under and in accordance with the applicable legislation. The manager, the fund and J.P. Morgan

Bank Luxembourg S.A., Amsterdam Branch have concluded a custody agreement.

The fund is subject to statutory supervision by the AFM. The fund is entered in the register as stated in Section 1:107 Wft.

Recently, we have been informed that the AFM has determined that RIAM is to undertake remedial measures with respect to its

compliance framework regarding customer due diligence, transaction monitoring and related requirements in the area of our retail fund

distribution activities, and that the AFM intends to impose an order on RIAM in this respect. We are ensuring full compliance with all

relevant laws and regulations, and that it will extend its ongoing compliance enhancements to incorporate these measures. Any related

costs are borne by RIAM and this has no consequence for the investors in the fund.

RobecoWhen ‘Robeco’ is mentioned it means RIAM as well as the activities of other companies that fall within the scope of Robeco’s

management.

Supervision by the Supervisory Board of Robeco Institutional Asset Management B.V.The Supervisory Board of Robeco Institutional Asset Management B.V. supervises the funds under management. During the meetings of

the Supervisory Board, attention was paid, among other things, to developments in the financial markets and the performance of the

funds.

Based on periodic reports, the Supervisory Board discussed the results of the funds with the policy makers of the manager. These

discussions focused on the investment results, the development of assets under management as a result of market movements and the net

inflow of new money as well as operational matters.

In the meetings of the Audit & Risk Committee of the Supervisory Board, the interim financial reports and the reports of the independent

auditor were regularly on the agenda. In addition, risk management, incident management, the tax position and quarterly reports from

internal audit, compliance, legal affairs and risk management were discussed. Furthermore, the Audit & Risk Committee has discussed

the recent information that the AFM has determined that RIAM is to undertake remedial measures with respect to its compliance

framework regarding customer due diligence and related requirements for RIAM’s direct retail distribution channel, and that the AFM

intends to impose an order on the manager in this respect. Attention was also paid to fund governance and compliance with the principles

that RIAM has established in order to secure a careful handling of (potential) conflicts of interest between RIAM as a fund manager and

the investors in the funds. The following subjects were on the agenda, among others: an annual report of fund governance related

monitoring activities prepared by the Compliance department, the Audit Report of KPMG and the annual reports and semi-annual reports

of the funds. The Supervisory Board has determined that RIAM's principles for fund governance are applied.

Market Impact Covid-19Robeco Institutional Asset Management B.V. considers the COVID-19 (Corona) Pandemic as a significant event after closing the

Annual Reports 2019 of the Investment Funds under management. The impact of the pandemic on people, companies and the economy

at large cannot be assessed in full depth at this stage. However, the impact may have a downward effect on the performance. Measures to

mitigate the immediate operational risks are in place. Additional measures are dependent on our own assessments and the response of the

authorities.

Our operational measures for business continuityIn response to the Covid-19 outbreak, Robeco is constantly monitoring the latest developments and has taken all measures necessary to

manage the situation and to ensure business continuity. Our operational measures and capabilities are such that Robeco remains fully

functional in managing client portfolios and serving clients. Our systems and platforms are designed to enable our staff, most of whom

are working from home, to operate as normal. Our approach is one of vigilance and flexibility, allowing us to implement new or revised

measures smoothly and as necessary to ensure the health and safety of our staff while maintaining business continuity.


Report by the manager (continued)General information (continued)

Outsourcing some of the operational activities to J.P. MorganEarly 2018, Robeco announced that it would be outsourcing part of its operations and administration activities to J.P. Morgan. The

decision to outsource is part of the Robeco’s strategic plan for the 2017-2021 period, which envisages further international growth in

both investment and client servicing activities. In the course of 2018, J.P. Morgan became Robeco’s service provider for fund

accounting, operations, custody, depositary and securities lending, in two phases. In April 2019, J.P. Morgan also became Robeco’s

transfer agent for all funds.

Issuance and repurchase of participating unitsThe fund is open-end in nature. This means that the fund, barring exceptional circumstances, issues and purchases its own participating

units on a daily basis at net asset value. Issuance and repurchase of participating units is only possible by the fund itself.

Key investor information and prospectusA prospectus and a key investor information document with information on the product and its associated costs and risks are available

for Robeco QI Global Factor Solution Fund. Both documents are available free of charge at the fund’s offices and at www.robeco.com.

Key figures

Overview 2015 - 2019

2019 2018 2017 2016 2015 Average

Performance in % based on:

– Market Price 23.3 -8.8 8.1 13.2 8.6 8.4

– Net asset value 22.3 -8.1 7.9 12.7 8.5 8.2

MSCI AC World Index (Net return in EUR) 1 28.9 -4.8 8.9 11.1 8.8 10.0

Total net assets 2 161 131 145 136 134

1 Currencies have been converted at rates supplied by World Market Reuters.2 In millions of euros.

General introduction

Review of 20192019 has been a paradoxical year for financial markets; stellar performances for equity and fixed income in an uncertain global

environment. The global economy in 2019 continued on the path of decelerating expansion that emerged in late 2018 on the back of

skyrocketing geopolitical uncertainty. Persisting trade disputes between the US and China, the twists and turns around Brexit, protests in

Hong Kong and an increasingly tribal political landscape in the US created an environment tough to navigate for global leaders and

investors alike. Global trade volumes declined below trend as retaliatory rounds of tariffs were put in place by the US and China,

especially hitting open, export-oriented economies with a strong manufacturing base. The deceleration in global economic growth was

therefore mainly concentrated in the manufacturing sector while the services sector remained fairly resilient. As 2019 unfolded, a

domestic slowdown in China spilled over to the European continent, notably the German economy where Germany’s car industry was

already facing a difficult transition towards cleaner forms of mobility. As a result, Germany narrowly escaped a technical recession in

2019. Overall, global activity remained in expansion, with the global growth forecast reaching 2.9% in 2019 (IMF estimate).

Despite record high levels of geopolitical risk, equity returns have been stellar over 2019, with the MSCI World unhedged in euro

returning 27.5%. It was also one of the best since the financial crisis for fixed-income returns. There was a significant dovish shift in

Federal Reserve policy, which led to increased demand for both interest-rate and risk markets. Because of the Fed’s pause, followed by

rate cuts in the second half of the year, the environment remained supportive throughout 2019. Global government bonds (hedged to

euro) returned 4% while at the same time global corporate credit bonds (hedged to euro) returned 8.5%.

Global economic growth disappointed with regard to consensus expectations and slowed from 3.6% in 2018 to a notably lower pace of

3%. Alongside a slowdown in external demand, this softening in global activity was mainly due to a deterioration in global investment

expenditures, as signs of fading multilateralism and international cooperation weakened CEO confidence to undertake new global

investment projects. In advanced economies, capital expenditures slowed from 2.6% in 2018 to 1.8% in 2019 (IMF estimate),

concentrated in the US. In conjunction with lower investment demand, aggregate demand from the consumer side advanced at a lower

rate of growth as well in 2019.

Even as this period of US economic expansion has now become the longest post-WWII, consumption growth has remained significantly

below the average growth rate observed during previous US expansion phases. This is partly due to a significant household deleveraging

post great financial crisis. Another element is that economic growth has become less inclusive. Especially those with the highest

marginal propensity to spend have missed out on the rising economic tide. US nominal wage growth has picked up to around 3% but

given that the US unemployment rate at 3.5% signals that the US is experiencing the tightest labor market in the past 50 years, this level

is still subdued. In most advanced economies, employment numbers have increased (though overall at a more modest pace compared to

2018) and unemployment rates are now close to or at cyclical lows. Household demand remains underpinned by a rising trend in real

disposable incomes, increased housing wealth and generally low interest rates.


Report by the manager (continued)

General introduction (continued)

Review of 2019 (continued)Despite higher import tariffs in some countries, global inflation remained muted. As the global manufacturing slowdown led to higher

inventory-to-sales ratios, capacity utilization rates came down and as a result core inflation decelerated further below target for many

advanced economies and emerging markets. In the US, core PCE inflation (which excludes changes in consumer food and energy prices)

remained at 1.6%, below the symmetrical inflation target of 2% of the Fed. Inflation is increasingly influenced by global factors such as

global commodity prices, global slack, exchange rates and producer price competition.

In the UK, the twists and turns in the debate around Brexit continued to be as relentless as they were in 2018, until Boris Johnson

convincingly won the December general election. The UK Prime Minister showed his intention to move the UK out of the EU by end of

January 2020 by signing the EU withdrawal bill. He also indicated he would limit the transitional period and not to seek an extension of

the UK’s transition away from the EU beyond 31 December 2020. Given the challenging timetable the UK government has set itself, the

UK will likely negotiate a minimum trade deal, concentrating on the trade in goods. As Johnson may opt to remove the self-imposed 31

December 2020 deadline, the chances of a no-deal ‘hard’ Brexit by the end of 2020 have diminished, but not vanished altogether.

In China and other emerging markets, weakness in domestic consumer spending dominated the deterioration in external demand.

Chinese economic growth slowed to 6.1% in 2019. Debt, deleveraging and demographics are three key words influencing China’s

domestic policy agenda. Policy makers are undertaking a difficult balancing act to keep near-term growth around the 6% target while

also trying to remove excess leverage (overall non-financial corporate debt is around 250% of GDP) to keep the economy on a

sustainable longer-term path. China’s rapidly ageing society is also hampering its long-term potential growth.

Financial Market Environment Q1 2020The first quarter of 2020 will be the focus of many future financial history books. Initially, the first weeks of 2020 got off to a promising

start. The long-anticipated signing of a “phase 1” trade agreement between China and the US took place on January 15th while global

leading indicators surprised to the upside and confirmed expansion of economic activity. In the second half of January, however, these

signals of reflation (increasing global growth towards trend level) were completely overshadowed by rising concerns over the outbreak

of a coronavirus starting in Wuhan, which the WHO eventually named “Covid-19”. On January 23th, China started a drastic, but

effective lockdown of the city of Wuhan and other cities in the Hubei area to contain the virus. Still, Covid-19 had already crossed

borders; the WHO declared Covid-19 a pandemic on March 11th. By March 31st, Covid-19 had exponentially spread to at least 163

countries with 858,361 people infected, causing 42,309 deaths.

Many countries followed the example set by China in containing the spread of Covid-19. As a result of increasing lockdowns and social

distancing measures, the global economy has come to a sudden stop, leaving a global recession inevitable at this juncture. Covid-19 has

delivered a simultaneous negative supply-as well as demand shock. In addition, social distancing measures aggravate the impact of the

oil supply glut that erupted after OPEC+ negotiations about oil production cuts failed.

Leading producer confidence indicators already plummeted in March to 2008 recession lows. Markets now (rightly) infer a Q2 global

GDP collapse not seen in the post-WWII era. Another clue in this direction are the staggering weekly jobless claims numbers (+10

million) in the US. The latest March jobless claims statistic was already exactly 10.0 times the highest number observed during the GFC

recession.

Earlier in March, the Fed swiftly lowered its conventional policy rate from 1.75% to 0.25% and expanded its balance sheet by almost

USD 1000 billion by asset purchases and repo agreements. Other central banks also pursued a “whatever it takes” strategy and undertook

similar measures. Next to central banks, governments have pulled all the stops as well in effort to dampen the economic impact of Covid-

19. The US Congress approved an emergency fiscal stimulus package amounting to 10% of US GDP. In Europe, Germany swiftly

approved a package worth 4.5% of GDP.

As the above dramatic events evolved, financial markets went into a tailspin of unprecedented scale. The S&P500 index peaked on

February 19th before sliding into a bear market at the fastest pace seen since 1929, ending the longest bull market in history that began in

March 2009. In the enormous market turbulence (a measure of implied equity volatility, the VIX, spiked above the peak level seen

during the Great financial Crisis of 2008), liquidity pressures mounted. Even safe-haven assets like US Treasuries and gold were battered

initially as investors scrambled for cash. Eventually, haven assets recovered in the second phase of the turmoil as massive liquidity

injections by central banks eased forced selling pressures.

Global government bonds (hedged, EUR) generated a positive return of 4.5% in Q1 2020. Riskier fixed income asset classes with equity-

like risk characteristics suffered losses. Global high yield (hedged, EUR) lost 15.1%, whereas global investment grade bonds (hedged,

EUR) lost 4.6%. Global equities as measured by the MSCI World index (hedged, EUR) lost 20.4% in Q1 2020.



General introduction (continued)

Financial Market Environment Q1 2020 (continued)The first quarter of 2020 has been extraordinary. The exceptional market volatility in this quarter reflects exceptional future macro-

economic volatility. Monetary- and fiscal stimulus is important but solving the health crisis is the key priority for economic recovery.

The Covid-19 pandemic is still with us at the time of writing this report, though the strenuous efforts undertaken by governments to

“flatten the curve” are starting to pay off with case fatality rates in most countries decelerating. Together with the massive amount of

fiscal-and monetary stimulus and policy measures taken (i.e. the lowering of countercyclical buffers for banks to protect the flow of

credit to the real economy, liquidity assistance for corporates as well as wage subsidies to keep workers employed), some positives for a

future global economic recovery have arrived at the end of March.

Outlook for the equity marketsWe are cognizant of the fact that global growth expectations are likely to be revised even lower in light of the prolonged duration of the

Covid-19 outbreak well into 2020 and recognize that the road to recovery will be a very erratic one and certainly not in a straight line or

typical V-shape. We do expect a bounce in economic activity from the very depressed levels in the first half of 2020 but we also take

notion of direct and longer lasting negative second round effects on consumption, employment and business investment despite large-

scale stimulus by central banks and governments.

Equity investors will need to navigate two-way risk in 2020. On the upside, current equity markets have largely discounted average

recession risk already. Although it must be noted that historically bear markets tend to last an average of 14 months. Also, the swift and

massive intervention by central banks and governments provides a powerful counterbalance to the coming economic downturn. If history

is a guide than equities should enter a trough midway into a recession and rally 25% in the subsequent 12 months.

Nonetheless, we are not out of the woods yet. An important variable determining the duration and depth of bear markets is the Shiller

CAPE at the prior market peak. Prior to the Covid-19 pandemic the US was at historically stretched valuation levels. Add to this low

visibility on the duration of the recession and the subsequent economic recovery path, a state of denial in investor sentiment and limited

conventional monetary policy space. Therefore, tactical equity investors should remain vigilant as additional downside risk remains.

However for long term investors, interesting value opportunities in equities are emerging.

Because of the very rapid developments around the Covid-19 pandemic and its impact on the worldwide economy, we refer to our

website Robeco.com for the latest updates on our outlook for equity markets.

Investment policy

IntroductionThe fund’s investment policy is geared towards capital accumulation in the long term. The sub-fund invests primarily in Robeco funds

(funds of the Robeco Group) that invest in one of the following quantitative strategies: a strategy that focuses on securities with low risk

(Conservative), a strategy that focuses on securities that are attractively valued (Value) and a strategy that focuses on securities with a

positive price development (Momentum).

Investment objectiveThe fund holds an equally weighted strategic weight in the underlying funds. Movements in the fund assets may be used to adjust the

portfolio towards the strategic weights. Rebalancing is effected in March, June, September and December if the relative weights vary by

more than 10 per cent from the strategic weights. If this is the case, the weights will be adjusted. The MSCI AC World Index (Net Return

in EUR) is used as the reference index.

Implementation of the investment policyThe objective of the fund is to exploit key anomalies known in global stock markets, such as value, momentum and low-risk. Value

stocks are stocks that are cheap relative to the issuing company's fundamental values, such as book value. Momentum stocks are stocks

that have recently performed well, for example in terms of return. Low-risk stocks are characterized by, for example, lower volatility and

lower market sensitivity. For all these groups, in-depth research has shown that they have outperformed the market in the long term. The

Robeco QI Global Factor Solution Fund offers diversified and efficient exposure to these factors, by investing a strategic weight of 33%

in the underlying factor strategies Robeco QI Global Value Equities, Robeco QI Global Momentum Equities and Robeco QI Global

Conservative Equities. Once a quarter, we assess whether the factor weights are still within the predetermined bandwidth that ensures

proper diversification. If a factor weight does exceed the bandwidth, the weight will be adjusted so that the factor diversification remains.

In addition to this quarterly factor rebalancing process, cash flows are used to rebalance the fund’s factor weights towards the strategic

weights.

The fund’s investable universe is made up of all stocks in developed and emerging economies with sufficient market value and daily

trading volume. In principle, the investment universe comprises stocks that form part of the index. In order to also be able to select stocks

with favorable factor characteristics that are not part of this index, we have extended the universe to include stocks from the Broad

Market Index, compiled by S&P. We use a minimum daily trading volume and a minimum market value to achieve a relatively stable

and liquid investment universe.



Investment policy (continued)

Implementation of the investment policy (continued)By means of a bottom-up strategy, the fund provides exposure to the value, momentum and low-risk factors. At the same time, we aim to

identify and avoid unrewarded factor risks. For example, for the value factor, we use our distress risk model to identify and avoid

bankruptcy risk. In addition, we aim to prevent exposure to one factor from creating negative exposure to another, as this can detract

from the return. This can be reached by taking value and risk characteristics into account in the selection of momentum stocks, for

example. This approach ensures that for each factor, attractive stocks are identified efficiently. The portfolio construction process

subsequently translates this into an optimal and diversified factor portfolio. The portfolio construction process is highly disciplined and

attempts to avoid unnecessary transaction costs by only buying stocks if their expected returns outweigh the associated costs.

Currency policyThe fund invests in shares of Robeco funds which may be denominated in various currencies. Currency risk is not hedged as standard.

Investment result

Net result per participating unit 1

EUR x 1 2019 2018 2017 2016

Change in value 34.34 -11.46 12.30 15.80

Management and other costs -1.07 -1.02 -0.98 -0.86

Net result 33.27 -12.48 11.32 14.94

1 Based on the average amount of participating units outstanding during the reporting year. The average number of participating units is calculated on a daily basis.

The Robeco QI Global Factor Solution Fund lagged the MSCI All Country World index in a strongly rising market. The value,

momentum and low-risk factor all had a negative contribution to the relative performance of the fund.

Return and riskNext to the investment result in terms of return, risk management is an essential part of the investment process. The risk profile of the

fund, as measured by the volatility, was lower than that of the index.

Risk management

A description of the risk management can be found in the notes to the financial statements on pages 18 through 22.

Movements in net assets

During the reporting period the assets of the fund rose by EUR 29.1 million to EUR 160.5 million. This increase can be explained by the

following items. On balance, stocks to the amount of EUR 1.4 million were bought. Adding the net result increased these assets by EUR

30.5 million. No dividend was distributed.

Survey of movements in net assets

2019

EUR' 000

2018

EUR' 000

Assets at opening date 131,360 145,062

Participating units issued 4 532

Participating units purchased (1,443) (2,657)

Situation on closing date 129,921 142,937

Direct investment income (1) –

Indirect investment income 31,565 (10,630)

Costs (985) (947)

Net result 30,579 (11,577)

Assets at closing date 160,500 131,360



Remuneration policy

The fund itself does not employ any personnel and is managed by RIAM. In the Netherlands, persons performing duties for the fund at

management-board level and portfolio managers are employed by Robeco Nederland B.V. The remuneration for these persons comes out

of the management fee. RIAM’s remuneration policy, that applies to all staff working under RIAM’s responsibility, meets the applicable

requirements of the European frameworks of the AIFMD, MiFID, the UCITS Directive, the ESMA guidelines on sound remuneration

policies under the UCITS Directive, as well as the Dutch Remuneration Policy (Financial Enterprises) Act (Wet beloningsbeleid

financiële ondernemingen). The remuneration policy has the following objectives:

a) To stimulate employees to act in our clients’ interests and avoid taking undesirable risks.

b) To promote a healthy corporate culture, with a strong focus on achieving sustainable results in accordance with the long-term

objectives of RIAM and its stakeholders.

c) To attract and retain good employees and to reward talent and performance fairly.

Responsibility for the remuneration policyThe Supervisory Board of RIAM supervises the correct application of the remuneration policy and is responsible for the annual

evaluation. Changes in the remuneration policy have to be approved by the Supervisory Board of RIAM. The Nomination &

Remuneration Committee of the Supervisory Board of RIAM provides advice to the Supervisory Board of RIAM in the execution of

these tasks, with the involvement of the HR Department and the relevant internal control officers. In the application and evaluation of the

remuneration policy, RIAM regularly makes use of the services of various external advisers. The remuneration of fund managers consists

of a fixed component and a variable component.

Fixed remunerationThe fixed salary of each employee is based on his/her role and experience and is in accordance with the RIAM salary ranges, which have

also been derived from benchmarks in the investment management sector. The fixed salary is deemed to be adequate remuneration for

the employee to properly execute their responsibilities, regardless of whether the employee receives any variable remuneration.

Variable remunerationIn accordance with the applicable laws and regulations, the available budget/pool for variable remuneration is approved in advance by

the Supervisory Board of RIAM based on a proposal made by the Nomination & Remuneration Committee of the Supervisory Board of

RIAM. The total budget/pool is based, in principle, on a percentage of RIAM's operating result. In order to ensure that the total variable

remuneration accurately reflects the performance of RIAM and the funds that it manages, when determining the budget/pool, a correction

is made for risks that may occur in the year concerned and furthermore for multiple-year risks that may affect the risk profile of RIAM.

The variable remuneration component for the fund managers depends on the multi-year performance of the fund. The system is linked to

outperformance with regard to risk-adjusted pre-determined annual targets. The calculated outperformance over a one-year, three-year

and five-year period is taken into account when determining the variable remuneration. Also important in this determination are

behavior, the extent to which team- and individual qualitative and predetermined objectives have been achieved and the extent to which

Robeco corporate values are observed. The fund manager’s contribution to the various organizational objectives is also taken into

consideration. Poor performance, unethical or non-compliant behavior will reduce individual awards or can even result in no variable

remuneration being awarded at all. For the senior fund manager, the Identified Staff regime also applies (see below).

