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Over 25 years of applied quantitative innovation

Quant research 2011

Ibbotson's default premium: risky data

09-12-2011 | Research | Patrick Houweling, PhD, Winfried Hallerbach, PhD

Ibbotson’s “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data series going back to as early as 1926. In this data set, the “default premium” is calculated as the difference between the total returns on long-term corporate bonds and long-term government bonds.

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.

How to benchmark low-volatility strategies

14-07-2011 | Research | David Blitz, PhD, Pim van Vliet, PhD

What is the best way to measure the performance of a strategy focused on risk-adjusted return? David Blitz and Pim van Vliet answer this question in their article, Benchmarking Low-Volatility Strategies, published in the Journal of Index Investing.

Strategic allocation to premiums in the equity market

01-07-2011 | Research | David Blitz, PhD

An optimal portfolio allocation will have large exposures to value, momentum and low-volatility strategies, according to a study of US equity returns over 40 years.

Another look at trading costs and short-term reversal profits

01-07-2011 | Research | Joop Huij, PhD, Weili Zhou, CFA, Wilma de Groot, CFA

Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once transaction costs are taken into account.

Duration Model in periods of rising inflation

01-07-2011 | Research | Johan Duyvesteyn, PhD, CFA, Martin Martens, PhD, Olaf Penninga

We analyzed the sensitivity of the duration model's performance to inflation and different financial market regimes. Our conclusions are threefold: (1) the model delivers a strong performance when inflation is high; (2) the model offers protection against rising inflation for bond investors and (3) the model is successful in both bull and bear markets.

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.

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. While the study looked at US stock returns, the research applies to emerging markets as well.

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?

Low risk stocks highly suitable for long-term investors

15-01-2011 | Research | Pim van Vliet, PhD

A decentralized professional investment process can lead to inefficient portfolios. Low-risk equities are undervalued because active managers have a dual incentive to buy high-risk stocks.

ESG integration into Robeco’s quantitative stock selection model

03-01-2011 | Research | Daniël Haesen, CFA, Michael Strating

Robeco advocates Responsible Investing. We believe that this improves the long-term risk-return profile for our clients. One of the pillars of Robeco’s Responsible Investing policy involves the integration of environmental, social and governance (ESG) factors into the investment process.

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