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Over 25 years of applied quantitative innovation

Quant research - older

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.

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.

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.

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.

Managing high yield public small caps with Robeco’s corporate bond selection model COALA

01-12-2010 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD, Sander Bus

Generating benchmark-like returns is a difficult job in the High Yield corporate bond market. High index turnover and illiquidity, i.e. high bid-ask spreads, are the main reasons why passively tracking a High Yield index comes at significant costs.

Forecasting bond returns using jumps in intraday prices

28-11-2010 | Research | Johan Duyvesteyn, PhD, CFA, Martin Martens, PhD, Siawash Safavi Nic

We build on the work of Wright and Zhou (2009) who show that the average jump mean in bond prices can predict excess bond returns, capturing the countercyclical behaviour of risk premia.

Improving coverage ratios with less risk

29-10-2010 | Research | Pim van Vliet, PhD

Pension funds can protect funding ratios by making low-risk stocks a part of their equity allocation, says Pim van Vliet, Senior Portfolio Manager, Robeco Low Volatility Equities.

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.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio.

The volatility effect: lower risk without lower return

17-04-2010 | Research | David Blitz, PhD, Pim van Vliet, PhD

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio. Well-known examples are the value, size and momentum strategies, for which return premiums have been documented in US and international stock markets. Market efficiency is also challenged, however, if some simple investment strategy generates a return similar to that of the market, but at a systematically lower level of risk.

Predictability of bond markets

01-11-2007 | Research | Johan Duyvesteyn, PhD, CFA, Martin Martens, PhD

Some of the most influential scientific papers on the predictability of bond markets connect theory with the tested predictive power of the variables of Robeco’s duration model. A small sample of academic evidence on the predictability of fixed income markets is discussed in this paper and its link to the model is illustrated.

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.

Downside risk and empirical asset pricing

16-12-2004 | Research | Pim van Vliet, PhD

The last decades have witnessed some major developments in the field of asset pricing. These have contributed to a better understanding of stock, bond and other asset prices and have influenced other disciplines such as corporate finance and macro economics.

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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