Identified StaffRIAM has a specific and more stringent remuneration policy for employees who could have a material impact on the risk profile of the

fund. These employees are designated to be 'Identified Staff'. For 2019, in addition to the Management Board, RIAM has designated 99

employees as Identified Staff, including all senior portfolio managers, senior management and the heads of the control functions (HR,

Compliance, Risk Management, Business Control, Internal Audit and Legal). Among other things the performance targets of these

employees that are used to determine the award of variable pay are subject to additional risk analyses, both prior to the performance year

and at the end when the results are evaluated. In addition, in all cases at least 70% of the payment of variable remuneration granted to

these employees will be deferred for a period of four years, and 50% will be converted into instruments (‘Robeco Cash Appreciation

Rights’) whose value will follow the company's future results.

Risk controlRIAM has implemented additional risk management measures with regard to the variable remuneration. For instance, RIAM has the

possibility with regard to all employees to reclaim the granted variable remuneration ('claw-back') when this has been based on incorrect

assumptions, fraudulent acts, serious improper behavior, serious neglect of duties or behavior that has resulted in a considerable loss for

RIAM. After the granting but before the actual payment of the deferred variable remuneration components to Identified Staff, an

additional assessment is performed to check whether new information would result in decreasing the previously granted remuneration

components (the so-called ‘malus arrangement’). The malus arrangement can be applied because of (i) misconduct or a serious error of

judgement on the part of the employee (ii) a considerable deterioration of RIAM's financial results that was not foreseen at the time the

remuneration was granted (iii) a serious violation of the risk management system, leading to changed circumstances compared with the

granting of the variable remuneration or (iv) fraud committed by the employee concerned.



Remuneration policy (continued)

Annual assessmentRIAM's remuneration policy and the application thereof was evaluated in 2019 under the responsibility of the Supervisory Board of

RIAM, advised by the Nomination & Remuneration Committee of the Supervisory Board of RIAM. As a result no material changes were

necessary to the remuneration policy.

Remuneration in 2019Of the total amounts granted in remuneration1 in 2019 to the group's Board, Identified Staff and Other Employees, the following amounts

are to be assigned to the fund:

Remuneration in EUR x 1

Staff category Fixed pay for 2019 Variable pay for 2019

Board (4 members) 2,017 2,307

Identified Staff (99) (ex Board) 19,311 12,832

Other employees (655 employees) 52,493 14,852

The total of the fixed and variable remuneration charged to the fund is EUR 103,812. Imputation occurs according to the following key:

Total remuneration (fixed and variable) xTotal fund assets

Total assets under management (RIAM)

The fund itself does not employ any personnel and has therefore not paid any remuneration above EUR 1 million.

1 The remunerations relate to activities performed for one or more Robeco entities.

Remuneration managerThe manager (RIAM) has paid to 3 employees a total remuneration above EUR 1 million.

Sustainable investing

Sustainable investing is one of the main pillars of Robeco's strategy and is firmly anchored in our investment convictions. We are

convinced that including ESG2 factors leads to better investment decisions. We are also convinced that exercising our voting rights and

engaging in a dialogue with companies have a positive effect on the investment result and society in general. During 2019, we made

every effort to further stimulate Sustainable investing at Robeco and beyond.

All Robeco’s investment activities comply with the United Nations Principles for Responsible Investing (UNPRI). In 2019, Robeco was

awarded an A+ for most of the modules that were assessed as part of the UN Principles for Responsible Investment (UN PRI) 2019

report. This was the sixth year in a row that Robeco obtained the highest score for the majority of the modules assessed by UNPRI.

Responsibility for implementing Sustainable investing lies with the Head of Investments, who also has a seat on Robeco's Executive

Committee.

2 ESG is the abbreviation of ‘Environmental, Social and Governance’, which refers to factors relating to the environment, society and corporate governance.

Focus on stewardshipFulfilling our responsibilities in the field of stewardship forms an integral part of Robeco's approach to Sustainable investing. A core

aspect of Robeco's mission is fulfilling our fiduciary duties towards our clients and beneficiaries. Robeco manages investments for a

variety of clients with different investment needs. We always strive in everything we do to serve our clients interests to the best of our

ability.

In our view, the fact that more and more stewardship codes are being introduced around the globe is a positive development, and we are

strong advocates of active ownership. For this reason we publish our own stewardship policy on our website. This policy describes how

we deal with possible conflicts of interest, how we monitor the companies in which we invest, how we conduct activities in the field of

engagement and voting, and how we report on our stewardship activities.

To mark our strong commitment to stewardship, we have become signatories to many different stewardship codes. In 2018 Eumedion,

the Dutch governance platform for institutional investors, published a Dutch stewardship code. Robeco was a participant in the working

group that wrote this code. In previous years we became signatories to the stewardship codes of the United Kingdom, Japan and Brazil.

In addition, Robeco a.o. meets the Taiwanese Stewardship Principles for Institutional Investors, the US ISG stewardship principles, the

Principles for Responsible Ownership in Hong Kong, Singapore Stewardship Principles and the Korean Stewardship Code.



Sustainable investing (continued)

Contributing to the Sustainable Development GoalsRobeco is a signatory in the Netherlands to the Sustainable Development Goals Investing Agenda. To help our customers contribute to

the objectives, we worked on analyzing the SDG1 contribution of companies and developing SDG investment solutions. Currently

multiple solutions are available both in equity and fixed income and the amount of assets that are managed in line with this SDG

methodology is increasing rapidly.

Furthermore, Robeco contributes to the SDGs by integrating ESG factors in its decision-making process for investments and encourages

companies to act in support of these goals by means of a constructive dialogue. The SDGs are continually considered during the

engagement and voting activities. These therefore present the opportunity to emphasize the effect that engagement can have on society.

Robeco’s Active Ownership team would like new themes to always be directly linked to at least one of the goals. In 2019 we started

engaging with companies for example on Palm Oil, directly linked to SDG 12 and 15, with a clear objective to improve the Roundtable

on Sustainable Palm Oil (RSPO) certification and mitigate deforestation.

1 Sustainable Development Goals

ESG integration by RobecoSustainability can bring about changes in markets, countries and companies in the long term. And since changes affect future

performance, ESG factors can in our view add value to our investment process. We therefore look at these factors in the same way as we

consider a company's financial position or market momentum. We have research available from leading sustainability experts, including

our sister company RobecoSAM. The dedicated Sustainable Investing research team works together very closely with the investment

teams to provide them with in-depth sustainability information.

The investment analysis focuses on the most material ESG factors and the connection with the financial performance of a company. We

can then focus on the most relevant information in performing our investment-analysis and can reach enhanced investment decisions.

Besides integrating ESG, Active Ownership and exclusions into all of our investment processes, in 2019 we continued developing new

sustainable investment funds with specific sustainable goals and criteria. Furthermore we measured carbon footprints and climate change

risks in our portfolios in order to gain more insight and create awareness.

ExclusionRobeco pursues an exclusion policy for companies that are involved in the production of or trade in controversial weapons such as

cluster munition and anti-personnel mines, for tobacco companies and for companies that seriously and habitually violate either the

United Nations Global Compact (UNGC) or OECD Guidelines for Multinational Enterprises. We apply strict criteria for this last

category and if a dialogue fails the company will be excluded. Robeco publishes its exclusion policy and the list of exclusions on its

website. In 2019 Robeco developed a palm oil policy. Robeco considers the production of palm oil a process with significant

environmental and social risks, leading to breaches of the UN Global Compact when this product is not produced sustainably. Listed

companies that have less than 20% of their plantations certified to sustainability standards are excluded from fund investments. Other

palm oil producing companies are part of an engagement program where Robeco requires them to make progress towards full RSPO

certification and addresses potential controversies and breaches of the UN Global compact.

Active ownershipConstructive and effective activities under active ownership encourage companies to improve their management of risks and

opportunities in the field of ESG. This in turn establishes a better competitive position and improved profitability and moreover has a

positive impact on the community. Active ownership involves voting and engagement. Robeco exercises its voting rights for the shares

in its investment funds all over the world. In addition, Robeco enters into an active dialogue with the companies in which it invests on

questions concerning the environment, society and corporate governance. In 2019, our activities towards achieving active ownership

were again awarded high scores under the Principles for Responsible Investment (PRI). Robeco has Active Ownership specialists in both

Rotterdam and Hong Kong. In 2019 Robeco engaged with over 220 companies on different issues ranging from corporate governance to

data privacy to climate change. The primary focus of this engagement is to address strategic ESG issues that might affect value creation

in the long term. Hereafter, two 2019 case studies are provided to illustrate Robeco’s approach towards fulfilling our stewardship

responsibilities.

Robeco’s Active Ownership successful in engagement with the Auto Industry

In the engagement theme ESG Challenges in the Auto Industry key elements of discussion included the alignment of companies’

strategies with a low-carbon future, including their ability to comply with emissions standards, and the need to focus on innovation and

to finetune product development to make sure their future products meet client demand and regulatory requirements. Our success with a

German carmaker is unique in a sector that struggles with the transition to a low-carbon economy.

During a three-year engagement, the German automotive company announced its ambition to achieve net-zero emissions fleet by 2039,

and committed to carbon-neutral energy supply by 2022 in line with our request. In addition, the company is the first carmaker to tie

quantitative metrics on sustainable mobility in the executive renumeration policy. Overall, the company’s net-zero fleet commitment is

considered best practice in the industry.




Active ownership (continued)Robeco’s Active Ownership successful in engagement with the Auto Industry (continued)

The engagement has taken place in collaboration with Transition Pathway Initiative (TPI) and the Institutional Investors Group on

Climate Change (IIGCC), of which Robeco co-ordinates the Advisory Committee on automotives.

The model the company has followed is similar to the earlier success booked by Robeco’s Active Ownership team with Royal Dutch

Shell, the first company to link climate targets to executive renumeration.

Leading the financial sector in Palm Oil Engagement

Early 2019, Robeco has stepped up engagement with the producers of palm oil to address sustainability issues in the industry. As a

responsible investor, Robeco has been engaging with palm oil producers, traders and buyers on sustainability-related issues since 2010.

Palm oil is a vital commodity that is an essential ingredient in many consumer goods, from chocolates to shampoo. As the most land-

efficient and versatile vegetable oil, its cultivation as a cash crop is highly profitable.

However, the industry continues to face significant problems related to deforestation, its large carbon footprint, and labor standards in

emerging markets. Robeco’s new approach to address these problems is a combination of enhanced engagement and sustainability

investing methodology.

With enhanced engagement, we formulate minimum standards that companies need to meet after three years of engagement to ensure

eligibility in our investment universe. For the methodology, Robeco now conducts a sector screen that benchmarks companies according

to the amount of land that has been certified by RSPO, a not-for-profit group that Robeco joined in January as the first investor.

Robeco plays an active role in multiple collaborations regarding palm oil, strongly believing in the premise that we are stronger together.

Within the RSPO, Robeco is member of the Financial Institutions working group, the deforestation group as well as member of the

Complaints Panel. Within the PRI Robeco is part of the advisory committee of the Engagement working groups related to Deforestation,

Labor Standards in Agricultural supply chain, and Palm Oil. Last, Robeco joined the Sustainable Palm Oil Choice to contribute to the

transition to 100% sustainable palm oil in Europe.

VotingIn 1998, Robeco started voting for its investment funds and on behalf of its institutional clients. The votes are cast by specialized voting

analysts in the Active Ownership team. We attend several shareholder meetings ourselves, but in most cases we cast our votes

electronically. Our voting activities are published shortly after the shareholders’ meetings on our website, in line with best practice

regarding voting transparency.

Our extensive voting policy is based on 20 years of experience and insight, and we anticipate the specific policy requests of our

mandates if necessary. We vote at all meetings where this is possible. In practice, we only refrain from voting in the event of share

blocking. In such cases, we assess the importance of the meeting and the influence of our positions on the voting.

Our voting policy and our analysis are based on the internationally accepted principles of the International Corporate Governance

Network (ICGN) and on local directives. These principles constitute an extensive framework for assessing the corporate governance

practices of companies. They also provide sufficient latitude for companies to be assessed on the basis of local standards, national

legislation and codes of conduct for corporate governance. In our assessment we take into account company-specific circumstances.

Important decisions are taken in close consultation with the portfolio managers and the analysts in Robeco's investment teams and with

our engagement specialists. The information we receive during shareholders’ meetings is taken into account in our engagement activities

and in the investment process followed by the Robeco funds.

EngagementSince as early as 2005, we have encouraged management board members from the companies in which we invest to practice good

corporate governance and to strive to achieve an environmentally and socially friendly policy. The aim of our engagement is to increase

shareholder value in the long term and to achieve a positive impact on society. For Robeco, engagement and voting are important

elements for achieving a successful integrated strategy for Sustainable investing that will lead to enhanced investment decisions and can

improve the risk/return profile of our portfolios.

For our engagement activities we use a focused approach in which we enter into a constructive dialogue with a relevant selection of

companies in which we invest. This dialogue deals with ESG factors such as quality of management, human rights and management of

environmental risks. We differentiate between two types of engagement: the proactive Value Engagement approach and the Enhanced

Engagement approach following a violation of the principles of the UN Global Compact and OECD Guidelines for Multinational

Enterprises.




Engagement (continued)Our Value Engagement activities focus on a small number of sustainability themes with the greatest potential for value creation for the

companies in which we invest. We select these themes on the basis of financial materiality by carrying out a baseline measurement and

formulating engagement profiles for the companies we enter into a dialogue with. We select new engagement themes in close

consultation with engagement specialists, portfolio managers and analysts, who work together closely throughout the dialogue. We give

priority to companies in Robeco's portfolios with the greatest exposure to the selected engagement theme.

Our Enhanced Engagement program focuses on companies whose actions conflict seriously and systematically with the principles of the

United Nations Global Compact (UNGC) in the field of human rights, labor, the environment and anti-corruption and OECD Guidelines

for Multinational Enterprises. With this program we try to exert an influence on these companies to persuade them to act in accordance

with the UNGC principles and OECD Guidelines. Our engagement normally lasts three years, during which time we hold regular

meetings and conference calls with representatives from the company and monitor progress made on the engagement objectives.

If an Enhanced Engagement dialogue does not lead to the desired result, Robeco can exclude this company from Robeco's investment

universe. The Enhanced Engagement process is a formal part of Robeco's exclusion policy.

Integration of ESG factors in investment processesSustainability factors based on RobecoSAM scores are integrated in the investment policy. These scores take into account

environmental, social and governance (ESG) factors. The investment process is highly disciplined and ensures that the fund's overall

sustainability score is higher than or equal to the overall sustainability score of the benchmark. This means that a stock with a good ESG

score is more likely to be included in the portfolio. Companies with a poor ESG score have less chance of being included in the portfolio.

In Control Statement

Robeco Institutional Asset Management B.V. has a description of internal control, which is in line with the requirements of the Wet op

het financieel toezicht (“Wft”) and the Besluit gedragstoezicht financiële ondernemingen (“BGfo”).

Findings Recently, we have been informed that the AFM has determined that we are to undertake remedial measures with respect to our

compliance framework regarding customer due diligence, transaction monitoring and related requirements for RIAM’s direct retail

distribution channel, and that the AFM intends to impose an order on the manager in this respect. We are committed to ensuring full

compliance with all relevant laws and regulations, and we will extend our ongoing compliance enhancements to incorporate these

measures. Any related costs are borne by the manager and have no consequence for investors in the fund.

Report of internal controlExcept for the aforementioned findings, we noted nothing that would lead us to conclude that operational management does not function

as described in this statement. We therefore declare with reasonable assurance that the design of internal control, as mentioned in article

121 BGfo meets the requirements of the Wft and related regulations and that operational management has been effective and has

functioned as described throughout the reporting year, except for the findings described above. Based upon this conclusion, we as the

Board of Directors of Robeco Institutional Asset Management B.V. are committed to have a description of internal control which meets

the requirements mentioned in article 121 BGfo and we will extend our ongoing compliance enhancements to incorporate required

measures.

Rotterdam, 30 April 2020

The Manager


Annual financial statements

Balance sheet

Before profit appropriation Notes

31/12/2019

EUR' 000

31/12/2018

EUR' 000

ASSETS

Investments

Investments in funds of the Robeco Group 1 160,756 131,560

Total investments 160,756 131,560

Other assets

Cash and cash equivalents 2 2 26

LIABILITIES

Accounts payable

Payable to affiliated parties 3 256 224

Other liabilities, accruals and deferred income 4 2 2

Total accounts payable 258 226

Accounts receivable and other assets less accounts payable (256) (200)

Assets less liabilities 160,500 131,360

Composition of fund assets 5, 6

Participants capital 5 83,853 85,292

General reserve 5 46,068 57,645

Undistributed earnings 5 30,579 (11,577)

Fund assets 160,500 131,360

The numbers of the items in the financial statements refer to the numbers in the Notes.


Annual financial statements (continued)

Profit and loss account

Notes

2019

EUR' 000

2018

EUR' 000

Investment income 7 (1) –

Unrealized gains 1 30,804 2,749

Unrealized losses 1 – (14,252)

Realized gains 1 761 873

Total operating income 31,564 (10,630)

Costs 11, 12 – –

Management fee 8 978 937

Other costs 10 7 10

Total operating expenses 985 947

Net result 30,579 (11,577)



Annual financial statements (continued)

Cash flow statement

Notes

2019

EUR' 000

2018

EUR' 000

Cash flow from investment activities

Net result 30,579 (11,577)

Unrealized changes in value 1 (30,804) 11,503

Realized changes in value 1 (761) (873)

Purchase of investments 1 – (122)

Sale of investments 1 2,369 3,167

Increase (+)/decrease (-) accounts payable 3, 4 32 (10)

1,415 2,088

Cash flow from financing activities

Received for units subscribed 4 532

Paid for repurchase of own units (1,443) (2,657)

(1,439) (2,125)

Net cash flow (24) (37)

Increase (+)/decrease (-) cash (24) (37)

– –

Cash at opening date 2 26 63

Total cash at opening date 26 63

– –

Cash at closing date 2 2 26

Total cash at closing date 2 26



Notes

General

The annual financial statements have been drawn up in conformity with Part 9, Book 2 of the Dutch Civil Code and the Wft. The fund’s

financial year is the same as the calendar year.

Accounting principles

GeneralThe financial statements are produced according to the going concern assumption. Unless stated otherwise, items shown in the financial

statements are stated at nominal value and expressed in thousands of euros. Assets and liabilities are recognized or derecognized in the

balance sheet on the transaction date.

Financial investmentsFinancial investments are classified as trading portfolio and are valued at fair value, unless stated otherwise. The fair value of stocks is

determined on the basis of market prices and other market quotations at closing date. Transaction costs incurred in the purchase and sale

of investments are included in the purchase or sale price as appropriate. Transaction costs incurred in the purchase of investments are

therefore recognized in the first period of valuation as part of the value changes in the profit and loss account.

Recognition and derecognition of items in the balance sheetInvestments are recognized or derecognized in the balance sheet on the transaction date. Equities and derivatives are recognized in the

balance sheet on the date the purchase transaction is concluded. Equities are derecognized in the balance sheet on the date the sale

transaction is concluded. Derivatives are fully or partially derecognized in the balance sheet on the date the sales transaction is concluded

or if the contract is settled on the expiry date. Accounts receivable and payable are recognized in the balance sheet on the date that

contractual rights or obligations with respect to the receivables or payables arise. Receivables and payables are derecognized in the

balance sheet when, as a result of a transaction, the contractual rights or obligations with respect to the receivables or payables no longer

exist.

Cash and cash equivalentsCash and cash equivalents are carried at nominal value. If cash is not freely disposable, this is factored into the valuation.

Cash expressed in foreign currencies is converted into the functional currency as at the balance sheet date at the exchange rate applicable

on that day.

Accounts receivableReceivables are valued after initial recognition at amortized cost based on the effective interest method, less impairments. Given the

short-term character of the receivables, the value is equal to the nominal value.

DebtNon-current debts and other financial obligations are valued, after initial recognition, at the amortized cost price based on the effective

interest method. Given the short-term character of the debt, the value is equal to the nominal value.

Principles for determining the result

GeneralInvestment results are determined by investment income, rises or declines in stock prices. Results are allocated to the period to which

they relate and are accounted for in the profit and loss account.

Recognition of incomeIncome items are recognized in the profit and loss account when an increase of the economic potential associated with an increase of an

asset or a reduction of a liability has occurred and the amount of this can be reliably established.

Recognition of expensesExpense items are recognized when a reduction of the economic potential associated with a reduction of an asset or an increase of a

liability has occurred and the amount of this can be reliably established.


Notes (continued)

Principles for determining the result (continued)

Investment incomeInterest income and expense during the reporting year are recognized under this item.

Changes in valueRealized and unrealized capital gains and losses on securities and currencies are presented under this heading. Realization of capital

gains takes place on selling as the difference between the realizable sales value and the average historical cost price. Unrealized capital

gains relate to value changes in the portfolio between the beginning of the financial year and the balance sheet date, corrected by the

realized gains when positions are sold or settlement takes place.

Principles for cash flow statement

GeneralThis cash flow statement has been prepared using the indirect method. Cash comprises items that may or may not be directly callable.

Risk management

The presence of risks is inherent to asset management. It is therefore very important to have a procedure for controlling these risks

embedded in the company's day-to-day operations. The manager (RIAM) ensures that risks are effectively controlled via the three-lines-

of-defense model: RIAM management (first line), the Compliance and Risk Management departments (second line) and the Internal

Audit department (third line).

The management of RIAM has primary responsibility for risk management as part of its day-to-day activities. The Compliance and Risk

Management departments develop and maintain policy, methods and systems that enable the management to fulfill their responsibilities

relating to risk. Furthermore, portfolios are monitored by these departments to ensure that they remain within the investment restrictions

under the Terms and Conditions for Management and Custody and the prospectus, and to establish whether they comply with the internal

guidelines. The Risk Management Committee decides how the risk management policies are applied and monitors whether risks remain

within the defined limits. The Internal Audit department carries out audits to assess the effectiveness of internal control.

