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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.

Smart sustainability integration in Quant Equity

12-09-2016 | Insight | Bart Van der Grient, Machiel Zwanenburg

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.

Not paying above the odds

25-07-2016 | Interview | Weili Zhou, CFA

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.

Is value trapped?

04-12-2015 | Research | David Blitz, PhD

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.

Passive indexing? Enhanced indexing!

16-03-2015 | Insight | Petra Sagel

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.

Sustainability integration in Quantitative Equity strategies

10-03-2015 | Insight | Bart Van der Grient, Michael Strating, Pim van Vliet, PhD, Wilma de Groot, CFA

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.

The importance of good data in selecting stocks

04-02-2015 | Insight | Bart Van der Grient

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.

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.

Short-term residual reversal

17-08-2011 | Research | David Blitz, PhD, Joop Huij, PhD, Marno Verbeek, Simon D. Lansdorp

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.

Is the value premium really compensation for distress risk?

13-05-2011 | Research | Joop Huij, PhD, Wilma de Groot, CFA

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.

Robeco Emerging Conservative Equities

10-03-2011 | Insight | Pim van Vliet, PhD

Portfolio manager Pim van Vliet explains that the Conservative Equity strategy can also be applied to emerging markets.

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