Sunspots are concentrations of magnetic field on the visible solar surface that strongly affect the convective energy transport in their interior and surroundings. The filamentary outer regions (penumbrae) of sunspots show systematic radial outward flows along channels of nearly horizontal magnetic field. These flows were discovered 100 years ago and are present in all fully developed sunspots. By using a comprehensive numerical simulation of a sunspot pair, we show that penumbral structures with such outflows form when the average magnetic field inclination to the vertical exceeds about 45 degrees. The systematic outflows are a component of the convective flows that provide the upward energy transport and result from anisotropy introduced by the presence of the inclined magnetic field.