RIAM uses a risk-management and control framework that helps control 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. Control measures are included in the framework for each risk. Active monitoring is

performed to establish the effectiveness of the procedures and measures of this framework.

Operational riskOperational risk is the risk of loss as a result of inadequate or failing processes, people or systems. Robeco constantly seeks opportunities

to simplify processes and reduce complexity in order to mitigate operational risks. Automation is a key resource in this regard and uses

systems that can be seen as the market standard for financial institutions. The use of automation increases the risk associated with IT.

This risk can be divided into three categories. The risk of access by unauthorized persons is managed using preventive and detective

measures to control access to both the network and systems and data. Processes such as change management and operational

management provide for monitoring of an operating system landscape. Finally, business continuity measures are in place to limit the risk

of breakdown as far as possible and to recover operational status as quickly as possible in the event of a disaster. The effectiveness of

these measures is tested periodically by means of internal and external monitoring.

Compliance riskCompliance risk is the risk of sanctions, financial loss or reputation damage as a result of non-compliance with the laws and regulations

applicable to the activities of Robeco and the funds it manages. Robeco's activities – collective and individual portfolio management –

are subject to European and national rules of financial supervision. Observance of these rules is supervised by the national competent

authorities (in the Netherlands the Authority for the Financial Markets, AFM and the Central Bank of the Netherlands, DNB). It is in the

interest of investors in Robeco-managed funds that Robeco complies with all the applicable laws and regulations. Robeco has

implemented a meticulous process with clear responsibilities in order to ensure that new laws and regulations are reported and

implemented in a timely fashion.


Notes (continued)

Risk management (continued)

Compliance risk (continued)Changes in the field of legislation and regulation that could affect the funds managed by Robeco also took place in 2019. An example of

this is the amended Shareholder Rights Directive (SRD II), which applies as of 10 June 2019. SRD II requires institutional investors and

asset managers to develop a policy on shareholder engagement and to disclose their voting and engagement policies in relation to its

strategies covering EU listed equities. Necessary changes to Robeco’s existing policies on these topics have been implemented in a

timely manner. Mandatory disclosures on these topics have been enhanced as well and these were made easily accessible to clients.

Robeco also ensured that its policies and procedures related to the prevention of use of the financial system for money laundering and the

financing of terrorism continue to be adequately designed. In 2019 policies and procedures were amended to reflect the requirements of

the Fifth Anti-Money Laundering Directive (5th AMLD). The amended Directive has introduced the obligation for Robeco to publicly

register the ultimate beneficial owners (‘UBOs’) of all its corporate entities and funds. For entities and funds domiciled in The

Netherlands, necessary preparations have been made so that registrations can be made as soon as the UBO register is put into use. In

addition, solid enhanced due diligence measures with respect to business relationships and transactions involving high risk countries

were implemented in accordance with the 5th AMLD.

On 17 June 2019 EMIR Refit entered into force, amending the existing EMIR rules with the objective to simplify and increase the

efficiency of some of its requirements and to reduce disproportionate costs and burdens. The core EMIR requirements – clearing, margin

requirements, derivative transaction reporting, operational risk mitigation requirements and requirements for trade repositories/CCPs –

remain unchanged. For Robeco, the implementation of EMIR Refit in particular related to the introduction of a new category of financial

counterparty known as the small financial counterparty (SFC). Such SFC - whose OTC derivatives positions do not exceed any of the

clearing thresholds - can under certain circumstances be exempted from the clearing obligation under EMIR. Robeco has decided not to

benefit from such exemption and will continue clearing of the relevant instruments for all its funds.

Developments Financial Risk ManagementRobeco is continuously working to enhance its risk management methodologies, infrastructure and processes.

Over the past year, Financial Risk Management (FRM) continued with the modeling of climate risks and the integration of climate

models in the risk management framework and risk management systems. These models aim to incorporate both current carbon

emissions as well as forward looking based elements, such as investments in carbon footprint reduction. These analyses are done based

on RobecoSAM data. In addition, FRM is collaborating with its risk management system vendor to further complement the framework

with physical climate risks assets are exposed to, such as the risk of flooding, extreme heat waves or droughts.

FRM has successfully enhanced and implemented tooling to conduct style factor analysis based on Barra factors. The results of these

analyses and the climate risk results are both used in portfolio risk deep dive sessions with portfolio management.

Securities lending is transferred to JPMorgan as the new lending agent. In 2019 risk management integrated securities lending data

(collateral, securities) in the Robeco collateral management systems to have an integrated view on counterparty exposures.

During the year several projects took place in which FRM participated. This included enhancement of the Model Risk Management,

Brexit and a transition towards new benchmark rates (IBOR).

Risks relating to financial instruments

Investment riskThe value of investments may fluctuate. Past performance is no guarantee of future results. The net asset value of the fund depends on

developments in the financial markets and can therefore either rise or fall. Shareholders run the risk that their investments may end up

being worth less than the amount invested, or even worth nothing. The general investment risk can also be characterized as market risk.

Market riskMarket risk can be divided into three types: price risk, currency risk and concentration risk. Market risks are contained using limits on

quantitative risk measures such as volatility or value-at-risk. This means that the underlying risk types (price risk, currency risk and

concentration risk) are also indirectly contained.


Notes (continued)

Risks relating to financial instruments (continued)

Market risk (continued)

Price riskThe net asset value of the fund is sensitive to market movements. In addition, investors should be aware of the possibility that the value

of investments may vary as a result of changes in political, economic or market circumstances, as well as changes in an individual

business situation. The entire portfolio is exposed to price risk. The degree of price risk that the fund runs depends among other things on

the risk profile of the fund's portfolio. More detailed information on the risk profile of the fund's portfolio can be found in the section on

Return and risk on page 8.

The various strategies in which the fund invests are exposed to price risk in different ways. The portfolio allocation in monetary amounts

and as a percentage of the percentage of total portfolio is shown below.

31/12/2019 31/12/2018

EUR' 000 in % of portfolio in % of portfolio

Low-risk stocks 54,082 33.64 33.15

Momentum stocks 54,429 33.86 32.66

Value stocks 52,245 32.50 34.19

Total 160,756 100.00 100.00

The fund holds an equally weighted strategic weight in the three underlying funds. Movements in the fund assets may be used to adjust

the portfolio towards the strategic weights. Differences in the development of the value of the underlying funds may lead to the actual

weights varying from the strategic weights. Rebalancing is effected in March, June, September and December if the relative weights vary

by more than 10% from the strategic weights. If this is the case, the weights will be adjusted.

Currency riskWhile the net asset value of the underlying funds is reported in euro's, all or part of the securities portfolio of the underlying funds may

be invested in currencies, or financial instruments denominated in currencies other than the euro. As a result, fluctuations in exchange

rates may have both a negative and a positive effect on the investment result of the fund. Currency risks may be hedged with currency

forward transactions and currency options. Currency risks can be limited by applying relative or absolute currency concentration limits.

Concentration riskBased on its investment policy, the fund may invest in financial instruments from issuing institutions that operate mainly within the same

sector or region, or in the same market. In the case of concentrated investment portfolios, events within the sectors, regions or markets in

which they invest have a more pronounced effect on the fund assets than in less concentrated investment portfolios. Concentration risks

can be limited by applying relative or absolute country or sector concentration limits.

Since the fund invests solely in three factor funds, country or sector allocation is not relevant.

Leverage riskThe fund may make use of derivative instruments, techniques or structures. They may be used for hedging risks, and for achieving

investment objectives and ensuring efficient portfolio management. These instruments may be leveraged, which will increase the fund’s

sensitivity to market fluctuations. The risk of derivative instruments, techniques or structures will always be limited within the conditions

of the fund's integral risk management. The degree of leveraged financing in the fund, measured using the gross method (where 0%

exposure indicates no leveraged financing) over the year, as well as on the balance sheet date, is shown in the table below. The gross

method means that the absolute underlying value of the long positions and the short positions in derivatives are added up and represented

as a percentage of the assets. Account is taken of the positions in the funds in which Robeco QI Global Factor Solution Fund invests

when determining the leverage risk.

Lowest

exposure

during the

reporting year

Highest

exposure

during the

reporting year

Average

exposure

during the

reporting year

Exposure at

the reporting

year end

Robeco QI Global Factor Solution Fund 1% 3% 1% 1%


Notes (continued)


Counterparty riskCounterparty risk is an unintentional form of risk that is a consequence of the investment policy. It occurs when a counterparty of the

fund fails to fulfil its financial obligations arising from financial transactions with the fund. Counterparty risk is limited as far as possible

by exercising an appropriate degree of caution in the selection of counterparties. In selecting counterparties, the assessments of

independent rating bureaus are taken into account, as are other relevant indicators. Wherever it is customary in the market, the fund will

demand and obtain collateral in order to mitigate counterparty risk. The figure that best represents the maximum credit risk is given in

the table below. No account is taken of the positions in the funds in which Robeco QI Global Factor Solution Fund invests when

determining counterparty risk.

31/12/2019 31/12/2018

EUR' 000

% of

net assets EUR' 000

% of

net assets

Cash and cash equivalents 2 – 26 0.02

Total 2 – 26 0.02

No account is taken of collateral received in the calculation of the total credit risk. Counterparty risk is contained by applying limits on

the exposure per counterparty as a percentage of the fund assets. At balance sheet date, the fund's exposure to any single counterparty did

not exceed 5% of the total assets.

Liquidity riskLiquidity risk is an unintentional form of risk that is a consequence of the investment policy. Liquidity risk occurs when financial

instruments cannot be sold in a timely fashion unless additional costs are incurred. Liquidity risk can be divided into two categories: exit

risk and the liquidity risk of financial instruments.

Exit riskExit risks occur when the fund's value is negatively affected by the exit of one or more clients, with negative consequences for existing

clients. The extent to which the value of the fund can be negatively affected depends on the liquidity of the financial instruments in the

portfolio, and on the concentration of clients. An exit charge is made to cover the exit costs in order to prevent exits having a negative

effect on the fund.

Liquidity risk of financial instrumentsThe actual buying and selling prices of financial instruments in which the fund invests partly depend upon the liquidity of the financial

instruments in question. It is possible that a position taken on behalf of the fund cannot be quickly liquidated at a reasonable price due to

a lack of liquidity in the market in terms of supply and demand. The fund invests solely in funds offering daily liquidity. The liquidity

risk of financial instruments is therefore very limited.

Risk of investing in other investment institutionsBy investing in other investment institutions, the fund to some extent depends on the quality of service and the risk profile of the

investment institutions in which the fund invests. This risk is limited by careful selection of the investment companies in which the fund

invests.

ManagerRobeco Institutional Asset Management B.V. (“RIAM”) is the fund manager. In this capacity, RIAM handles the asset management,

administration, marketing and distribution of the fund. RIAM holds an AIFMD license as referred to in Section 2:65 Wft. In addition,

RIAM is licensed as a manager of UCITS (2:69b Wft, the Dutch Financial Supervision Act), which includes managing individual assets

and giving advice on financial instruments. RIAM is subject to supervision by the Dutch Authority for the Financial Markets (Stichting

Autoriteit Financiële Markten, “AFM”). RIAM has listed the fund with AFM. RIAM is a 100% subsidiary of ORIX Corporation Europe

N.V. via Robeco Holding B.V. ORIX Corporation Europe N.V. is a part of ORIX Corporation.


Notes (continued)


CustodianThe assets of the fund are held in custody by J.P. Morgan Bank Luxembourg S.A., Amsterdam Branch. J.P. Morgan Bank Luxembourg

S.A., Amsterdam Branch is appointed as the custodian of the fund as referred to in Section 4:62n Wft. The custodian is responsible for

supervising the fund insofar as required under and in accordance with the applicable legislation. The manager, the fund and J.P. Morgan

Bank Luxembourg S.A., Amsterdam Branch have concluded a custody agreement.

Liability of the custodianThe custodian is liable to the fund and/or the participants for the loss of a financial instrument under the custody of the custodian or of a

third party to which custody has been transferred. The custodian is not liable if it can demonstrate that the loss is a result of an external

event over which it in all reasonableness had no control and of which the consequences were unavoidable, despite all efforts to

ameliorate them. The custodian is also liable to the fund and/or the participants for all other losses they suffer because the custodian has

not fulfilled its obligations as stated in this custodial agreement either deliberately or through negligence. Participants may make an

indirect claim upon the liability of the custodian through the manager. If the manager refuses to entertain such a request, the

participants are authorized to submit the claim for losses directly to the custodian.

Affiliated partiesThe fund and the manager may utilize the services of and carry out transactions with parties affiliated to the fund, as defined in the BGfo,

such as RIAM, Robeco Nederland B.V and ORIX Corporation. The services entail the execution of tasks that have been outsourced to

these parties such as (1) securities lending, (2) hiring temporary staff and (3) issuance and repurchase of the fund’s participating units.

Transactions that can be carried out with affiliated parties include the following: treasury management, derivatives transactions, lending

of financial instruments, credit extension, purchase and sale of financial instruments on regulated markets or through multilateral trading

facilities. All these services and transactions are executed at market rates.


Notes to the balance sheet

1. Investments in funds of Robeco Group

Movements in the funds of the Robeco Group

2019

EUR' 000

2018

EUR' 000

Book value (fair value) at opening date 131,560 145,235

Purchases – 122

Sales (2,369) (3,167)

Unrealized gains / (losses) 30,804 (11,503)

Realized gains 761 873

Book value (fair value) at closing date 160,756 131,560

An overview of these investments is given below.

Overview of investments in funds of the Robeco Group

Market

value

Fair

value1 Return

Ongoing

charges2

Market

value

Fair

value1 Return

Ongoing

charges2

31/12/2019 31/12/2019 2019 2019 31/12/2018 31/12/2018 2018 2018

EUR' 000 EUR % % EUR' 000 EUR % %

Robeco QI Global Factor

Solution Fund

Robeco QI Global Conservative

Equities Fund - Z EUR 54,082 243.19 27.4 0.02 43,614 190.94 (2.5) 0.06

Robeco QI Global Momentum

Equities Fund - Z EUR 54,429 182.40 27.0 0.03 42,968 143.60 (12.2) 0.04

Robeco QI Global Value Equities

Fund - Z EUR 52,245 163.09 18.2 0.03 44,978 137.98 (7.4) 0.05

Total 160,756 131,560

1 Per share/participating unit.2 The manager of the above funds does not charge management or service fee to Robeco QI Global Factor Solution Fund.

Robeco QI Global Factor Solution Fund may buy or sell the above-mentioned Robeco Group funds on a daily basis at the prices

prevailing on the day in question. No entry or exit costs are charged for these funds, but swing pricing may apply.

Swing pricingThe actual costs of the purchase or sale of assets and investments for a fund may deviate from the most recent available price, or if

applicable, net asset value that is used for the calculation of the net asset value per participating unit. This can be the result of levies,

costs and differences between the purchase and sales prices of the underlying investments (‘spreads’). These costs have a negative

impact on a fund’s value which is called ‘dilution’. In order to alleviate the effects of dilution, the management board can use its own

discretion to adapt the net asset value of each participating unit within a specified bandwidth. The management board reserves the right

to determine under which circumstances they will implement such a dilution adjustment.

Transaction costsBrokerage costs and exchange fees relating to investment transactions are discounted in the cost price or the sales value of the investment

transactions. These costs and fees are charged to the result ensuing from changes in value. There are no quantifiable transaction costs.

2. Cash and cash equivalents

This concerns:

31/12/2019

EUR' 000

31/12/2018

EUR' 000

Freely available cash 2 26

Total 2 26


Notes to the balance sheet (continued)

3. Payable to affiliated parties

This concerns the following payables to RIAM:

31/12/2019

EUR' 000

31/12/2018

EUR' 000

Payable for management fee 256 224

Total 256 224

4. Other liabilities, accruals and deferred income

This concerns:

31/12/2019

EUR' 000

31/12/2018

EUR' 000

Costs payable 2 2

Sub-total (investment activities) 2 2

Total 2 2

5. Fund assets

2019

EUR' 000

2018

EUR' 000

Development of fund assets

Participants capital Robeco QI Global Factor Solution Fund

Situation on opening date 85,292 87,417

Received on participating units issued 4 532

Paid for participating units repurchased (1,443) (2,657)


General reserve

Situation on opening date 57,645 46,991

Addition of result in previous financial year (11,577) 10,654


Undistributed earnings

Situation on opening date (11,577) 10,654

Net result 30,579 (11,577)

Addition to the general reserve 11,577 (10,654)

Situation on closing date 30,579 (11,577)


6. Fund assets, participating units outstanding and net asset value per participating unit

31/12/2019 31/12/2018 31/12/2017

Assets in EUR' 000 160,500 131,360 145,062

Number of participating units outstanding 915,784 924,850 938,709

Net asset value per participating unit in EUR 175.26 142.03 154.53


Notes to the profit and loss account

Income

7. Investment income

This is the balance of received and paid interest on bank balances.

2019

EUR' 000

2018

EUR' 000

Interest (1) –

Total (1) –

Costs

8. Management fee

The management fee is charged by the manager. The fee is calculated daily on the basis of the fund assets.

Management fee specified in the prospectus

%

Management fee 0.65

The management fee is used to pay for all the costs arising from the management and marketing of the fund, as well as costs of

administration, external advisors, supervisors and costs relating to statutory reporting including annual and semi-annual reporting and the

costs of holding participants’ meetings. The costs for the external auditor incurred by the fund are paid by RIAM from the service fee.

The fund's result therefore does not include the costs for the external auditor. Of the costs paid by RIAM for the external auditor, EUR 6

thousand related to the audit of Robeco QI Global Factor Solution Fund. The other costs paid by RIAM for the external auditor relate

exclusively to assurance activities for the examination of the prospectus.

9. Performance fee

Robeco QI Global Factor Solution Fund is not subject to a performance fee. The fund also does not pay a performance fee to the funds in

which it invests.

10. Other costs

This concerns:

2019

EUR' 000

2018

EUR' 000

Custody fee – 2

Depositary fee 7 8

Total 7 10

11. Ongoing charges

2019

%

2018

%

Management fee 0.65 0.65

Other costs 0.00 0.01

Total 0.65 0.66


Notes to the profit and loss account (continued)

Costs (continued)

11. Ongoing charges (continued)

The percentage of ongoing charges is based on the average assets. The average assets are calculated on a daily basis. The ongoing

charges include all costs charged to the fund in a reporting period, excluding the costs of transactions in financial instruments and interest

charges. not included in the ongoing charges are also any payment of entry or exit costs charged by distributors.

12. Maximum costs

For some cost items, the fund's prospectus specifies a maximum percentage of average net assets. The table below compares these

maximum percentages with the costs actually charged.

2019

EUR' 000

2019 % of

net assets

Maximum as

specified in the

prospectus1

Management fee for Robeco QI Global Factor Solution Fund 978 0.65 0.65

Custody fee and bank cost – 0.00 0.05

Depositary fee 7 0.00 0.01

1 The prospectus also specifies a maximum percentage of the total cost. This amounts to 0.76% for the Robeco QI Global Factor Solution Fund.

13. Turnover rate

The turnover rate for the reporting period was 1% (for the previous reporting period it was 0%). This rate shows the rate at which the

fund's portfolio is turned over and is a measure of the incurred transaction costs resulting from the portfolio policy pursued and the

ensuing investment transactions. The turnover rate is determined by expressing the amount of the turnover as a percentage of the average

fund assets. The average fund assets are calculated on a daily basis. The amount of the turnover is determined by the sum of the

purchases and sales of investments less the sum of issuance and repurchase of own shares. The sum of issues and repurchases of own

participating units is determined as the balance of all issues and repurchases in the fund. Cash and money-market investments with an

original life to maturity of less than one month are not taken into account in the calculation.

The turnover factor is very low because the fund only purchases or sells investments in case of subscriptions or redemptions in the fund,

and in case of rebalancing of the portfolio. The turnover rate calculation only includes the turnover of the direct investments of the sub-

funds and does not include the transactions of the underlying funds.

14. Transactions with affiliated parties

Part of the transaction volume over the reporting period relates to transactions with affiliated parties. The table below shows the various

types of transactions where this was the case.

2019 2018

Counterparty % %

Robeco Group mutual funds RIAM 100.00 100.00

During the reporting period the Fund paid RIAM the following amounts in management fee:

Counterparty

2019

EUR' 000

2018

EUR' 000

Management fee RIAM 978 937

15. Fiscal status

The fund is transparent for tax purposes. A further description of the fiscal status is included in the general information of the

management report on page 4.

16. Proposed profit appropriation

The Manager proposes adding the result for Robeco QI Global Factor Solution Fund for the financial year to the reserves.


Notes to the profit and loss account (continued)

Costs (continued)

17. Subsequent events

Market Impact Covid-19

Robeco Institutional Asset Management B.V. considers the COVID-19 (Corona) Pandemic as a significant event after closing the

Annual Reports 2019 of the Investment Funds under management. The impact of the pandemic on people, companies and the economy

at large cannot be assessed in full depth at this stage. However, the impact may have a downward effect on the performance. Measures to

mitigate the immediate operational risks are in place. Additional measures are dependent on our own assessments and the response of the

authorities.

Our operational measures for business continuity

In response to the Covid-19 outbreak, Robeco is constantly monitoring the latest developments and has taken all measures necessary to

manage the situation and to ensure business continuity. Our operational measures and capabilities are such that Robeco remains fully

functional in managing client portfolios and serving clients. Our systems and platforms are designed to enable our staff, most of whom

are working from home, to operate as normal. Our approach is one of vigilance and flexibility, allowing us to implement new or revised

measures smoothly and as necessary to ensure the health and safety of our staff while maintaining business continuity.

