@article {Guerard138, author = {John B. Guerard, Jr. and Sundaram Chettiappan}, title = {Active Quant: Applied Investment Research in Emerging Markets}, volume = {26}, number = {4}, pages = {138--152}, year = {2017}, doi = {10.3905/joi.2017.26.4.138}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Active quantitative models for stock selection use analysts{\textquoteright} expectations, momentum, and fundamental data. The authors find support for simple and regression-based composite modeling using these sources of data for global and emerging market stocks during the period 2003{\textendash}2016. They also find evidence for the use of Axioma multifactor models for portfolio construction and risk control. The authors create portfolios for the period January 2003{\textendash}December 2016. They report four conclusions: 1) analysts{\textquoteright} forecast information was rewarded by the global market between January 2003 and December 2016; 2) analysts{\textquoteright} forecasts can be combined with reported fundamental data, such as earnings, book value, cash flow, and sales, and also with price momentum, in a stock selection model for identifying mispriced securities; 3) emerging markets efficient frontiers dominate non-U.S. and global efficient frontiers; and 4) the portfolio returns of the multifactor risk-controlled emerging market portfolios are consistent with real-time emerging market excess returns.TOPICS: Security analysis and valuation, statistical methods, global}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/26/4/138}, eprint = {https://joi.pm-research.com/content/26/4/138.full.pdf}, journal = {The Journal of Investing} }