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Emerging markets quantitative equities

Robeco has been investing in emerging markets since 1929. In 1999, we combined this long experience with our quantitative investing expertise to create a quantitative stock selection model for emerging markets. Based on a balanced combination of valuation and sentiment factors, it has been part of Robeco’s global diversified emerging markets strategy since then.

Robeco quant EM equities outperforms generic factor indices

19-01-2015 | Research | David Blitz, PhD, Wilma de Groot, CFA

We have compared the realized performance of our quantitative emerging markets equities (QEME) strategies with the hypothetical performance of recently launched generic factor indices.

Core and Active Quant Emerging Markets: the importance of research

29-10-2014 | Research | Wilma de Groot, CFA

Robeco portfolio manager Wilma de Groot explains the importance of research and discusses two major new projects in her department. “ESG inclusion can be seen as a form of risk reduction”, she says.

15 Years of Quantitative Emerging Markets Research

13-06-2014 | Research | Wilma de Groot, CFA

In 1999, fifteen years ago, Robeco found that quantitative stock selection techniques known to be effective in developed markets are also able to deliver superior investment results in emerging markets. What are the biggest takeaways from the research done and how does the model work in practice?

Surprising results of lower volatility equities in emerging markets

01-05-2013 | Research | David Blitz, PhD, Pim van Vliet, PhD

Emerging markets have become increasingly important to equity investors due to their fast growing economies. But what is the relationship between risk and return in these markets? Answer: it is flat or even negative. Empirical results show that the volatility effect - long-term equity returns at distinctly lower downside risk - is significant, robust and distinct.

Taking biases out of earnings revisions

08-10-2011 | Research | Joop Huij, PhD

New research from Robeco identifies and corrects for biases in analyst earnings revisions, says Senior Quantitative Equities Researcher, Joop Huij.

Evaluating the performance of global emerging markets equity exchange-traded funds

08-02-2011 | Research | David Blitz, PhD, Joop Huij, PhD

Emerging markets ETFs typically underperform benchmarks by 1% a year and about half of the funds exhibit high tracking errors. With these characteristics, should they be classified as passive strategies?

Value and Momentum in Frontier Emerging Markets

14-09-2010 | Research | Laurens Swinkels, Wilma de Groot, CFA

Not only do the value and momentum effects exist in frontier markets, these effects are uncorrelated with each other and with similar strategies in developed and emerging markets.

Foundation Paper: The success of stock selection strategies in emerging markets: is it risk or behavioral bias?

01-05-2005 | Research | Dick van Dijk, Geren de Zwart, Jaap van der Hart

An analysis of the success of value, momentum and earnings revisions strategies in emerging markets finds that behavioral biases are at work—just as in developed markets. This paper was later published in Emerging Markets Review.

Foundation Paper: Stock Selection Strategies in Emerging Markets

01-12-2000 | Research | Dick van Dijk, Erica Slagter, Jaap van der Hart

A number of different quantitative investment strategies are applied to emerging markets. Value, momentum and earnings revisions strategies are found to be the most successful. This paper was later published in the Journal of Empirical Finance.

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Experts in this field

Wilma de Groot, CFA
Senior Portfolio Manager


Quant emerging strategies