Additional information on investments in Robeco Group

mutual funds


Additional information is only given for funds in which one of the sub-funds has invested at least 20 percent of its net assets.

Robeco QI Global Conservative Equities - Z EUR

This sub-fund of Robeco Capital Growth Funds invests at least two-thirds of its assets in equities worldwide. Conservative in this context

refers to the focus on stocks with lower than average volatility. Derivative instruments may be used.

Investment results

Price in

currency x 1

31/12/2019

Price in

currency x 1

31/12/2018

Investment

result

reporting

period in %

Investment

result

3 years

average

Robeco QI Global Conservative Equities

Z EUR shares 243.19 190.94 26.4 8.8

MSCI All Country World Index (Net Return (in EUR)) 28.9 10.1

Investment policy2019 turned out to be a great year for investors in global equities. Despite a long list of uncertainties like the looming trade war between

the US and China, market climbed the wall of worries, supported by high returns for technology stocks. Measured in euro, the MSCI AC

World Index experienced ten positive months in 2019. Only in May and August did the heightened trade war result in turbulent and

negative markets. In these months, low-risk stocks showed their merits by achieving a significantly lower drawdown. However, low-risk

stocks lagged the market in 2019 as the MSCI AC World Index in euro rose an impressive 28.9%. In US dollar, the index rose 26.6%.

In terms of sector exposure, the underweight in cyclical technology and consumer stocks resulted in a lower relative return for the sub-

fund, while the underweight in energy stocks had a positive impact on the fund’s relative return. These exposures are the result of our

bottom-up stock selection process, which prefers attractively-valued low-risk stocks with a high payout yield and positive momentum.

Moreover, as growth stocks such as technology stocks outperformed the broader market, while value-like energy stocks lagged, the value

factor experienced a negative year. Also high dividend stocks in US significantly lagged the market.

This sub-fund is characterized by generally having lower absolute risk than its reference index, while having a high relative risk as the

strategy deviates considerably from its reference index, the MSCI AC World Index.

Robeco QI Global Factor Solutions Fund holds an interest of 6.12% in Robeco QI Global Conservative Equities (8.73% as of

31/12/2018).


mutual funds (continued)



As at 31 December 2019

Investments Currency

Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets

Transferable securities and money market instruments admitted to an official exchange listing

Equities

Australia

ASX Ltd. AUD 115,169 5,655,163 0.64

Aurizon Holdings Ltd. AUD 1,592,728 5,216,526 0.59

Brickworks Ltd. AUD 70,525 825,008 0.09

BWP Trust, REIT AUD 671,741 1,649,020 0.19

Charter Hall Group, REIT AUD 85,539 593,529 0.07

Charter Hall Retail REIT AUD 42,522 113,705 0.01

Cromwell Property Group, REIT AUD 2,789,836 2,052,838 0.23

GPT Group (The), REIT AUD 463,266 1,624,638 0.19

JB Hi-Fi Ltd. AUD 45,109 1,064,135 0.12

Shopping Centres Australasia Property Group, REIT AUD 1,219,908 2,039,747 0.23

Stockland, REIT AUD 1,019,133 2,948,566 0.33

Sydney Airport AUD 344,369 1,867,583 0.21

Telstra Corp. Ltd. AUD 907,435 2,011,671 0.23

Wesfarmers Ltd. AUD 21,284 551,813 0.06

28,213,942 3.19

Austria

Oesterreichische Post AG EUR 38,809 1,319,506 0.15

1,319,506 0.15

Belgium

Ageas EUR 109,402 5,763,297 0.65

D'ieteren SA/NV EUR 21,323 1,334,820 0.15

Groupe Bruxelles Lambert SA EUR 47,631 4,475,409 0.51

Proximus SADP EUR 99,079 2,528,496 0.29

14,102,022 1.60

Bermuda

Assured Guaranty Ltd. USD 126,936 5,543,343 0.63

Axis Capital Holdings Ltd. USD 38,208 2,023,237 0.23

CK Infrastructure Holdings Ltd. HKD 456,000 2,890,961 0.33

Everest Re Group Ltd. USD 20,011 4,935,274 0.56

Genpact Ltd. USD 93,037 3,495,208 0.39

White Mountains Insurance Group Ltd. USD 2,499 2,483,438 0.28

21,371,461 2.42

Brazil

Banco Santander Brasil SA, ADR USD 49,586 535,838 0.06

Engie Brasil Energia SA BRL 437,150 4,918,019 0.56

Telefonica Brasil SA, ADR Preference USD 437,394 5,579,940 0.63

11,033,797 1.25







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets

Transferable securities and money market instruments admitted to an official exchange listing (continued)

Equities (continued)

Canada

Algonquin Power & Utilities Corp. CAD 456,160 5,756,835 0.65

Bank of Montreal CAD 34,381 2,377,095 0.27

Bank of Nova Scotia (The) CAD 23,306 1,174,425 0.13

BCE, Inc. CAD 121,599 5,025,685 0.57

Capital Power Corp. CAD 63,746 1,506,061 0.17

CGI, Inc. CAD 29,303 2,187,657 0.25

CI Financial Corp. CAD 184,040 2,744,918 0.31

Cogeco Communications, Inc. CAD 22,410 1,742,792 0.20

Cominar Real Estate Investment Trust CAD 176,936 1,721,222 0.20

First Capital Real Estate Investment Trust CAD 262,978 3,734,370 0.42

Genworth MI Canada, Inc. CAD 69,950 2,730,526 0.31

Great-West Lifeco, Inc. CAD 78,856 1,801,832 0.20

Hydro One Ltd., Reg. S CAD 166,889 2,875,495 0.33

IGM Financial, Inc. CAD 24,765 634,266 0.07

National Bank of Canada CAD 119,804 5,932,578 0.67

RioCan Real Estate Investment Trust CAD 296,685 5,454,301 0.62

Sun Life Financial, Inc. CAD 15,451 628,505 0.07

TFI International, Inc. CAD 85,473 2,570,176 0.29

Thomson Reuters Corp. CAD 92,888 5,927,697 0.67

Toronto-Dominion Bank (The) CAD 56,603 2,832,091 0.32

TransAlta Renewables, Inc. CAD 144,855 1,544,481 0.17

60,903,008 6.89

Cayman Islands

Chailease Holding Co. Ltd. TWD 908,444 3,725,656 0.42

3,725,656 0.42

China

Bank of Communications Co. Ltd. 'H' HKD 3,528,000 2,234,674 0.25

China Minsheng Banking Corp. Ltd. 'H' HKD 2,000,500 1,347,193 0.15

3,581,867 0.40

Czech Republic

CEZ A/S CZK 127,054 2,547,178 0.29

Komercni banka A/S CZK 47,291 1,543,553 0.17

4,090,731 0.46

Finland

Elisa OYJ EUR 119,581 5,889,364 0.67

Kemira OYJ EUR 46,420 615,529 0.07

6,504,893 0.74







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



France

Metropole Television SA EUR 85,415 1,433,264 0.16

Quadient EUR 16,474 355,509 0.04

1,788,773 0.20

Germany

Hannover Rueck SE EUR 36,728 6,328,234 0.72

Muenchener Rueckversicherungs-Gesellschaft AG EUR 27,979 7,358,477 0.83

TAG Immobilien AG EUR 102,528 2,272,021 0.26

15,958,732 1.81

Guernsey

Amdocs Ltd. USD 86,753 5,579,242 0.63

5,579,242 0.63

Hong Kong

CLP Holdings Ltd. HKD 211,000 1,975,796 0.22

Guangdong Investment Ltd. HKD 798,000 1,487,190 0.17

PCCW Ltd. HKD 5,130,857 2,704,374 0.31

6,167,360 0.70

Ireland

Medtronic plc USD 8,566 865,757 0.10

865,757 0.10

Israel

Nice Ltd. ILS 14,303 1,975,873 0.22

1,975,873 0.22

Italy

Assicurazioni Generali SpA EUR 326,178 6,000,044 0.68

Banca Mediolanum SpA EUR 211,233 1,870,468 0.21

Enav SpA, Reg. S EUR 264,962 1,409,598 0.16

ERG SpA EUR 74,254 1,427,162 0.16

Snam SpA EUR 965,463 4,524,160 0.51

UnipolSai Assicurazioni SpA EUR 724,394 1,876,180 0.22

17,107,612 1.94

Japan

Advance Residence Investment Corp., REIT JPY 350 986,985 0.11

DCM Holdings Co. Ltd. JPY 106,400 927,169 0.10







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Japan (continued)

Industrial & Infrastructure Fund Investment Corp., REIT JPY 962 1,306,717 0.15

Japan Prime Realty Investment Corp., REIT JPY 369 1,441,363 0.16

Japan Real Estate Investment Corp., REIT JPY 521 3,075,065 0.35

Japan Retail Fund Investment Corp., REIT JPY 797 1,524,253 0.17

KDDI Corp. JPY 242,400 6,463,991 0.73

Mori Hills REIT Investment Corp. JPY 488 722,073 0.08

Mori Trust Sogo Reit, Inc. JPY 306 488,646 0.06

Nippon Telegraph & Telephone Corp. JPY 32,800 741,301 0.08

NTT DOCOMO, Inc. JPY 241,300 6,009,372 0.68

Orix JREIT, Inc., REIT JPY 1,628 3,140,222 0.36

Sekisui House Ltd. JPY 299,900 5,736,781 0.65

32,563,938 3.68

Malaysia

Malayan Banking Bhd. MYR 2,296,298 4,320,950 0.49

MISC Bhd. MYR 957,700 1,741,619 0.20

6,062,569 0.69

Mexico

Kimberly-Clark de Mexico SAB de CV 'A' MXN 988,600 1,748,926 0.20

1,748,926 0.20

Netherlands

Koninklijke Ahold Delhaize NV EUR 237,974 5,305,630 0.60

5,305,630 0.60

New Zealand

Auckland International Airport Ltd. NZD 737,467 3,878,312 0.44

Contact Energy Ltd. NZD 219,545 940,817 0.11

Meridian Energy Ltd. NZD 693,900 2,085,254 0.23

Spark New Zealand Ltd. NZD 1,765,203 4,593,828 0.52

11,498,211 1.30

Norway

Gjensidige Forsikring ASA NOK 252,762 4,721,473 0.54

Orkla ASA NOK 287,346 2,591,541 0.29

7,313,014 0.83

Portugal

REN - Redes Energeticas Nacionais SGPS SA EUR 296,801 807,299 0.09







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Portugal (continued)

807,299 0.09

Russia

Alrosa PJSC RUB 2,468,700 2,985,674 0.34

Gazprom PJSC, ADR USD 994,615 7,290,594 0.82

LUKOIL PJSC, ADR USD 76,068 6,721,091 0.76

MMC Norilsk Nickel PJSC, ADR USD 249,358 6,786,536 0.77

Mobile TeleSystems PJSC RUB 829,330 3,805,861 0.43

Novolipetsk Steel PJSC, Reg. S, GDR USD 50,558 1,037,734 0.12

Polyus PJSC, Reg. S, GDR USD 56,959 2,877,127 0.32

Rosneft Oil Co. PJSC, Reg. S, GDR USD 167,989 1,078,721 0.12

Severstal PJSC, Reg. S, GDR USD 180,792 2,438,477 0.28

Surgutneftegas PJSC Preference RUB 9,608,049 5,198,857 0.59

Tatneft PJSC, ADR USD 32,473 2,136,709 0.24

42,357,381 4.79

Singapore

CapitaLand Mall Trust, REIT SGD 2,623,900 4,276,483 0.48

Mapletree Industrial Trust, REIT SGD 531,800 916,065 0.10

SATS Ltd. SGD 680,300 2,280,633 0.26

Singapore Airlines Ltd. SGD 244,400 1,463,774 0.17

Singapore Exchange Ltd. SGD 922,000 5,412,140 0.61

14,349,095 1.62

Spain

Cia de Distribucion Integral Logista Holdings SA EUR 28,903 580,950 0.06

580,950 0.06

Supranational

HKT Trust & HKT Ltd. HKD 3,425,000 4,299,706 0.49

4,299,706 0.49

Sweden

Axfood AB SEK 215,427 4,272,548 0.48

Hemfosa Fastigheter AB SEK 72,670 838,890 0.10

ICA Gruppen AB SEK 118,793 4,942,653 0.56

Skanska AB 'B' SEK 82,183 1,655,739 0.19

Telia Co. AB SEK 280,025 1,072,634 0.12

12,782,464 1.45







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Switzerland

Allreal Holding AG CHF 9,450 1,672,700 0.19

Banque Cantonale Vaudoise CHF 5,682 4,129,615 0.47

Chubb Ltd. USD 33,583 4,657,042 0.53

Garmin Ltd. USD 78,608 6,832,068 0.77

Helvetia Holding AG CHF 9,182 1,155,592 0.13

Landis+Gyr Group AG CHF 18,112 1,677,943 0.19

Mobimo Holding AG CHF 13,566 3,600,634 0.41

Nestle SA CHF 15,887 1,531,446 0.17

PSP Swiss Property AG CHF 14,040 1,725,659 0.19

Roche Holding AG CHF 33,423 9,655,091 1.09

Swiss Prime Site AG CHF 55,699 5,734,014 0.65

Swiss Re AG CHF 48,351 4,835,221 0.55

Swisscom AG CHF 9,117 4,299,440 0.49

51,506,465 5.83

Taiwan

Asia Cement Corp. TWD 2,485,000 3,541,119 0.40

Asustek Computer, Inc. TWD 477,000 3,281,670 0.37

Chicony Electronics Co. Ltd. TWD 390,000 1,031,526 0.12

Chunghwa Telecom Co. Ltd. TWD 1,547,000 5,057,181 0.57

Compal Electronics, Inc. TWD 597,000 334,435 0.04

Far EasTone Telecommunications Co. Ltd. TWD 1,622,000 3,475,454 0.39

First Financial Holding Co. Ltd. TWD 8,714,877 6,138,116 0.70

Hua Nan Financial Holdings Co. Ltd. TWD 8,574,901 5,606,312 0.64

Lite-On Technology Corp. TWD 3,783,000 5,548,160 0.63

SinoPac Financial Holdings Co. Ltd. TWD 5,535,840 2,138,712 0.24

Taishin Financial Holding Co. Ltd. TWD 1,478,113 636,944 0.07

Taiwan Mobile Co. Ltd. TWD 1,317,000 4,383,583 0.50

United Microelectronics Corp. TWD 3,421,000 1,672,416 0.19

Wistron Corp. TWD 2,763,000 2,327,874 0.26

WPG Holdings Ltd. TWD 3,075,560 3,573,769 0.40

48,747,271 5.52

Thailand

Electricity Generating PCL, NVDR THB 183,500 1,790,079 0.20

Ratch Group PCL, NVDR THB 2,379,500 4,865,426 0.55

6,655,505 0.75

United Kingdom

Admiral Group plc GBP 184,934 5,039,509 0.57

Barratt Developments plc GBP 700,240 6,169,962 0.70







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



United Kingdom (continued)

Bellway plc GBP 61,355 2,756,642 0.31

Berkeley Group Holdings plc GBP 85,856 4,923,400 0.56

Direct Line Insurance Group plc GBP 1,201,862 4,432,535 0.50

GlaxoSmithKline plc GBP 311,151 6,532,730 0.74

Marshalls plc GBP 104,424 1,059,855 0.12

Persimmon plc GBP 148,838 4,733,912 0.53

Pets at Home Group plc GBP 526,449 1,737,165 0.20

QinetiQ Group plc GBP 669,639 2,827,670 0.32

SSE plc GBP 204,646 3,474,247 0.39

43,687,627 4.94

United States of America

Aflac, Inc. USD 26,394 1,243,869 0.14

Air Products & Chemicals, Inc. USD 29,757 6,229,485 0.70

Allison Transmission Holdings, Inc. USD 50,698 2,182,385 0.25

Allstate Corp. (The) USD 66,053 6,617,069 0.75

Ameren Corp. USD 14,700 1,005,755 0.11

American Electric Power Co., Inc. USD 61,591 5,185,715 0.59

AMERISAFE, Inc. USD 16,515 971,479 0.11

Apple, Inc. USD 68,978 18,044,891 2.04

Asbury Automotive Group, Inc. USD 55,881 5,565,200 0.63

AutoZone, Inc. USD 5,813 6,169,341 0.70

Benchmark Electronics, Inc. USD 51,777 1,584,907 0.18

Best Buy Co., Inc. USD 18,127 1,417,862 0.16

Booz Allen Hamilton Holding Corp. USD 49,779 3,154,370 0.36

Brady Corp. 'A' USD 91,950 4,690,474 0.53

Buckle, Inc. (The) USD 24,237 583,847 0.07

CACI International, Inc. 'A' USD 24,437 5,442,321 0.62

Capitol Federal Financial, Inc. USD 293,993 3,596,012 0.41

Casey's General Stores, Inc. USD 30,665 4,343,366 0.49

Cincinnati Financial Corp. USD 57,104 5,349,208 0.60

Cintas Corp. USD 29,556 7,085,014 0.80

CMS Energy Corp. USD 100,360 5,618,372 0.64

Cohen & Steers, Inc. USD 59,518 3,327,706 0.38

Cracker Barrel Old Country Store, Inc. USD 26,418 3,618,266 0.41

Dick's Sporting Goods, Inc. USD 111,149 4,900,458 0.55

Discover Financial Services USD 82,448 6,230,057 0.70

DTE Energy Co. USD 23,948 2,770,714 0.31

Entergy Corp. USD 25,227 2,692,378 0.30

Equity LifeStyle Properties, Inc., REIT USD 33,394 2,094,079 0.24

Equity Residential, REIT USD 71,770 5,173,834 0.58

Fidelity National Financial, Inc. USD 143,123 5,782,297 0.65







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



United States of America (continued)

FirstEnergy Corp. USD 134,734 5,833,472 0.66

Gaming and Leisure Properties, Inc., REIT USD 123,936 4,753,180 0.54

General Mills, Inc. USD 35,155 1,677,418 0.19

Graham Holdings Co. 'B' USD 5,859 3,335,272 0.38

Group 1 Automotive, Inc. USD 5,738 511,180 0.06

Hartford Financial Services Group, Inc. (The) USD 110,913 6,004,617 0.68

Hawaiian Electric Industries, Inc. USD 141,955 5,926,068 0.67

Hershey Co. (The) USD 41,448 5,427,196 0.61

Home Depot, Inc. (The) USD 32,143 6,253,353 0.71

Intel Corp. USD 26,241 1,399,130 0.16

Investors Bancorp, Inc. USD 100,113 1,062,669 0.12

Johnson & Johnson USD 37,428 4,863,806 0.55

JPMorgan Chase & Co. USD 87,586 10,877,050 1.23

Lockheed Martin Corp. USD 21,302 7,389,374 0.84

ManTech International Corp. 'A' USD 16,322 1,161,516 0.13

Marsh & McLennan Cos., Inc. USD 67,406 6,690,158 0.76

Merck & Co., Inc. USD 107,499 8,710,053 0.99

Mid-America Apartment Communities, Inc., REIT USD 48,359 5,680,729 0.64

Motorola Solutions, Inc. USD 2,923 419,610 0.05

National Retail Properties, Inc., REIT USD 87,091 4,160,195 0.47

NextEra Energy, Inc. USD 1,609 347,114 0.04

OGE Energy Corp. USD 106,219 4,208,070 0.48

Old Republic International Corp. USD 193,258 3,851,387 0.44

Omnicom Group, Inc. USD 9,827 709,295 0.08

Oracle Corp. USD 141,696 6,687,799 0.76

PepsiCo, Inc. USD 44,254 5,388,146 0.61

Perficient, Inc. USD 66,571 2,732,228 0.31

Pfizer, Inc. USD 196,122 6,845,488 0.77

Phillips 66 USD 14,115 1,400,937 0.16

Portland General Electric Co. USD 52,892 2,628,815 0.30

Procter & Gamble Co. (The) USD 98,341 10,942,353 1.24

PulteGroup, Inc. USD 167,282 5,782,220 0.65

Raytheon Co. USD 27,423 5,368,312 0.61

Republic Services, Inc. USD 69,546 5,553,147 0.63

Safety Insurance Group, Inc. USD 30,056 2,477,578 0.28

Simpson Manufacturing Co., Inc. USD 34,215 2,445,496 0.28

Southern Co. (The) USD 119,363 6,773,651 0.77

Starbucks Corp. USD 52,321 4,098,051 0.46

Sun Communities, Inc., REIT USD 10,150 1,357,252 0.15

Sysco Corp. USD 44,737 3,409,179 0.39

Target Corp. USD 62,484 7,136,814 0.81

Teledyne Technologies, Inc. USD 19,165 5,916,650 0.67

TopBuild Corp. USD 5,428 498,457 0.06







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Valero Energy Corp. USD 16,301 1,359,990 0.15

Verizon Communications, Inc. USD 156,468 8,558,695 0.97

Visa, Inc. 'A' USD 2,332 390,363 0.04

Walmart, Inc. USD 79,482 8,414,825 0.95

Washington Federal, Inc. USD 164,100 5,357,920 0.61

Waste Management, Inc. USD 60,405 6,132,520 0.69

WEC Energy Group, Inc. USD 18,468 1,517,420 0.17

Welltower, Inc., REIT USD 64,209 4,677,962 0.53

Western Union Co. (The) USD 238,919 5,700,001 0.64

WR Berkley Corp. USD 21,632 1,331,645 0.15

Xerox Holdings Corp. USD 119,120 3,912,654 0.44

368,719,211 41.73

Total Equities 863,275,494 97.69

Total Transferable securities and money market instruments admitted to an official exchange listing 863,275,494 97.69

Units of authorised UCITS or other collective investment undertakings

Collective Investment Schemes - UCITS

Luxembourg

Robeco QI Chinese A-share Conservative Equities A EUR 34,000 3,963,727 0.45

3,963,727 0.45

Total Collective Investment Schemes - UCITS 3,963,727 0.45

Total Units of authorised UCITS or other collective investment undertakings 3,963,727 0.45

