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All Robeco Quantitative Equity strategies integrate ESG factors. To measure sustainability, we use the scores based on RobecoSAM’s Corporate Sustainability Assessment. Recently, RobecoSAM has introduced the Smart ESG score. This is more suitable for investment purposes, as it removes undesired biases and gives more weight to elements with more predictive power for future returns.
Managing transaction costs is one of the major considerations in Robeco’s Quantitative Equity strategies, and over the years we have put considerable effort into finding ways to keep them as low as possible. In this article, Weili Zhou, a senior researcher in our Quantitative Equities team, describes the approaches we adopt to achieve this aim.
The poor long-term live performance of the first generation of value indices indicates that capturing the value premium is not easy. This does not mean, however, that the value premium is beyond the reach of investors. We argue that a value premium still exists, but that harvesting it requires an approach that is much more sophisticated than simply following a straightforward value index.
Investing in a purely passive manner is increasingly popular. Although we do not deny that passive investing has its merits, we argue that enhanced indexing may be an even better alternative. It is supported by theory and evidence, allows for better ESG integration, and contributes to a liquid and efficient market.
Robeco is committed to sustainable investing. All Robeco Quantitative Equity strategies already integrated ESG factors (Environment, Social and Governance), and since December 2014, we have taken this one step further.
Bart van der Grient explains how Robeco ensures good data quality, which is vital for selecting stocks and conducting empirical research. “Our approach makes the stock selection and portfolio construction process more transparent,” he says.
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?
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.
New research from Robeco identifies and corrects for biases in analyst earnings revisions, says Senior Quantitative Equities Researcher, Joop Huij.
A short-term reversal strategy based on residual momentum reduces exposure to systematic factors and results in lower risk and better returns than a conventional momentum strategy.
This comprehensive investigation of the relation between the value anomaly and distress risk finds that value stocks are not cheaper than growth stocks due to the risk of financial distress.
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?
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.
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.
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.