Total Investments 867,239,221 98.14

Cash 12,115,933 1.37

Other assets/(liabilities) 4,283,390 0.49

Total net assets 883,638,544 100.00






Forward Currency Exchange Contracts

Currency

Purchased

Amount

Purchased

Currency

Sold Amount Sold

Maturity

Date Counterparty

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

AUD 1,053,445 EUR 650,000 15/01/2020 Citigroup 9,408 –

CAD 527,738 EUR 360,000 15/01/2020 Societe Generale 2,309 –

CZK 6,638,059 EUR 260,000 15/01/2020 J.P. Morgan 1,006 –

EUR 63,726 DKK 475,964 15/01/2020 Citigroup 26 –

EUR 370,000 GBP 308,735 15/01/2020 J.P. Morgan 5,785 –

EUR 1,447,115 HKD 12,521,236 15/01/2020 Citigroup 16,843 –

EUR 28,000 HKD 242,274 15/01/2020 HSBC 326 –

EUR 65,388 ILS 250,437 15/01/2020 Citigroup 808 –

EUR 353,000 JPY 42,511,098 15/01/2020 Barclays 4,536 –

EUR 600,000 JPY 72,708,846 15/01/2020 J.P. Morgan 4,004 –

EUR 815,800 JPY 98,529,950 15/01/2020 RABOBANK 8,149 –

EUR 21,000 SEK 219,626 15/01/2020 RABOBANK 102 –

EUR 24,000 SGD 36,135 15/01/2020 HSBC 76 –

EUR 187,428 TRY 1,205,082 15/01/2020 HSBC 7,746 –

EUR 250,000 USD 277,799 13/01/2020 J.P. Morgan 2,674 –

EUR 29,680,100 USD 32,790,982 15/01/2020 Barclays 489,900 0.06

EUR 730,000 USD 810,728 15/01/2020 ING BANK N.V 8,298 –

EUR 260,000 USD 291,007 15/01/2020 J.P. Morgan 948 –

EUR 390,000 USD 433,101 15/01/2020 Societe Generale 4,458 –

GBP 325,923 EUR 380,000 15/01/2020 Societe Generale 4,492 –

Total Unrealised Gain on Forward Currency Exchange Contracts - Assets 571,894 0.06






Forward Currency Exchange Contracts (continued)

Currency

Purchased

Amount

Purchased

Currency

Sold Amount Sold

Maturity

Date Counterparty

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

EUR 2,294,413 AUD 3,734,717 15/01/2020 HSBC (43,347) (0.01)

EUR 47,000 AUD 75,427 15/01/2020 J.P. Morgan (214) –

EUR 300,000 CAD 438,076 15/01/2020 Barclays (753) –

EUR 3,353,409 CAD 4,920,170 15/01/2020 HSBC (24,449) –

EUR 100,000 CAD 146,205 15/01/2020 RABOBANK (375) –

EUR 1,446,567 CHF 1,592,302 15/01/2020 Citigroup (18,435) –

EUR 670,000 CHF 728,453 15/01/2020 J.P. Morgan (215) –

EUR 65,000 CHF 70,737 15/01/2020 Societe Generale (81) –

EUR 480,342 CZK 12,297,331 15/01/2020 Citigroup (3,184) –

EUR 71,000 GBP 60,945 15/01/2020 Barclays (897) –

EUR 2,337,573 GBP 1,997,957 15/01/2020 Citigroup (19,417) –

EUR 12,000 NOK 119,256 15/01/2020 Barclays (82) –

EUR 243,724 NOK 2,474,140 15/01/2020 Citigroup (6,931) –

EUR 599,372 NZD 1,023,490 15/01/2020 Citigroup (15,408) –

EUR 709,490 SEK 7,481,912 15/01/2020 Citigroup (2,448) –

EUR 766,215 SGD 1,158,594 15/01/2020 Barclays (855) –

EUR 143,308 ZAR 2,336,312 15/01/2020 Barclays (5,184) –

HKD 2,161,463 EUR 250,000 15/01/2020 Citigroup (3,101) –

HKD 2,345,133 EUR 270,000 15/01/2020 Societe Generale (2,121) –

USD 24,942 EUR 22,442 13/01/2020 Citigroup (236) –

USD 766,505 EUR 690,000 15/01/2020 J.P. Morgan (7,665) –

USD 554,874 EUR 500,000 15/01/2020 Societe Generale (6,057) –

USD 3,730,292 TWD 113,527,702 13/01/2020 Barclays (59,486) (0.01)

Total Unrealised Loss on Forward Currency Exchange Contracts - Liabilities (220,941) (0.02)

Net Unrealised Gain on Forward Currency Exchange Contracts - Assets 350,953 0.04







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets


Equities

Australia

ASX Ltd. AUD 115,169 4,276,420 0.86

Australia & New Zealand Banking Group Ltd. AUD 51,828 776,291 0.15

Brickworks Ltd. AUD 70,525 735,184 0.15

Dexus, REIT AUD 400,033 2,680,792 0.54

GPT Group (The), REIT AUD 704,168 2,387,632 0.48

Shopping Centres Australasia Property Group, REIT AUD 1,468,815 2,350,065 0.47

Spark Infrastructure Group AUD 2,330,269 3,197,794 0.64

Stockland, REIT AUD 1,019,133 2,264,006 0.45

Sydney Airport AUD 845,755 3,544,306 0.71

Telstra Corp. Ltd. AUD 907,435 1,580,307 0.32


24,218,863 4.85

Austria

Oesterreichische Post AG EUR 46,625 1,399,683 0.28

1,399,683 0.28

Belgium

Groupe Bruxelles Lambert SA EUR 47,631 3,584,709 0.72

Proximus SADP EUR 99,079 2,321,421 0.46

5,906,130 1.18

Bermuda

CK Infrastructure Holdings Ltd. HKD 456,000 3,027,816 0.61

White Mountains Insurance Group Ltd. USD 1,351 1,009,165 0.20

4,036,981 0.81

Brazil

Engie Brasil Energia SA BRL 164,750 1,230,364 0.25

1,230,364 0.25

Canada

Bank of Montreal CAD 78,006 4,443,422 0.89

Bank of Nova Scotia (The) CAD 23,306 1,028,452 0.21

BCE, Inc. CAD 121,599 4,208,522 0.84

Canadian Imperial Bank of Commerce CAD 66,048 4,304,087 0.86

CGI Group, Inc. 'A' CAD 29,303 1,540,993 0.31

CI Financial Corp. CAD 81,255 885,986 0.18

Cogeco Communications, Inc. CAD 22,410 939,755 0.19

Cominar Real Estate Investment Trust CAD 176,936 1,284,666 0.26

First Capital Realty, Inc. CAD 262,978 3,169,377 0.64

Genworth MI Canada, Inc. CAD 69,950 1,800,913 0.36







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Canada (continued)

Great-West Lifeco, Inc. CAD 78,856 1,407,588 0.28

Loblaw Cos. Ltd. CAD 39,952 1,552,883 0.31

National Bank of Canada CAD 100,728 3,606,349 0.72

RioCan Real Estate Investment Trust CAD 101,450 1,538,902 0.31

Rogers Communications, Inc. 'B' CAD 97,761 4,386,125 0.88

Royal Bank of Canada CAD 81,248 4,851,656 0.97

TFI International, Inc. CAD 109,357 2,469,678 0.49

Toronto-Dominion Bank (The) CAD 123,111 5,340,279 1.07

48,759,633 9.77

Cayman Islands

Chailease Holding Co. Ltd. TWD 1,520,820 4,192,981 0.84

4,192,981 0.84

Czech Republic

CEZ A/S CZK 127,054 2,640,638 0.53

2,640,638 0.53

Finland

Elisa OYJ EUR 119,581 4,314,483 0.86

4,314,483 0.86

France

Metropole Television SA EUR 85,415 1,185,560 0.24

SCOR SE EUR 29,318 1,134,607 0.22

2,320,167 0.46

Germany

Hannover Rueck SE EUR 36,728 4,322,885 0.87

Muenchener Rueckversicherungs-Gesellschaft AG EUR 9,734 1,854,814 0.37

6,177,699 1.24

Guernsey

Amdocs Ltd. USD 65,650 3,327,139 0.67

3,327,139 0.67

Hong Kong

China Mobile Ltd. HKD 360,500 2,975,517 0.59

CLP Holdings Ltd. HKD 446,000 4,430,916 0.89

Hang Seng Bank Ltd. HKD 161,400 3,142,054 0.63

Hopewell Holdings Ltd. HKD 214,500 824,135 0.16







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Hong Kong (continued)

Link REIT HKD 508,500 4,481,060 0.90

PCCW Ltd. HKD 5,130,857 2,578,785 0.52

18,432,467 3.69

India

Infosys Ltd., ADR USD 278,578 2,297,425 0.46

2,297,425 0.46

Israel

Nice Ltd. ILS 14,303 1,323,834 0.26

1,323,834 0.26

Italy

ERG SpA EUR 99,594 1,643,301 0.33

Snam SpA EUR 685,915 2,619,509 0.52

Terna Rete Elettrica Nazionale SpA EUR 773,893 3,833,092 0.77

8,095,902 1.62

Japan

Japan Airlines Co. Ltd. JPY 90,400 2,785,895 0.56


NTT DOCOMO, Inc. JPY 224,000 4,386,513 0.88

Osaka Gas Co. Ltd. JPY 39,400 626,919 0.12

8,381,498 1.68

Malaysia

Hong Leong Bank Bhd. MYR 211,200 912,735 0.18

Malayan Banking Bhd. MYR 2,248,517 4,465,613 0.90

Maxis Bhd. MYR 2,295,900 2,640,090 0.53

Petronas Chemicals Group Bhd. MYR 539,800 1,059,551 0.21

Public Bank Bhd. MYR 858,700 4,499,508 0.90

13,577,497 2.72

New Zealand

Air New Zealand Ltd. NZD 593,274 1,094,043 0.22

Auckland International Airport Ltd. NZD 824,712 3,447,220 0.69

Spark New Zealand Ltd. NZD 1,765,203 4,309,226 0.86

8,850,489 1.77

Panama

Carnival Corp. USD 82,760 3,523,335 0.71

3,523,335 0.71







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Russia

Alrosa PJSC RUB 1,621,700 1,993,830 0.40

LUKOIL PJSC, ADR USD 76,068 4,767,181 0.95

Severstal PJSC, Reg. S, GDR USD 180,792 2,140,823 0.43

Surgutneftegas PJSC Preference RUB 5,915,349 2,894,148 0.58

Tatneft PJSC, ADR USD 10,548 576,729 0.12

12,372,711 2.48

Singapore

Mapletree North Asia Commercial Trust, REIT, Reg. S SGD 1,300,200 940,669 0.19

SATS Ltd. SGD 680,300 2,021,001 0.41

Singapore Airlines Ltd. SGD 244,400 1,470,879 0.29

Singapore Press Holdings Ltd. SGD 1,526,800 2,297,196 0.46

6,729,745 1.35

South Africa

AVI Ltd. ZAR 232,942 1,445,828 0.29

Vodacom Group Ltd. ZAR 157,791 1,263,592 0.25

2,709,420 0.54

Supranational

HKT Trust & HKT Ltd. HKD 2,753,000 3,462,241 0.69

3,462,241 0.69

Sweden

Svenska Cellulosa AB SCA 'B' SEK 459,774 3,076,122 0.62

Telia Co. AB SEK 280,025 1,144,498 0.23

4,220,620 0.85

Switzerland

Allreal Holding AG CHF 9,450 1,285,406 0.26

Banque Cantonale Vaudoise CHF 5,682 3,740,699 0.75

Chubb Ltd. USD 33,583 3,753,765 0.75

Garmin Ltd. USD 78,608 4,318,645 0.86

Mobimo Holding AG CHF 13,566 2,820,337 0.56

Nestle SA CHF 15,887 1,126,362 0.23

Partners Group Holding AG CHF 8,036 4,255,195 0.85

Swiss Prime Site AG CHF 55,699 3,936,596 0.79

Swiss Re AG CHF 48,351 3,871,328 0.78

Swisscom AG CHF 9,117 3,804,572 0.76

32,912,905 6.59







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Taiwan

Asustek Computer, Inc. TWD 477,000 2,734,732 0.55

Chunghwa Telecom Co. Ltd. TWD 1,449,000 4,658,737 0.93

Far EasTone Telecommunications Co. Ltd. TWD 1,814,000 3,943,229 0.79

First Financial Holding Co. Ltd. TWD 7,627,601 4,340,495 0.87

Hua Nan Financial Holdings Co. Ltd. TWD 2,622,950 1,306,019 0.26

SinoPac Financial Holdings Co. Ltd. TWD 4,785,840 1,402,545 0.28

Taiwan Mobile Co. Ltd. TWD 1,317,000 3,990,770 0.80

WPG Holdings Ltd. TWD 3,075,560 3,233,404 0.65

25,609,931 5.13

Thailand

PTT Global Chemical PCL, NVDR THB 273,000 522,451 0.10

522,451 0.10

Turkey

Eregli Demir ve Celik Fabrikalari TAS TRY 2,081,865 2,456,560 0.49

2,456,560 0.49

United Kingdom

Admiral Group plc GBP 184,934 4,150,198 0.83

Bellway plc GBP 98,506 2,738,419 0.55

Berkeley Group Holdings plc GBP 85,856 3,255,359 0.65

Computacenter plc GBP 87,191 965,291 0.20

GlaxoSmithKline plc GBP 311,151 5,201,644 1.04

Persimmon plc GBP 148,838 3,194,028 0.64

SSE plc GBP 204,646 2,407,521 0.48

WH Smith plc GBP 59,634 1,145,110 0.23

23,057,570 4.62


Air Products & Chemicals, Inc. USD 29,757 4,182,037 0.84

Allison Transmission Holdings, Inc. USD 21,246 807,699 0.16

Allstate Corp. (The) USD 53,896 3,865,976 0.77

Ameren Corp. USD 14,700 834,858 0.17

American Electric Power Co., Inc. USD 61,591 4,025,270 0.81

American Water Works Co., Inc. USD 18,912 1,488,879 0.30

Amphenol Corp. 'A' USD 65,626 4,618,413 0.93

AptarGroup, Inc. USD 43,240 3,505,486 0.70

Baxter International, Inc. USD 83,438 4,758,400 0.95

BJ's Restaurants, Inc. USD 31,830 1,398,800 0.28

Booz Allen Hamilton Holding Corp. USD 23,952 942,621 0.19

Broadridge Financial Solutions, Inc. USD 47,205 3,927,248 0.79







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets





CACI International, Inc. 'A' USD 9,140 1,150,563 0.23

Capitol Federal Financial, Inc. USD 293,993 3,285,872 0.66

Cintas Corp. USD 29,556 4,314,305 0.86

Cisco Systems, Inc. USD 171,934 6,431,079 1.29

CMS Energy Corp. USD 100,360 4,333,179 0.87

Coca-Cola Co. (The) USD 16,880 696,782 0.14

Columbia Sportswear Co. USD 13,830 1,021,179 0.20

Consolidated Edison, Inc. USD 63,625 4,255,577 0.85

Continental Building Products, Inc. USD 84,697 1,873,267 0.38

Darden Restaurants, Inc. USD 50,029 4,302,638 0.86

DTE Energy Co. USD 23,948 2,306,104 0.46

Encompass Health Corp. USD 49,145 2,636,367 0.53

Entergy Corp. USD 11,799 882,152 0.18

F5 Networks, Inc. USD 23,115 3,247,158 0.65

FirstEnergy Corp. USD 134,734 4,390,388 0.88

Gaming and Leisure Properties, Inc., REIT USD 123,936 3,493,338 0.70

Hawaiian Electric Industries, Inc. USD 141,955 4,487,886 0.90

HCA Healthcare, Inc. USD 18,091 1,938,282 0.39

Home Depot, Inc. (The) USD 45,152 6,721,565 1.35

Intel Corp. USD 166,685 6,814,923 1.36

Jack Henry & Associates, Inc. USD 39,713 4,351,082 0.87

Johnson & Johnson USD 37,428 4,165,868 0.83

Lancaster Colony Corp. USD 8,622 1,305,233 0.26

Liberty Property Trust, REIT USD 111,562 4,083,143 0.82

Lockheed Martin Corp. USD 21,302 4,867,166 0.97

Macy's, Inc. USD 101,324 2,660,148 0.53

Marsh & McLennan Cos., Inc. USD 67,406 4,649,360 0.93

McDonald's Corp. USD 38,409 5,897,139 1.18

Merck & Co., Inc. USD 107,499 7,085,749 1.42

Mercury General Corp. USD 42,857 1,908,504 0.38

Motorola Solutions, Inc. USD 12,246 1,202,163 0.24

NextEra Energy, Inc. USD 1,609 243,042 0.05

Norfolk Southern Corp. USD 25,880 3,349,949 0.67

Old Republic International Corp. USD 193,258 3,468,148 0.69

PepsiCo, Inc. USD 44,254 4,271,172 0.86

Pfizer, Inc. USD 196,122 7,368,404 1.48


Raytheon Co. USD 27,423 3,667,432 0.73

Republic Services, Inc. USD 69,546 4,374,869 0.88

Safety Insurance Group, Inc. USD 30,056 2,153,034 0.43

Sysco Corp. USD 44,737 2,436,679 0.49

Target Corp. USD 50,541 2,871,261 0.58







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




TJX Cos., Inc. (The) USD 84,584 3,240,741 0.65

Verizon Communications, Inc. USD 52,924 2,558,144 0.51

Visa, Inc. 'A' USD 2,332 267,044 0.05

Walmart, Inc. USD 43,538 3,507,942 0.70

Waste Management, Inc. USD 60,405 4,646,132 0.93

WEC Energy Group, Inc. USD 18,468 1,114,589 0.22

Xcel Energy, Inc. USD 100,263 4,318,468 0.87

206,355,332 41.33





Luxembourg

Robeco QI Chinese A-share Conservative Equities Fund - Z EUR A† EUR 34,000 3,123,488 0.63

3,123,488 0.63

Total Collective Investment Schemes - UCITS 3,123,488 0.63

Total Units of authorised UCITS or other collective investment undertakings 3,123,488 0.63


Fair Value Adjustment (1,571,581) (0.31)

Cash 15,486,478 3.10

Other Assets/(Liabilities) (11,152,615) (2.23)

Total Net Assets 499,302,464 100.00

† Related Party Fund.






Forward Currency Exchange Contracts

Currency

Purchased

Amount

Purchased

Currency

Sold Amount Sold

Maturity

Date Counterparty

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

CAD 375,110 EUR 240,000 07/01/2019 J.P. Morgan 553 –

CHF 13,617 EUR 12,000 07/01/2019 J.P. Morgan 98 –

EUR 163,574 AUD 257,178 07/01/2019 HSBC 5,352 –

EUR 845,836 AUD 1,364,240 07/01/2019 J.P. Morgan 6,526 –

EUR 119,814 CAD 179,836 07/01/2019

First European Transfer

Agent 4,488 –

EUR 2,349,720 CAD 3,522,175 07/01/2019 J.P. Morgan 90,993 0.02

EUR 63,815 DKK 475,964 07/01/2019 Citigroup 74 –

EUR 847,397 GBP 756,444 07/01/2019 J.P. Morgan 8,373 –

EUR 195,827 GBP 170,540 07/01/2019 Societe Generale 6,669 –

EUR 154,659 HKD 1,372,726 07/01/2019 ING Bank 1,373 –

EUR 59,330 ILS 250,437 07/01/2019 J.P. Morgan 1,150 –

EUR 8,919 NOK 85,760 07/01/2019


Agent 333 –

EUR 166,175 NOK 1,588,998 07/01/2019 J.P. Morgan 7,088 –

EUR 41,846 NZD 69,855 07/01/2019


Agent 962 –

EUR 169,717 SEK 1,734,346 07/01/2019


Agent 860 –

EUR 520,000 USD 593,634 07/01/2019 Citigroup 1,011 –

EUR 2,953,479 USD 3,354,975 07/01/2019 Societe Generale 20,364 0.01

JPY 768,146 EUR 6,000 07/01/2019 J.P. Morgan 84 –

SGD 38,652 EUR 24,683 07/01/2019


Agent 57 –

USD 263,489 EUR 230,000 07/01/2019 Citigroup 358 –

USD 1,444,014 TWD 44,052,549 16/01/2019 HSBC 888 –

Total Unrealised Gain on Forward Currency Exchange Contracts 157,654 0.03






Forward Currency Exchange Contracts (continued)

Currency

Purchased

Amount

Purchased

Currency

Sold Amount Sold

Maturity

Date

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

AUD 17,269 EUR 11,000 07/01/2019 Citigroup (376) –

CAD 38,837 EUR 26,000 07/01/2019 J.P. Morgan (1,094) –

EUR 1,151,340 CHF 1,310,673 07/01/2019 J.P. Morgan (13,187) –

EUR 823,092 HKD 7,376,258 07/01/2019 J.P. Morgan (580) –

EUR 123,218 JPY 15,857,190 07/01/2019


Agent (2,378) –

EUR 413,823 JPY 53,135,342 07/01/2019 HSBC (7,033) –

EUR 255,383 NZD 446,200 07/01/2019 HSBC (5,766) –

EUR 102,252 SEK 1,062,918 07/01/2019 ING Bank (1,234) –

EUR 375,557 SGD 593,563 07/01/2019 ING Bank (4,369) –

EUR 183,730 TRY 1,205,082 07/01/2019 HSBC (15,776) (0.01)

EUR 240,000 USD 275,479 07/01/2019 HSBC (839) –

EUR 10,469,098 USD 11,975,647 07/01/2019 J.P. Morgan (707) –

EUR 350,000 USD 401,068 07/01/2019 Rabobank (637) –

EUR 138,405 ZAR 2,336,312 07/01/2019 J.P. Morgan (3,650) –

GBP 10,517 EUR 12,000 07/01/2019 Rabobank (335) –

HKD 106,222 EUR 12,000 07/01/2019 Rabobank (139) –

NZD 6,713 EUR 4,000 07/01/2019 Citigroup (71) –

SEK 20,509 EUR 2,000 07/01/2019 Rabobank (3) –

SGD 4,687 EUR 3,000 07/01/2019 J.P. Morgan – –

USD 296,817 EUR 260,000 07/01/2019 Citigroup (506) –

USD 307,969 EUR 270,000 07/01/2019 HSBC (755) –

USD 376,781 EUR 330,000 07/01/2019 ING Bank (596) –

USD 766,692 EUR 675,000 07/01/2019 J.P. Morgan (4,713) –

Total Unrealised Loss on Forward Currency Exchange Contracts (64,744) (0.01)

Net Unrealised Gain on Forward Currency Exchange Contracts 92,910 0.02




Robeco QI Global Momentum Equities - Z EUR

This sub-fund strives to achieve exposure to stocks in developed markets with at least two-thirds of its assets. Momentum in this context

refers to the focus on medium-term stock trends. Derivative instruments may be used.

Investment results

Price in

currency x 1

31/12/2019

Price in

currency x 1

31/12/2018

Investment

result

reporting

period in %

Investment

result

3 years

average

Robeco QI Global Momentum Equities

Z EUR shares 182.40 143.60 25.8 9.1


Investment policyThe investment objective of the sub-fund is to outperform the MSCI All Country World Index by using a quantitative stock-selection

model. The model identifies broad groups of stocks that have positive momentum characteristics, while at the same time taking

valuation, quality and low-risk characteristics into account.

The sub-fund underperformed the index in a rising market. The momentum factor had the largest negative contribution to the

performance of the fund. Controlling for valuation, risk and quality had a positive contribution. The risk profile of the sub-fund, as

measured by the volatility, was lower than that of the index.

Sustainability, based on RobecoSAM scores, is integrated into the investment policy. These RobecoSAM scores take into account

environmental, social and governance factors. The portfolio construction process is highly disciplined and ensures that the overall

sustainability score of the portfolio is better than or equal to the overall sustainability score of the index.

Robeco QI Global Factor Solutions Fund holds an interest of 50.37% in Robeco QI Global Momentum Equities (40.54% as of

31/12/2018).







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets


Equities

Australia

Fortescue Metals Group Ltd. AUD 133,731 895,257 0.83

Magellan Financial Group Ltd. AUD 11,262 401,650 0.37

1,296,907 1.20

Austria

BAWAG Group AG, Reg. S EUR 11,205 454,923 0.42

454,923 0.42

Belgium

Ageas EUR 13,308 701,066 0.65

D'ieteren SA/NV EUR 13,789 863,191 0.80

1,564,257 1.45

Bermuda

Arch Capital Group Ltd. USD 21,664 827,767 0.77

827,767 0.77

Brazil

Banco do Brasil SA BRL 59,200 692,494 0.64

BRF SA, ADR USD 70,447 546,004 0.50

JBS SA BRL 67,300 384,530 0.36

1,623,028 1.50

Canada

ATS Automation Tooling Systems, Inc. CAD 31,583 464,978 0.43

iA Financial Corp., Inc. CAD 14,504 710,751 0.66

Manulife Financial Corp. CAD 45,476 823,541 0.76

TC Energy Corp. CAD 16,686 792,802 0.73

Thomson Reuters Corp. CAD 11,248 717,797 0.67

3,509,869 3.25

Cayman Islands

Ambarella, Inc. USD 6,294 339,568 0.31

ANTA Sports Products Ltd. HKD 105,000 837,354 0.78

Chailease Holding Co. Ltd. TWD 230,493 945,284 0.87

Vipshop Holdings Ltd., ADR USD 75,011 946,909 0.88

WH Group Ltd., Reg. S HKD 790,000 727,108 0.67

3,796,223 3.51







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



China

China Oilfield Services Ltd. 'H' HKD 518,000 723,730 0.67

PICC Property & Casualty Co. Ltd. 'H' HKD 612,000 657,042 0.61

1,380,772 1.28

Denmark

ALK-Abello A/S DKK 3,010 658,596 0.61

658,596 0.61

Finland

Metso OYJ EUR 20,525 722,070 0.67

722,070 0.67

France

Amundi SA, Reg. S EUR 7,739 540,956 0.50

CGG SA EUR 38,222 110,653 0.10

Gaztransport Et Technigaz SA EUR 10,633 908,058 0.84

Ingenico Group SA EUR 6,892 667,145 0.62

Peugeot SA EUR 36,807 783,989 0.72

Sartorius Stedim Biotech EUR 5,908 872,612 0.81

3,883,413 3.59

Germany

MTU Aero Engines AG EUR 4,009 1,020,691 0.95

Muenchener Rueckversicherungs-Gesellschaft AG EUR 756 198,828 0.18

Wirecard AG EUR 5,013 538,898 0.50

1,758,417 1.63

Israel

CyberArk Software Ltd. USD 6,072 630,623 0.58

Israel Discount Bank Ltd. 'A' ILS 242,109 999,755 0.92

Radware Ltd. USD 19,095 438,547 0.41

2,068,925 1.91

Italy

Leonardo SpA EUR 59,249 619,152 0.57

Mediobanca Banca di Credito Finanziario SpA EUR 64,583 633,818 0.59

Poste Italiane SpA, Reg. S EUR 92,900 940,148 0.87

2,193,118 2.03







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Japan

Adastria Co. Ltd. JPY 31,900 650,878 0.60

Chugai Pharmaceutical Co. Ltd. JPY 13,600 1,123,785 1.04

Daiichi Sankyo Co. Ltd. JPY 5,700 337,736 0.31

Japan Real Estate Investment Corp., REIT JPY 138 814,508 0.76

Kakaku.com, Inc. JPY 39,600 906,672 0.84

Kamigumi Co. Ltd. JPY 21,400 420,851 0.39

NEC Corp. JPY 20,900 774,406 0.72

Nippon Building Fund, Inc., REIT JPY 110 716,876 0.66

Obayashi Corp. JPY 76,200 760,203 0.70

Obic Co. Ltd. JPY 7,200 871,170 0.81

Suzuken Co. Ltd. JPY 14,500 530,730 0.49

7,907,815 7.32

Malaysia

MISC Bhd. MYR 372,600 677,589 0.63

Petronas Gas Bhd. MYR 128,400 464,765 0.43

1,142,354 1.06

Netherlands

NXP Semiconductors NV USD 8,432 955,952 0.88

955,952 0.88

New Zealand

Meridian Energy Ltd. NZD 330,113 992,030 0.92

992,030 0.92

Puerto Rico

EVERTEC, Inc. USD 32,598 988,540 0.92

988,540 0.92

Russia

MMC Norilsk Nickel PJSC, ADR USD 32,976 897,476 0.83

897,476 0.83

South Africa

Gold Fields Ltd., ADR USD 141,608 832,617 0.77

Telkom SA SOC Ltd. ZAR 71,192 157,928 0.15

990,545 0.92







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



South Korea

Daelim Industrial Co. Ltd. KRW 5,976 416,626 0.39

Fila Korea Ltd. KRW 14,835 605,690 0.56

Hyundai Mobis Co. Ltd. KRW 3,481 686,485 0.63

Kia Motors Corp. KRW 20,811 710,205 0.66

Samsung Securities Co. Ltd. KRW 20,836 619,567 0.57

3,038,573 2.81

Spain

ACS Actividades de Construccion y Servicios SA EUR 21,899 780,699 0.72

Almirall SA EUR 24,185 354,069 0.33

1,134,768 1.05

Sweden

Getinge AB 'B' SEK 32,774 542,710 0.50

Hennes & Mauritz AB 'B' SEK 38,080 690,296 0.64

ICA Gruppen AB SEK 15,102 628,353 0.58

Indutrade AB SEK 12,402 395,626 0.36

Skanska AB 'B' SEK 39,556 796,934 0.74

Telefonaktiebolaget LM Ericsson 'B' SEK 99,910 775,488 0.72

3,829,407 3.54

Switzerland

Garmin Ltd. USD 10,995 955,610 0.88

Swiss Life Holding AG CHF 845 377,655 0.35

1,333,265 1.23

Taiwan

Asia Cement Corp. TWD 733,000 1,044,523 0.97

Chicony Electronics Co. Ltd. TWD 215,000 568,662 0.53

E.Sun Financial Holding Co. Ltd. TWD 829,032 687,386 0.63

Feng TAY Enterprise Co. Ltd. TWD 141,900 822,323 0.76

MediaTek, Inc. TWD 42,000 553,565 0.51

Nanya Technology Corp. TWD 285,000 706,377 0.65

Pou Chen Corp. TWD 553,000 644,224 0.60

Realtek Semiconductor Corp. TWD 122,000 852,026 0.79

5,879,086 5.44

Thailand

Advanced Info Service PCL, NVDR THB 99,100 627,792 0.58

627,792 0.58







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



United Kingdom

Auto Trader Group plc, Reg. S GBP 138,640 972,884 0.90

Barratt Developments plc GBP 77,826 685,741 0.63

J D Wetherspoon plc GBP 45,446 891,939 0.83

Legal & General Group plc GBP 99,701 356,525 0.33

Next plc GBP 10,846 898,319 0.83

3,805,408 3.52


Aflac, Inc. USD 22,665 1,068,132 0.99

Akamai Technologies, Inc. USD 10,655 819,937 0.76

Ally Financial, Inc. USD 23,427 637,799 0.59

Amedisys, Inc. USD 3,917 582,473 0.54

American Express Co. USD 8,493 941,910 0.87

American International Group, Inc. USD 15,047 688,073 0.64

Arconic, Inc. USD 26,888 737,055 0.68

Asbury Automotive Group, Inc. USD 7,002 697,331 0.65

Automatic Data Processing, Inc. USD 6,716 1,020,114 0.94

AutoZone, Inc. USD 983 1,043,258 0.97

AvalonBay Communities, Inc., REIT USD 2,231 416,785 0.39

Ball Corp. USD 11,529 664,214 0.61

Bruker Corp. USD 18,540 841,856 0.78

Cable One, Inc. USD 736 975,959 0.90

Cadence Design Systems, Inc. USD 10,663 658,874 0.61

Carpenter Technology Corp. USD 10,510 466,092 0.43

Casey's General Stores, Inc. USD 5,663 802,103 0.74

CBRE Group, Inc. 'A' USD 6,164 336,563 0.31

CDW Corp. USD 7,969 1,014,068 0.94

CF Industries Holdings, Inc. USD 18,941 805,562 0.75

Chipotle Mexican Grill, Inc. USD 1,233 919,516 0.85

Ciena Corp. USD 18,952 720,767 0.67

Cincinnati Financial Corp. USD 7,123 667,246 0.62

Copart, Inc. USD 4,854 393,250 0.36

Crocs, Inc. USD 28,004 1,045,067 0.97

DENTSPLY SIRONA, Inc. USD 13,402 675,652 0.62

DexCom, Inc. USD 4,346 846,899 0.78

Discover Financial Services USD 9,815 741,655 0.69

Entergy Corp. USD 4,372 466,606 0.43

EPAM Systems, Inc. USD 4,307 814,052 0.75

Erie Indemnity Co. 'A' USD 4,060 600,410 0.56

Fortinet, Inc. USD 9,252 879,950 0.81

Hartford Financial Services Group, Inc. (The) USD 12,631 683,818 0.63

HEICO Corp. USD 5,534 562,767 0.52







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Hess Corp. USD 13,133 781,662 0.72

Hilltop Holdings, Inc. USD 25,132 558,165 0.52

Invitation Homes, Inc., REIT USD 24,508 654,347 0.61

Keysight Technologies, Inc. USD 8,917 815,280 0.75

Kimco Realty Corp., REIT USD 39,956 737,184 0.68

Leidos Holdings, Inc. USD 8,577 747,975 0.69

Lockheed Martin Corp. USD 2,418 838,771 0.78

Lululemon Athletica, Inc. USD 4,802 991,073 0.92

Manhattan Associates, Inc. USD 9,070 644,394 0.60

MarketAxess Holdings, Inc. USD 1,010 341,115 0.32

Merck & Co., Inc. USD 6,922 560,852 0.52

Mercury Systems, Inc. USD 10,573 650,958 0.60

MetLife, Inc. USD 7,296 331,294 0.31

MGIC Investment Corp. USD 27,057 341,557 0.32


NMI Holdings, Inc. 'A' USD 28,071 829,751 0.77

Pilgrim's Pride Corp. USD 22,364 651,793 0.60

Plains GP Holdings LP 'A' USD 38,731 653,855 0.60


Ross Stores, Inc. USD 7,190 745,710 0.69

S&P Global, Inc. USD 3,147 765,513 0.71

Simpson Manufacturing Co., Inc. USD 4,391 313,844 0.29

Snap, Inc. 'A' USD 45,265 658,510 0.61

Sonic Automotive, Inc. 'A' USD 19,766 545,876 0.50

Starbucks Corp. USD 11,854 928,466 0.86

Target Corp. USD 6,946 793,360 0.73

Tyson Foods, Inc. 'A' USD 10,063 816,156 0.75

Veeva Systems, Inc. 'A' USD 6,940 869,648 0.80

VeriSign, Inc. USD 4,882 838,008 0.78

Whirlpool Corp. USD 2,593 340,798 0.32

Xerox Holdings Corp. USD 16,440 539,994 0.50

Yum China Holdings, Inc. USD 18,090 773,720 0.72

47,761,536 44.20








Investments

Market

Value

EUR

% of Net

Assets


Cash 725,862 0.67

Other assets/(liabilities) 308,242 0.29


Financial Futures Contracts

Security Description

Number of

Contracts Currency

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

S&P 500 Emini Index, 20/03/2020 4 USD 3,935 –

Total Unrealised Gain on Financial Futures Contracts - Assets 3,935 –

EURO STOXX 50 Index, 20/03/2020 9 EUR (1,100) –

Total Unrealised Loss on Financial Futures Contracts - Liabilities (1,100) –

Net Unrealised Gain on Financial Futures Contracts - Assets 2,835 –







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets


Equities

Australia

Alumina Ltd. AUD 463,206 664,155 0.63

Bapcor Ltd. AUD 168,441 613,634 0.58


1,777,982 1.68

Austria

Verbund AG EUR 19,750 735,490 0.69

735,490 0.69

Bermuda

Marvell Technology Group Ltd. USD 39,712 543,524 0.51

543,524 0.51

Brazil

Fibria Celulose SA, ADR USD 71,895 1,082,716 1.02

1,082,716 1.02

Canada

ATS Automation Tooling Systems, Inc. CAD 64,933 602,645 0.57

Genworth MI Canada, Inc. CAD 23,713 610,508 0.57

Methanex Corp. CAD 6,058 253,846 0.24

Toronto-Dominion Bank (The) CAD 18,795 815,285 0.77

2,282,284 2.15

Cayman Islands

Chailease Holding Co. Ltd. TWD 294,780 812,724 0.77

China Conch Venture Holdings Ltd. HKD 278,000 715,696 0.67

China Resources Cement Holdings Ltd. HKD 1,058,000 838,990 0.79

Tingyi Cayman Islands Holding Corp. HKD 638,000 741,083 0.70

3,108,493 2.93

China

China Petroleum & Chemical Corp. 'H' HKD 1,120,000 676,750 0.64

676,750 0.64

Finland

Stora Enso OYJ 'R' EUR 50,355 507,830 0.48

UPM-Kymmene OYJ EUR 28,854 639,116 0.60

1,146,946 1.08

France

Electricite de France SA EUR 25,027 339,366 0.32

Gaztransport Et Technigaz SA EUR 10,633 693,272 0.65

Hermes International EUR 1,652 787,674 0.74

Kering SA EUR 2,959 1,176,202 1.11

LVMH Moet Hennessy Louis Vuitton SE EUR 2,288 578,292 0.55







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



France (continued)

Peugeot SA EUR 36,807 672,096 0.64

Sartorius Stedim Biotech EUR 7,526 637,076 0.60

4,883,978 4.61

Germany

MTU Aero Engines AG EUR 4,009 635,026 0.60

Wirecard AG EUR 5,013 665,726 0.63

1,300,752 1.23

Hong Kong

Hang Seng Bank Ltd. HKD 36,100 702,777 0.66

Hysan Development Co. Ltd. HKD 142,000 597,126 0.57

Lenovo Group Ltd. HKD 1,122,000 657,907 0.62

1,957,810 1.85

Indonesia

Indah Kiat Pulp & Paper Corp. Tbk. PT IDR 796,100 552,295 0.52

United Tractors Tbk. PT IDR 389,200 639,369 0.60

1,191,664 1.12

Israel

CyberArk Software Ltd. USD 6,072 389,082 0.37

Israel Chemicals Ltd. ILS 144,658 700,706 0.66

Mellanox Technologies Ltd. USD 12,201 980,604 0.92

Radware Ltd. USD 31,257 615,326 0.58

2,685,718 2.53

Italy

Moncler SpA EUR 23,114 668,688 0.63

Poste Italiane SpA, Reg. S EUR 116,787 815,640 0.77

1,484,328 1.40

Japan

Aeon Co. Ltd. JPY 48,100 818,875 0.77

Alfresa Holdings Corp. JPY 24,000 532,806 0.50

Astellas Pharma, Inc. JPY 66,000 732,609 0.69

Japan Airlines Co. Ltd. JPY 23,300 718,046 0.68

Kakaku.com, Inc. JPY 51,500 792,121 0.75

Keihan Holdings Co. Ltd. JPY 8,700 308,353 0.29

Konica Minolta, Inc. JPY 70,900 557,610 0.53

Marubeni Corp. JPY 102,000 623,990 0.59

Obic Co. Ltd. JPY 9,500 638,802 0.60

Shionogi & Co. Ltd. JPY 13,300 660,577 0.62

Shiseido Co. Ltd. JPY 15,700 856,998 0.81

Sumitomo Corp. JPY 60,700 750,699 0.71

Sumitomo Dainippon Pharma Co. Ltd. JPY 29,600 819,359 0.77

Suzuken Co. Ltd. JPY 14,500 641,970 0.61







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Japan (continued)

Toho Gas Co. Ltd. JPY 22,300 818,634 0.77

Tokai Carbon Co. Ltd. JPY 61,800 610,855 0.58

10,882,304 10.27

Malaysia

Petronas Chemicals Group Bhd. MYR 357,200 701,133 0.66

Petronas Gas Bhd. MYR 128,400 513,798 0.49

1,214,931 1.15

Mexico

Grupo Financiero Banorte SAB de CV 'O' MXN 150,200 627,024 0.59

627,024 0.59

Puerto Rico

EVERTEC, Inc. USD 40,853 1,015,743 0.96

1,015,743 0.96

Russia

Severstal PJSC, Reg. S, GDR USD 27,651 327,425 0.31


1,035,050 0.98

South Africa

Old Mutual Ltd. GBP 327,823 441,556 0.42

441,556 0.42

South Korea

Fila Korea Ltd. KRW 14,835 622,068 0.59

GS Engineering & Construction Corp. KRW 20,835 714,444 0.67

Hotel Shilla Co. Ltd. KRW 9,690 581,007 0.55

Korea Investment Holdings Co. Ltd. KRW 6,616 308,538 0.29

Samsung Electro-Mechanics Co. Ltd. KRW 8,540 692,779 0.65

Shinsegae, Inc. KRW 2,580 517,674 0.49

SK Hynix, Inc. KRW 16,189 767,665 0.73

4,204,175 3.97

Spain

Almirall SA EUR 23,864 312,380 0.29

Ence Energia y Celulosa SA EUR 137,002 726,110 0.69

1,038,490 0.98

Sweden

Svenska Cellulosa AB SCA 'B' SEK 106,099 709,856 0.67

Telefonaktiebolaget LM Ericsson 'B' SEK 99,910 757,939 0.71

1,467,795 1.38







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Switzerland

Garmin Ltd. USD 10,995 604,055 0.57

Straumann Holding AG CHF 1,460 801,631 0.76

1,405,686 1.33

Taiwan

Asia Cement Corp. TWD 733,000 708,052 0.67

E.Sun Financial Holding Co. Ltd. TWD 774,000 442,648 0.42

Far Eastern New Century Corp. TWD 958,000 760,486 0.72

Feng TAY Enterprise Co. Ltd. TWD 129,000 644,152 0.61

Novatek Microelectronics Corp. TWD 180,000 727,247 0.68

Taiwan Cement Corp. TWD 533,000 539,881 0.51

3,822,466 3.61

United Kingdom


J D Wetherspoon plc GBP 55,366 668,848 0.63

Next plc GBP 13,575 609,588 0.58

Paragon Banking Group plc GBP 128,568 561,934 0.53

Persimmon plc GBP 24,990 536,279 0.51

Royal Bank of Scotland Group plc GBP 246,434 585,293 0.55

SSP Group plc GBP 114,490 814,616 0.77

4,172,916 3.94


ABIOMED, Inc. USD 2,487 692,019 0.65

Aerovironment, Inc. USD 4,759 281,224 0.27

Aflac, Inc. USD 28,020 1,101,490 1.04

Akamai Technologies, Inc. USD 13,507 721,153 0.68

Allison Transmission Holdings, Inc. USD 15,986 607,732 0.57

Allstate Corp. (The) USD 9,737 698,438 0.66

American Express Co. USD 8,493 701,307 0.66

Archer-Daniels-Midland Co. USD 21,233 757,254 0.71

Arista Networks, Inc. USD 4,646 836,032 0.79

Arrow Electronics, Inc. USD 10,693 638,148 0.60

Automatic Data Processing, Inc. USD 6,716 759,026 0.72

Best Buy Co., Inc. USD 14,658 658,133 0.62

BJ's Restaurants, Inc. USD 10,676 469,167 0.44

Broadridge Financial Solutions, Inc. USD 9,541 793,769 0.75

CBRE Group, Inc. 'A' USD 22,995 802,196 0.76

CenterPoint Energy, Inc. USD 20,937 512,690 0.48

CF Industries Holdings, Inc. USD 18,941 701,850 0.66

Cintas Corp. USD 4,877 711,898 0.67

Citizens Financial Group, Inc. USD 20,801 537,921 0.51

Comerica, Inc. USD 9,208 546,626 0.52

ConocoPhillips USD 14,843 800,531 0.76

Crocs, Inc. USD 38,037 886,183 0.84

DexCom, Inc. USD 6,332 654,991 0.62







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Eli Lilly & Co. USD 9,557 954,488 0.90

F5 Networks, Inc. USD 3,471 487,600 0.46

FleetCor Technologies, Inc. USD 5,551 890,772 0.84

Fortinet, Inc. USD 13,904 855,313 0.81

Grand Canyon Education, Inc. USD 9,189 763,198 0.72

Green Dot Corp. 'A' USD 16,199 1,091,550 1.03

Haemonetics Corp. USD 11,672 977,184 0.92

Hess Corp. USD 13,133 463,781 0.44

HMS Holdings Corp. USD 22,545 556,601 0.52

HollyFrontier Corp. USD 19,479 870,333 0.82

Intel Corp. USD 34,642 1,416,340 1.34

Intuitive Surgical, Inc. USD 2,439 1,005,078 0.95

Kohl's Corp. USD 13,636 775,861 0.73

Lululemon Athletica, Inc. USD 7,980 847,236 0.80

Macy's, Inc. USD 32,566 854,984 0.81

Merck & Co., Inc. USD 6,922 456,261 0.43

Morgan Stanley USD 17,344 597,169 0.56


Navigant Consulting, Inc. USD 41,225 843,644 0.80

NetApp, Inc. USD 17,041 880,627 0.83

NMI Holdings, Inc. 'A' USD 51,601 793,792 0.75

Norfolk Southern Corp. USD 6,363 823,637 0.78

Occidental Petroleum Corp. USD 15,123 799,762 0.75

Old Dominion Freight Line, Inc. USD 7,838 840,454 0.79

Phillips 66 USD 4,126 306,568 0.29


PulteGroup, Inc. USD 35,146 800,386 0.75

PVH Corp. USD 7,627 615,923 0.58

Ralph Lauren Corp. USD 7,587 675,329 0.64

Regions Financial Corp. USD 42,133 491,911 0.46

Robert Half International, Inc. USD 13,580 669,825 0.63

Square, Inc. 'A' USD 14,255 696,512 0.66

Tiffany & Co. USD 7,319 506,432 0.48

Tractor Supply Co. USD 5,728 416,832 0.39

TripAdvisor, Inc. USD 18,468 864,893 0.82

Twitter, Inc. USD 37,049 921,162 0.87

United Continental Holdings, Inc. USD 8,646 628,876 0.59

USANA Health Sciences, Inc. USD 7,371 741,064 0.70

Veeva Systems, Inc. 'A' USD 8,706 666,588 0.63

VeriSign, Inc. USD 6,058 778,170 0.73

VMware, Inc. 'A' USD 7,263 1,006,003 0.95

WEX, Inc. USD 5,140 619,524 0.58

Wintrust Financial Corp. USD 8,518 489,574 0.46

Worldpay, Inc. USD 9,002 601,393 0.57

WW Grainger, Inc. USD 3,313 815,523 0.77

49,298,890 46.51








Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets






Fair Value Adjustment (281,278) (0.27)

Cash 499,026 0.47

Other Assets/(Liabilities) 283,494 0.27




Number of

Contracts Currency

Global

Exposure

EUR

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

S&P 500 Emini Index, 15/03/2019 4 USD 434,824 1,007 –

Total Unrealised Gain on Financial Futures Contracts 1,007 –

EURO STOXX 50 Index, 15/03/2019 12 EUR 356,880 (1,480) –

Total Unrealised Loss on Financial Futures Contracts (1,480) –

Net Unrealised Loss on Financial Futures Contracts (473) –




Robeco QI Global Value Equities - Z EUR

This sub-fund strives to achieve exposure to global equities with at least two-thirds of its assets. Quant value refers here to a disciplined

selection of stocks with attractive valuations. Derivative instruments may be used.

Investment results

Price in

currency x 1

31/12/2019

Price in

currency x 1

31/12/2018

Investment

result

reporting

period in %

Investment

result

3 years

average


Z EUR shares 163.09 137.98 17.1 5.1


Investment policyThe investment objective of the sub-fund is to outperform the MSCI All Country World Index, by using a quantitative stock-selection

model. The model identifies broad groups of stocks that have positive value characteristics, while at the same time taking momentum,

quality and low-risk characteristics into account.

The sub-fund underperformed the index in a rising market. The value factor had a negative contribution. Controlling for momentum

contributed negatively, controlling for risk had a positive contribution, while the contribution of controlling for quality was flat. The risk

profile of the sub-fund, as measured by the volatility, was higher than that of the index.

Sustainability, based on RobecoSAM scores, is integrated into the investment policy. These RobecoSAM scores take into account

environmental, social and governance factors. The portfolio-construction process is highly disciplined and ensures that the overall

sustainability score of the portfolio is better than or equal to the overall sustainability score of the index.

Robeco QI Global Factor Solutions Fund holds an interest of 29.1% in Robeco QI Global Value Equities (70.34% as of 31/12/2018).







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets


Equities

Australia

BlueScope Steel Ltd. AUD 74,164 699,449 0.39

Fortescue Metals Group Ltd. AUD 154,089 1,031,543 0.58

Genworth Mortgage Insurance Australia Ltd. AUD 124,448 284,459 0.16

South32 Ltd. AUD 374,798 633,722 0.35

2,649,173 1.48

Bermuda

Assured Guaranty Ltd. USD 13,691 597,891 0.33

Athene Holding Ltd. 'A' USD 18,683 782,772 0.44

Kerry Properties Ltd. HKD 98,500 278,732 0.15

Triton International Ltd. USD 26,553 950,941 0.53

2,610,336 1.45

Brazil

Telefonica Brasil SA, ADR Preference USD 88,934 1,134,552 0.63

1,134,552 0.63

Canada

Air Canada CAD 28,252 941,538 0.52

ARC Resources Ltd. CAD 69,371 389,842 0.22

Canadian Natural Resources Ltd. CAD 25,858 746,108 0.41

CI Financial Corp. CAD 35,788 533,771 0.30


Husky Energy, Inc. CAD 26,525 189,881 0.11

Imperial Oil Ltd. CAD 32,105 757,629 0.42

Magna International, Inc. CAD 18,171 888,825 0.49

Peyto Exploration & Development Corp. CAD 53,048 138,487 0.08

Teck Resources Ltd. 'B' CAD 20,707 320,363 0.18

5,600,923 3.12

Cayman Islands

Agile Group Holdings Ltd. HKD 160,000 214,399 0.12

China Resources Cement Holdings Ltd. HKD 602,000 682,785 0.38

CK Asset Holdings Ltd. HKD 63,000 405,172 0.22

Country Garden Holdings Co. Ltd. HKD 829,000 1,182,892 0.66

2,485,248 1.38

China

Agricultural Bank of China Ltd. 'H' HKD 2,378,000 932,571 0.52

Bank of China Ltd. 'H' HKD 2,535,000 965,157 0.54

Bank of Communications Co. Ltd. 'H' HKD 1,375,000 870,940 0.48







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



China (continued)

China Cinda Asset Management Co. Ltd. 'H' HKD 2,194,000 444,003 0.25

China CITIC Bank Corp. Ltd. 'H' HKD 935,000 499,234 0.28

China Construction Bank Corp. 'H' HKD 1,773,000 1,364,268 0.76

China Huarong Asset Management Co. Ltd., Reg. S 'H' HKD 2,835,000 398,689 0.22

China Minsheng Banking Corp. Ltd. 'H' HKD 1,319,800 888,790 0.49

China Petroleum & Chemical Corp. 'H' HKD 662,000 354,982 0.20

China Shenhua Energy Co. Ltd. 'H' HKD 482,500 898,106 0.50

China Telecom Corp. Ltd. 'H' HKD 768,000 281,866 0.16

Great Wall Motor Co. Ltd. 'H' HKD 1,028,500 677,334 0.38

Industrial & Commercial Bank of China Ltd. 'H' HKD 1,800,000 1,234,808 0.69

PetroChina Co. Ltd. 'H' HKD 928,000 414,859 0.23

Sinopec Shanghai Petrochemical Co. Ltd. 'H' HKD 832,000 223,546 0.12

Yanzhou Coal Mining Co. Ltd. 'H' HKD 310,000 248,105 0.14

10,697,258 5.96

Denmark

Danske Bank A/S DKK 39,410 568,539 0.32

568,539 0.32

Finland


621,755 0.35

France

AXA SA EUR 16,740 420,341 0.23

BNP Paribas SA EUR 22,484 1,187,830 0.66

Engie SA EUR 39,674 571,306 0.32

Eutelsat Communications SA EUR 69,015 1,000,027 0.56

Orange SA EUR 24,034 315,326 0.17

Peugeot SA EUR 34,222 728,929 0.41

Publicis Groupe SA EUR 19,075 769,867 0.43

Societe Generale SA EUR 35,236 1,092,844 0.61

Valeo SA EUR 22,155 695,889 0.39

6,782,359 3.78

Germany

Covestro AG, Reg. S EUR 9,450 391,702 0.22

Deutsche Lufthansa AG EUR 20,353 333,993 0.18

ProSiebenSat.1 Media SE EUR 32,136 447,012 0.25

Siltronic AG EUR 8,759 785,857 0.44

Telefonica Deutschland Holding AG EUR 293,284 757,846 0.42







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Germany (continued)

2,716,410 1.51

Hong Kong

China Everbright Ltd. HKD 430,000 715,823 0.40

China Mobile Ltd. HKD 22,500 168,500 0.09

China Unicom Hong Kong Ltd. HKD 874,000 733,472 0.41

CITIC Ltd. HKD 173,000 206,105 0.11

CNOOC Ltd. HKD 362,000 536,401 0.30

PCCW Ltd. HKD 386,000 203,453 0.11

Sino Land Co. Ltd. HKD 578,000 748,084 0.42

3,311,838 1.84

Hungary

MOL Hungarian Oil & Gas plc HUF 46,516 413,526 0.23

413,526 0.23

Ireland

Jazz Pharmaceuticals plc USD 8,671 1,153,146 0.64

Seagate Technology plc USD 20,019 1,061,141 0.59

2,214,287 1.23

Israel

Bezeq The Israeli Telecommunication Corp. Ltd. ILS 328,439 235,076 0.13

235,076 0.13

Italy

Eni SpA EUR 53,739 744,070 0.42

Telecom Italia SpA EUR 1,751,236 974,388 0.54

1,718,458 0.96

Japan

Aoyama Trading Co. Ltd. JPY 18,500 233,093 0.13

Canon, Inc. JPY 13,800 337,851 0.19

Dai Nippon Printing Co. Ltd. JPY 5,700 138,309 0.08

Hosiden Corp. JPY 27,300 310,177 0.17

ITOCHU Corp. JPY 31,600 656,543 0.37


Mazda Motor Corp. JPY 50,600 389,079 0.22

Mitsubishi Chemical Holdings Corp. JPY 59,000 395,388 0.22

Mitsubishi Gas Chemical Co., Inc. JPY 44,600 612,032 0.34







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Japan (continued)

Mitsubishi UFJ Financial Group, Inc. JPY 77,000 374,435 0.21

Mitsui & Co. Ltd. JPY 35,700 569,502 0.32

Mixi, Inc. JPY 47,500 806,024 0.45

Mizuho Financial Group, Inc. JPY 217,400 299,936 0.17

Nikon Corp. JPY 31,600 348,153 0.19

Nippon Electric Glass Co. Ltd. JPY 33,600 672,343 0.37


NTT DOCOMO, Inc. JPY 29,700 739,653 0.41

Resona Holdings, Inc. JPY 76,000 298,424 0.17

Sankyo Co. Ltd. JPY 15,700 466,543 0.26

Showa Denko KK JPY 27,200 646,400 0.36

Subaru Corp. JPY 26,000 578,345 0.32


Sumitomo Mitsui Financial Group, Inc. JPY 12,100 400,531 0.22

Sumitomo Rubber Industries Ltd. JPY 26,900 294,827 0.16

Tosoh Corp. JPY 35,600 494,657 0.27

11,480,686 6.39

Jersey

Glencore plc GBP 284,844 791,168 0.44

WPP plc GBP 50,160 631,344 0.35

1,422,512 0.79

Netherlands

Aegon NV EUR 231,560 941,755 0.52

Fiat Chrysler Automobiles NV EUR 35,192 464,323 0.26

Koninklijke BAM Groep NV EUR 185,075 497,111 0.28

Koninklijke KPN NV EUR 101,055 265,876 0.15

LyondellBasell Industries NV 'A' USD 6,770 569,826 0.32

NN Group NV EUR 27,106 916,725 0.51

3,655,616 2.04

Norway

Aker BP ASA NOK 29,450 859,877 0.48

TGS NOPEC Geophysical Co. ASA NOK 13,957 377,941 0.21

1,237,818 0.69

Russia

Alrosa PJSC RUB 451,090 545,553 0.30

Gazprom PJSC, ADR USD 124,609 913,392 0.51

LUKOIL PJSC, ADR USD 10,341 913,693 0.51







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Russia (continued)

Mobile TeleSystems PJSC RUB 92,702 425,417 0.24

Novolipetsk Steel PJSC, Reg. S, GDR USD 23,810 488,715 0.27

Surgutneftegas PJSC Preference RUB 550,864 298,069 0.17


4,295,869 2.39

Singapore

Hutchison Port Holdings Trust USD 1,127,600 172,781 0.09

Yangzijiang Shipbuilding Holdings Ltd. SGD 623,000 462,286 0.26

635,067 0.35

South Africa

Kumba Iron Ore Ltd. ZAR 39,558 1,051,042 0.59

1,051,042 0.59

South Korea

Daelim Industrial Co. Ltd. KRW 12,739 888,118 0.49

Hana Financial Group, Inc. KRW 27,347 777,362 0.43

KB Financial Group, Inc. KRW 25,876 949,832 0.53


LG Uplus Corp. KRW 53,432 584,490 0.33

POSCO, ADR USD 4,996 225,298 0.13

Samsung Electronics Co. Ltd. KRW 14,957 642,933 0.36

Shinhan Financial Group Co. Ltd. KRW 29,822 995,893 0.56

SK Telecom Co. Ltd., ADR USD 17,785 366,157 0.20

Woori Financial Group, Inc. KRW 73,062 652,885 0.36

6,913,878 3.85

Spain

ACS Actividades de Construccion y Servicios SA EUR 23,544 839,344 0.47

Endesa SA EUR 17,163 408,308 0.23

International Consolidated Airlines Group SA EUR 57,595 415,836 0.23

Repsol SA EUR 28,743 400,390 0.22

Repsol SA Rights 07/01/2020 EUR 28,743 12,158 0.01

Telefonica SA EUR 170,716 1,063,048 0.59

3,139,084 1.75

Taiwan

Asustek Computer, Inc. TWD 27,000 185,755 0.10

AU Optronics Corp. TWD 1,598,000 477,275 0.27

Foxconn Technology Co. Ltd. TWD 448,000 881,376 0.49







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Taiwan (continued)

Globalwafers Co. Ltd. TWD 86,000 977,587 0.54

Hon Hai Precision Industry Co. Ltd. TWD 421,000 1,136,039 0.63

Innolux Corp. TWD 1,653,000 409,207 0.23

Lite-On Technology Corp. TWD 341,154 500,338 0.28

United Microelectronics Corp. TWD 2,138,000 1,045,199 0.58

Wistron Corp. TWD 1,041,000 877,060 0.49

Yageo Corp. TWD 124,000 1,610,381 0.90

8,100,217 4.51

Thailand

PTT Exploration & Production PCL, NVDR THB 238,100 881,640 0.49

PTT PCL, NVDR THB 396,000 518,215 0.29

1,399,855 0.78

Turkey

Turkcell Iletisim Hizmetleri A/S TRY 498,025 1,028,855 0.57

Turkiye Is Bankasi A/S 'C' TRY 464,502 445,727 0.25

1,474,582 0.82

United Kingdom

Anglo American plc GBP 26,846 688,473 0.38

Aviva plc GBP 108,888 538,060 0.30


Berkeley Group Holdings plc GBP 9,081 520,749 0.29

Centrica plc GBP 366,435 386,186 0.22

J Sainsbury plc GBP 381,123 1,034,074 0.58

Kingfisher plc GBP 370,106 947,837 0.53

Liberty Global plc 'C' USD 53,507 1,038,918 0.58

Marks & Spencer Group plc GBP 368,816 929,298 0.52

Nielsen Holdings plc USD 41,879 757,366 0.42

Rio Tinto plc GBP 14,533 772,333 0.43

Royal Dutch Shell plc 'A' EUR 69,330 1,814,019 1.01

Royal Mail plc GBP 311,992 833,251 0.46

Taylor Wimpey plc GBP 278,783 636,312 0.35

Vodafone Group plc GBP 554,435 960,298 0.53

12,804,088 7.13


AbbVie, Inc. USD 9,554 753,596 0.42

Abercrombie & Fitch Co. 'A' USD 28,534 439,513 0.25

ACCO Brands Corp. USD 39,537 329,680 0.18







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Alcoa Corp. USD 40,730 780,492 0.44

Alliance Data Systems Corp. USD 9,947 994,257 0.55

Ally Financial, Inc. USD 37,558 1,022,514 0.57

ArcBest Corp. USD 14,897 366,287 0.20

Arch Coal, Inc. 'A' USD 14,590 932,460 0.52

Arena Pharmaceuticals, Inc. USD 7,151 289,353 0.16

AT&T, Inc. USD 48,604 1,692,155 0.94

AXA Equitable Holdings, Inc. USD 49,916 1,101,932 0.61

Bed Bath & Beyond, Inc. USD 89,642 1,381,565 0.77

Benchmark Electronics, Inc. USD 13,884 424,993 0.24


Biogen, Inc. USD 4,548 1,202,252 0.67

Brighthouse Financial, Inc. USD 21,551 753,181 0.42

Brightsphere Investment Group, Inc. USD 77,132 702,262 0.39


Cardinal Health, Inc. USD 19,833 893,678 0.50

CenturyLink, Inc. USD 63,338 745,385 0.42

Chico's FAS, Inc. USD 158,188 536,923 0.30

Citigroup, Inc. USD 23,751 1,690,394 0.94

Clearway Energy, Inc. USD 28,850 512,746 0.29

Colony Capital, Inc., REIT USD 60,917 257,778 0.14

Comerica, Inc. USD 7,123 455,301 0.25

ConocoPhillips USD 23,462 1,359,228 0.76

Consolidated Communications Holdings, Inc. USD 64,858 224,186 0.13

CVR Energy, Inc. USD 16,678 600,705 0.33

DaVita, Inc. USD 16,660 1,113,586 0.62

Delek US Holdings, Inc. USD 11,342 338,795 0.19

Delta Air Lines, Inc. USD 20,326 1,058,944 0.59

Dick's Sporting Goods, Inc. USD 13,333 587,840 0.33

Dillard's, Inc. 'A' USD 13,840 905,981 0.51

Discovery, Inc. 'A' USD 34,657 1,010,842 0.56

Domtar Corp. USD 25,941 883,727 0.49

DXC Technology Co. USD 28,622 958,486 0.53

Ford Motor Co. USD 112,219 929,743 0.52

Fossil Group, Inc. USD 31,878 223,785 0.13

Gannett Co., Inc. USD 22,106 125,645 0.07

Gap, Inc. (The) USD 13,566 213,672 0.12

Genesco, Inc. USD 12,503 533,758 0.30

Gilead Sciences, Inc. USD 18,193 1,053,168 0.59

GrafTech International Ltd. USD 80,761 836,029 0.47

Great Lakes Dredge & Dock Corp. USD 38,138 384,948 0.21

H&R Block, Inc. USD 21,590 451,611 0.25

Helmerich & Payne, Inc. USD 17,876 723,480 0.40







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Hewlett Packard Enterprise Co. USD 65,462 924,924 0.52


HP, Inc. USD 48,016 879,046 0.49

Intel Corp. USD 18,497 986,232 0.55

International Business Machines Corp. USD 9,409 1,123,548 0.63

International Paper Co. USD 23,011 944,015 0.53

Juniper Networks, Inc. USD 21,378 469,078 0.26

Kohl's Corp. USD 24,686 1,120,492 0.62

Kraft Heinz Co. (The) USD 29,110 833,233 0.46

Lear Corp. USD 6,633 810,733 0.45

Legg Mason, Inc. USD 17,102 547,112 0.31

Lincoln National Corp. USD 15,740 827,454 0.46

Macy's, Inc. USD 53,972 817,393 0.46

ManpowerGroup, Inc. USD 12,274 1,061,742 0.59

Marathon Oil Corp. USD 98,086 1,186,644 0.66

McKesson Corp. USD 7,068 870,954 0.49

MetLife, Inc. USD 22,281 1,011,726 0.56

Micron Technology, Inc. USD 21,750 1,042,062 0.58

Molson Coors Brewing Co. 'B' USD 16,684 801,129 0.45

Navient Corp. USD 69,068 841,737 0.47

NetApp, Inc. USD 9,772 541,922 0.30

Newell Brands, Inc. USD 51,803 886,997 0.49

News Corp. 'A' USD 26,250 330,668 0.18

Nordstrom, Inc. USD 6,297 229,609 0.13

Nucor Corp. USD 9,018 452,145 0.25

Occidental Petroleum Corp. USD 13,528 496,649 0.28

Olin Corp. USD 42,279 649,722 0.36

Patterson-UTI Energy, Inc. USD 113,074 1,057,708 0.59

Peabody Energy Corp. USD 31,606 256,790 0.14

Pfizer, Inc. USD 9,943 347,053 0.19


Prudential Financial, Inc. USD 11,708 977,735 0.54

PulteGroup, Inc. USD 21,494 742,955 0.41

Qurate Retail, Inc. USD 79,003 593,314 0.33


Realogy Holdings Corp. USD 60,952 525,626 0.29

Reliance Steel & Aluminum Co. USD 6,229 664,575 0.37

Resolute Forest Products, Inc. USD 21,521 80,524 0.05

RMR Group, Inc. (The) 'A' USD 13,680 556,218 0.31

Schnitzer Steel Industries, Inc. 'A' USD 12,585 243,067 0.14

SpartanNash Co. USD 17,801 225,823 0.13

Steel Dynamics, Inc. USD 29,770 902,780 0.50

Synchrony Financial USD 29,351 941,585 0.52







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Tapestry, Inc. USD 36,181 869,311 0.48

Target Corp. USD 9,399 1,073,538 0.60

Telephone & Data Systems, Inc. USD 19,932 451,555 0.25

TiVo Corp. USD 45,846 346,347 0.19

Unum Group USD 27,212 706,906 0.39

Valero Energy Corp. USD 5,830 486,396 0.27

Verizon Communications, Inc. USD 13,311 728,103 0.41

Verso Corp. 'A' USD 18,282 293,652 0.16

Walmart, Inc. USD 5,055 535,177 0.30

Warrior Met Coal, Inc. USD 16,224 305,401 0.17

Western Digital Corp. USD 17,189 971,925 0.54

Western Union Co. (The) USD 27,801 663,261 0.37

WestRock Co. USD 21,716 830,141 0.46

Xerox Holdings Corp. USD 30,405 998,693 0.56

Xperi Corp. USD 32,562 536,657 0.30

75,074,185 41.81




Cash 2,634,032 1.47

Other assets/(liabilities) 492,327 0.27




Number of

Contracts Currency

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

S&P 500 Emini Index, 20/03/2020 11 USD 14,336 0.01

Total Unrealised Gain on Financial Futures Contracts - Assets 14,336 0.01

EURO STOXX 50 Index, 20/03/2020 36 EUR (2,570) –

Total Unrealised Loss on Financial Futures Contracts - Liabilities (2,570) –

Net Unrealised Gain on Financial Futures Contracts - Assets 11,766 0.01







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets


Equities

Australia

Fortescue Metals Group Ltd. AUD 99,314 253,018 0.39

Genworth Mortgage Insurance Australia Ltd. AUD 124,448 166,183 0.26

South32 Ltd. AUD 225,722 470,883 0.74

890,084 1.39

Belgium

Ageas EUR 152 5,904 0.01

5,904 0.01

Bermuda

Assured Guaranty Ltd. USD 13,691 455,469 0.71

Kerry Properties Ltd. HKD 98,500 295,388 0.46

750,857 1.17

Canada


Lundin Mining Corp. CAD 43,196 152,936 0.24

Magna International, Inc. CAD 7,754 309,097 0.48

Norbord, Inc. CAD 13,070 300,868 0.47

Peyto Exploration & Development Corp. CAD 53,048 239,195 0.37

Teck Resources Ltd. 'B' CAD 20,707 382,240 0.60

1,842,378 2.88

Cayman Islands

Agile Group Holdings Ltd. HKD 160,000 159,225 0.25

CK Asset Holdings Ltd. HKD 63,000 399,318 0.62

558,543 0.87

China

Agricultural Bank of China Ltd. 'H' HKD 985,000 374,049 0.58

Bank of China Ltd. 'H' HKD 952,000 355,137 0.56

Bank of Communications Co. Ltd. 'H' HKD 531,000 357,622 0.56

China CITIC Bank Corp. Ltd. 'H' HKD 584,000 307,218 0.48

China Construction Bank Corp. 'H' HKD 668,000 474,511 0.74

China Minsheng Banking Corp. Ltd. 'H' HKD 466,800 278,410 0.44

China Petroleum & Chemical Corp. 'H' HKD 384,000 232,028 0.36

China Shenhua Energy Co. Ltd. 'H' HKD 238,500 458,706 0.72

China Telecom Corp. Ltd. 'H' HKD 768,000 341,395 0.53

Industrial & Commercial Bank of China Ltd. 'H' HKD 726,000 442,733 0.69

PetroChina Co. Ltd. 'H' HKD 546,000 293,326 0.46

Sinopec Shanghai Petrochemical Co. Ltd. 'H' HKD 832,000 317,806 0.50

4,232,941 6.62







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Czech Republic

CEZ A/S CZK 20,051 416,732 0.65

416,732 0.65

Denmark

Danske Bank A/S DKK 12,050 208,003 0.33

208,003 0.33

Finland


445,547 0.70

France

AXA SA EUR 16,740 314,377 0.49

Engie SA EUR 39,674 486,998 0.76

Orange SA EUR 24,034 338,399 0.53

Peugeot SA EUR 21,808 398,214 0.62

Societe Generale SA EUR 10,698 297,351 0.47

1,835,339 2.87

Germany

Covestro AG, Reg. S EUR 5,820 251,308 0.39

Deutsche Lufthansa AG EUR 20,353 400,954 0.63

652,262 1.02

Hong Kong

China Everbright Ltd. HKD 180,000 275,427 0.43

China Mobile Ltd. HKD 22,500 185,712 0.29

CITIC Ltd. HKD 173,000 234,186 0.37

CNOOC Ltd. HKD 362,000 484,371 0.76

PCCW Ltd. HKD 386,000 194,005 0.30

1,373,701 2.15

Hungary

MOL Hungarian Oil & Gas plc HUF 46,516 445,262 0.70

445,262 0.70

Ireland

Allergan plc USD 2,921 339,244 0.53

Mallinckrodt plc USD 21,008 293,041 0.46

Seagate Technology plc USD 11,046 370,470 0.58

1,002,755 1.57

Israel

Bezeq The Israeli Telecommunication Corp. Ltd. ILS 328,439 283,084 0.44







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Israel (continued)

283,084 0.44

Italy

Eni SpA EUR 26,734 367,539 0.57

367,539 0.57

Japan

AGC, Inc. JPY 12,600 342,294 0.54

Canon, Inc. JPY 13,800 328,005 0.51

Dai Nippon Printing Co. Ltd. JPY 19,000 345,660 0.54

ITOCHU Corp. JPY 31,600 467,269 0.73

Kuraray Co. Ltd. JPY 26,900 330,232 0.52


Mazda Motor Corp. JPY 11,500 103,378 0.16

Mitsubishi Chemical Holdings Corp. JPY 59,000 389,066 0.61

Mitsubishi UFJ Financial Group, Inc. JPY 77,000 328,040 0.51

Mitsui & Co. Ltd. JPY 35,700 477,990 0.75

Mixi, Inc. JPY 6,700 122,156 0.19

Mizuho Financial Group, Inc. JPY 217,400 293,231 0.46

Nikon Corp. JPY 16,700 216,257 0.34

Nippon Telegraph & Telephone Corp. JPY 800 28,399 0.04

NTT DOCOMO, Inc. JPY 18,600 364,237 0.57

Osaka Gas Co. Ltd. JPY 23,200 369,150 0.58

Resona Holdings, Inc. JPY 76,000 318,242 0.50


Sumitomo Mitsui Financial Group, Inc. JPY 12,100 349,316 0.55

Sumitomo Rubber Industries Ltd. JPY 26,900 276,969 0.43

Tokyo Gas Co. Ltd. JPY 18,800 414,759 0.65

Tosoh Corp. JPY 35,600 403,764 0.63

7,083,592 11.08

Netherlands

Aegon NV EUR 94,993 384,817 0.60

Koninklijke KPN NV EUR 101,055 255,063 0.40

LyondellBasell Industries NV 'A' USD 4,494 323,771 0.51

NN Group NV EUR 13,271 456,522 0.71

1,420,173 2.22

Norway

TGS NOPEC Geophysical Co. ASA NOK 13,957 291,811 0.46

291,811 0.46

Poland

Polski Koncern Naftowy ORLEN SA PLN 17,481 439,107 0.69

439,107 0.69







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Puerto Rico

Triple-S Management Corp. 'B' USD 16,474 250,254 0.39

250,254 0.39

Russia

LUKOIL PJSC, ADR USD 10,341 648,070 1.01

Mobile TeleSystems PJSC RUB 92,702 276,107 0.43

Surgutneftegas PJSC Preference RUB 550,864 269,516 0.42


1,784,529 2.79

Singapore

Hutchison Port Holdings Trust USD 1,127,600 241,604 0.38

Yangzijiang Shipbuilding Holdings Ltd. SGD 623,000 490,615 0.76

732,219 1.14

South Africa

Kumba Iron Ore Ltd. ZAR 20,299 345,861 0.54

345,861 0.54

South Korea


POSCO, ADR USD 4,996 238,997 0.37

Shinhan Financial Group Co. Ltd. KRW 10,708 332,353 0.52

SK Innovation Co. Ltd. KRW 3,355 472,012 0.74

SK Telecom Co. Ltd., ADR USD 17,785 417,620 0.65

Woori Bank KRW 31,144 380,799 0.60

2,255,760 3.53

Spain

Endesa SA EUR 17,163 341,972 0.53

International Consolidated Airlines Group SA EUR 57,595 394,641 0.62

Repsol SA EUR 26,982 382,200 0.60

Repsol SA Rights 09/01/2019 EUR 26,982 10,820 0.02

1,129,633 1.77

Switzerland

Transocean Ltd. USD 18,349 110,484 0.17

Transocean Ltd. CHF 26,212 164,414 0.26

274,898 0.43

Taiwan

Asustek Computer, Inc. TWD 27,000 154,796 0.24

AU Optronics Corp. TWD 1,071,000 374,814 0.59

Inventec Corp. TWD 461,000 289,222 0.45







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets



Taiwan (continued)

Lite-On Technology Corp. TWD 341,154 394,092 0.62

United Microelectronics Corp. TWD 1,008,000 322,652 0.50

1,535,576 2.40

Thailand

PTT Exploration & Production PCL, NVDR THB 163,300 497,830 0.78

PTT PCL, NVDR THB 396,000 489,273 0.76

987,103 1.54

United Kingdom

Anglo American plc GBP 26,846 522,414 0.82


Berkeley Group Holdings plc GBP 9,081 344,320 0.54

Centrica plc GBP 234,834 350,119 0.55

Marks & Spencer Group plc GBP 125,018 342,690 0.53

Nielsen Holdings plc USD 21,745 437,201 0.68

Rio Tinto plc GBP 14,533 606,580 0.95

Royal Mail plc GBP 80,077 248,105 0.39

Vodafone Group plc GBP 223,881 383,908 0.60

Wm Morrison Supermarkets plc GBP 70,000 166,719 0.26

3,764,990 5.89


Abercrombie & Fitch Co. 'A' USD 28,534 483,864 0.76

ACCO Brands Corp. USD 39,537 232,703 0.36

Acorda Therapeutics, Inc. USD 27,035 354,178 0.55

Ally Financial, Inc. USD 23,681 465,978 0.73

AMAG Pharmaceuticals, Inc. USD 19,228 258,122 0.40

Arch Coal, Inc. 'A' USD 2,666 193,098 0.30

AT&T, Inc. USD 24,188 602,029 0.94

Barnes & Noble, Inc. USD 41,300 234,772 0.37

Bed Bath & Beyond, Inc. USD 27,924 279,374 0.44

Benchmark Electronics, Inc. USD 13,884 255,472 0.40



Cardinal Health, Inc. USD 10,246 399,464 0.62

CBL & Associates Properties, Inc., REIT USD 81,431 145,991 0.23

Chico's FAS, Inc. USD 60,355 302,976 0.47

Cigna Corp. USD 2,239 373,313 0.58

Clearway Energy, Inc. USD 28,850 434,220 0.68

Colony Capital, Inc., REIT USD 60,917 251,989 0.39

Corning, Inc. USD 21,495 559,252 0.87

Dell Technologies, Inc. Class V 'V' USD 7,041 492,614 0.77

Delta Air Lines, Inc. USD 8,401 368,676 0.58

Dick's Sporting Goods, Inc. USD 13,333 363,336 0.57







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Domtar Corp. USD 8,791 268,547 0.42

Ford Motor Co. USD 52,675 359,781 0.56

Freeport-McMoRan, Inc. USD 34,650 317,273 0.50

GameStop Corp. 'A' USD 30,043 322,645 0.50

Gannett Co., Inc. USD 43,764 332,598 0.52

Gap, Inc. (The) USD 13,566 303,958 0.48

Gilead Sciences, Inc. USD 8,817 477,149 0.75

H&R Block, Inc. USD 13,852 305,642 0.48


Intel Corp. USD 18,497 756,251 1.18

International Business Machines Corp. USD 4,909 485,254 0.76

Juniper Networks, Inc. USD 21,378 500,119 0.78

Kohl's Corp. USD 9,066 515,837 0.81

Lear Corp. USD 3,184 339,047 0.53

Legg Mason, Inc. USD 17,102 379,596 0.59

Lincoln National Corp. USD 7,743 345,352 0.54

LSC Communications, Inc. USD 12,210 73,466 0.12

Macy's, Inc. USD 13,292 348,967 0.55

Micron Technology, Inc. USD 14,205 392,192 0.61

Murphy Oil Corp. USD 5,811 117,546 0.18

Navient Corp. USD 39,060 302,314 0.47

NetApp, Inc. USD 9,772 504,987 0.79

News Corp. 'A' USD 26,250 258,264 0.40

Peabody Energy Corp. USD 8,414 224,285 0.35

Pfizer, Inc. USD 9,943 373,564 0.58

Pier 1 Imports, Inc. USD 62,549 16,963 0.03


Prudential Financial, Inc. USD 4,782 337,828 0.53

Quad/Graphics, Inc. USD 20,852 221,203 0.35


Reliance Steel & Aluminum Co. USD 6,229 387,757 0.61

Renewable Energy Group, Inc. USD 17,863 395,706 0.62

Resolute Forest Products, Inc. USD 21,521 146,993 0.23

Sanmina Corp. USD 14,674 305,428 0.48

Synchrony Financial USD 9,164 188,337 0.29

Target Corp. USD 9,399 533,962 0.84

Telephone & Data Systems, Inc. USD 19,932 563,210 0.88

TiVo Corp. USD 45,846 377,289 0.59

Travelers Cos., Inc. (The) USD 2,957 305,773 0.48

United Therapeutics Corp. USD 3,858 354,405 0.55

Unum Group USD 14,089 357,323 0.56

Valero Energy Corp. USD 5,830 374,645 0.59

Verizon Communications, Inc. USD 13,311 643,403 1.01

Verso Corp. 'A' USD 18,282 353,825 0.55

Viacom, Inc. 'B' USD 12,265 277,704 0.43

Walmart, Inc. USD 5,055 407,291 0.64







Quantity/

Nominal Value

Market

Value

EUR

% of Net

Assets




Western Digital Corp. USD 10,773 346,145 0.54

Western Union Co. (The) USD 27,801 414,298 0.65

Xerox Corp. USD 21,330 366,553 0.57

25,214,831 39.43

Virgin Islands, British

Michael Kors Holdings Ltd. USD 8,738 284,122 0.44

284,122 0.44




Fair Value Adjustment (161,965) (0.25)

Cash 822,313 1.29

Other Assets/(Liabilities) 180,691 0.28




Number of

Contracts Currency

Global

Exposure

EUR

Unrealised

Gain/(Loss)

EUR

% of Net

Assets

EURO STOXX 50 Index, 15/03/2019 13 EUR 386,620 (4,920) (0.01)

S&P 500 Emini Index, 15/03/2019 5 USD 543,531 (13,529) (0.02)

Total Unrealised Loss on Financial Futures Contracts (18,449) (0.03)

Net Unrealised Loss on Financial Futures Contracts (18,449) (0.03)


Schedule of InvestmentsAs at 31 December 2019


Quantity/

Nominal

Value

Market

Value

EUR' 000

% of Net

Assets



Luxembourg

Robeco QI Global Conservative Equities Fund - Z EUR† EUR 222,389 54,082 33.70

Robeco QI Global Momentum Equities Fund - Z EUR† EUR 298,408 54,429 33.91

Robeco QI Global Value Equities Fund - Z EUR† EUR 320,341 52,245 32.55

160,756 100.16

Total Collective Investment Schemes - UCITS 160,756 100.16

Total Units of authorised UCITS or other collective investment undertakings 160,756 100.16

Total Investments 160,756 100.16

Cash 2 –

Other Assets/(Liabilities) (258) (0.16)

Total Net Assets 160,500 100.00

† Related Party Fund.

Rotterdam, 30 April 2020

The Manager

Robeco Institutional Asset Management B.V.

Policymakers RIAM:

Gilbert O.J.M. Van Hassel

Karin van Baardwijk

Monique D. Donga

Peter J.J. Ferket

Mark C.W. den Hollander

Martin O. Nijkamp

Hans-Christoph von Reiche

Victor Verberk

Lia Belilos-Wessels


Other information

Provisions regarding appropriation of the result

In accordance with article 15 of the terms and conditions of management and custody, the fund does not distribute dividend.

Directors’ interests

The total personal interests in the investments of the fund held by the policymakers of the management (also the manager) of the fund on

1 January 2019 and 31 December 2019 are shown in the table below.

As at 1 January 2019 Description Quantity

Robeco Capital Growth Funds:

Robeco QI Global Conservative Equities Shares 1,096

As at 31 December 2019 Description Quantity

Robeco Capital Growth Funds:

Robeco QI Global Conservative Equities Shares 1,234

Robeco QI Global Value Equities Shares 484


Independent auditor's report

To: the General Meeting and manager of Robeco QI Global Factor Solution Fund

Report on the accompanying financial statements

Our opinion

We have audited the financial statements 2019 of Robeco QI Global Factor Solution Fund(hereafter: 'the fund'), based in Rotterdam.

In our opinion the accompanying financial statements give a true and fair view of the financial position of Robeco QI Global Factor Solution Fund as at 31 December 2019, and of its result for 2019 in accordance with Part 9 of Book 2 of the Dutch Civil Code.

The financial statements comprise:

1 the balance sheet as at 31 December 2019;

2 the profit and loss account for 2019; and

3 the notes comprising a summary of the accounting policies and other explanatory information.

Basis for our opinion

We conducted our audit in accordance with Dutch law, including the Dutch Standards on Auditing. Our responsibilities under those standards are further described in the 'Our responsibilities for the audit of the financial statements' section of our report.

We are independent of Robeco QI Global Factor Solution Fund in accordance with the Wet toezicht accountantsorganisaties (Wta, Audit firms supervision act), the 'Verordening inzake de onafhankelijkheid van accountants bij assurance-opdrachten' (ViO, Code of Ethics for Professional Accountants, a regulation with respect to independence) and other relevant independence regulations in the Netherlands. Furthermore, we have complied with the 'Verordening gedrags- en beroepsregels accountants' (VGBA, Dutch Code of Ethics).

We believe the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Report on the other information included in the annual report

In addition to the financial statements and our auditor's report thereon, the annual reportcontains other information that consists of:

— Report by the manager;

— Schedule of Investments;

— other information pursuant to Part 9 of Book 2 of the Dutch Civil Code;

Based on the following procedures performed, we conclude that the other information:

— is consistent with the financial statements and does not contain material misstatements;

— contains the information as required by Part 9 of Book 2 of the Dutch Civil Code.


We have read the other information. Based on our knowledge and understanding obtained through our audit of the financial statements or otherwise, we have considered whether the other information contains material misstatements.

By performing these procedures, we comply with the requirements of Part 9 of Book 2 of the Dutch Civil Code and the Dutch Standard 720. The scope of the procedures performed is less than the scope of those performed in our audit of the financial statements.

Description of the responsibilities for the financial statements

Responsibilities of management for the financial statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with Part 9 of Book 2 of the Dutch Civil Code. Furthermore, management is responsible for such internal control as management determines is necessary to enable the preparation of the financial statements that are free from material misstatement, whether due to errors or fraud.

As part of the preparation of the financial statements, management is responsible for assessing the company's ability to continue as a going concern. Based on the financial reporting framework mentioned, management should prepare the financial statements using the going concern basis of accounting unless management either intends to liquidate the fund or to cease operations, or has no realistic alternative but to do so. Management should disclose events and circumstances that may cast significant doubt on the company's ability to continue as a going concern in the financial statements.

Our responsibilities for the audit of the financial statements

Our objective is to plan and perform the audit engagement in a manner that allows us to obtain sufficient and appropriate audit evidence for our opinion.

Our audit has been performed with a high, but not absolute, level of assurance, which means we may not have detected all material errors and fraud during our audit.

Misstatements can arise from fraud or errors and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements. The materiality affects the nature, timing and extent of our audit procedures and the evaluation of the effect of identified misstatements on our opinion.

We have exercised professional judgement and have maintained professional scepticism throughout the audit, in accordance with Dutch Standards on Auditing, ethical requirements and independence requirements. Our audit included e.g.:

— identifying and assessing the risks of material misstatement of the financial statements,whether due to errors or fraud, designing and performing audit procedures responsive to those risks, and obtaining audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from errors, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;


— obtaining an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the fund's internal control;

— evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management;

— concluding on the appropriateness of management's use of the going concern basis of accounting and based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the fund's ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor's report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor's report. However, future events or conditions may cause the company ceasing to continue as a going concern;

— evaluating the overall presentation, structure and content of the financial statements,including the disclosures; and

— evaluating whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant findings in internal control that we identify during our audit.

30 April 2020

KPMG Accountants N.V.

G.J. Hoeve RA

robecoqiglobalfactor solution fund · 2020-04-30 · cash flow statement 16 notes 17 general 17...

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