Quantitative Investment Management | PanAgora Asset Management

Evolutionary Quantitative Investing

Diversification is Dead – Long Live Diversification

In this article, Dr. Eric Sorensen discusses why fiduciaries should use better benchmarks for skilled active managers, and should those benchmarks be cap-weighted, why they should allow dynamic tracking.

PanAgora Asset Management is a quantitative investment manager of distinct and innovative Equity, Multi Asset and Risk Premia strategies that are designed to address the evolving objectives of institutional investors worldwide.

PanAgora builds strategies on a foundation of continuous, innovative research that integrates in‐depth fundamental insights with the breadth and discipline of sophisticated quantitative techniques.

PanAgora’s process is fluid and holistic, with the flexibility required in a complex marketplace to assimilate advances in technology and address a rapidly changing investment environment.

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Investment Strategies

PanAgora Asset Management is a premier provider of quantitative investment solutions. PanAgora’s investment strategies are highly systematic in nature, and are built and overseen by talented and experienced investment professionals who deploy sophisticated quantitative techniques while incorporating fundamental insights. Innovative research plays a central role in our investment philosophy and process and is an essential component of our firm’s ability to deliver what we believe are attractive investment solutions.

Active Equity

Quantitatively based investment strategies which seek to systematically identify and exploit inefficiencies in Equity markets.

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Multi Asset

Strategies designed to generate stable returns through thoughtful portfolio construction and diversified global exposure.

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Defensive Equity

An investment approach that seeks to efficiently capture the Risk Premia associated with long-term factor exposures.

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Recent Research

Diversification is Dead – Long Live Diversification

Aug 1, 2024

The Use and Misuse of Tracking Error

Aug 1, 2023

Equity portfolio tracking error to a benchmark is a most ubiquitous restriction for active portfolios as prescribed by fiduciaries. The restriction is typically a tight range with minimum and maximum ex-ante extremes. The typical cap-weighted benchmark (i.e., S&P 500) has significant changes in diversification character over time. This brings into question the sensibility of holding […]

“ESG, Fundamentals, and Stock Returns”

May 1, 2022

For decades, the delivery of wealth maximization has been paramount to investors. More recently, ESG’s adherence to social preferences has caught investors’ interests. But are investors who allocate capital to stocks with higher ESG ratings and shun those with lower ratings faring better? Prior research has shown that a focus on fundamentals, particularly earnings surprises, […]

“Active vs Passive: Old Wine in New Wine Skins”

Feb 1, 2022

Active portfolio management is one of few professions for which worth is defined by a single phrase: risk-adjusted excess return. “Active” in professional equity investing does not mean merely ex-ante hard work against heady competition. Active also means that ex- post victory is expected and demands measurement. In this paper, we perform an empirical examination […]

Small-Cap Allocations: Timing the Entry

Aug 27, 2020

This article examines the behavior of the small-capitalization stock return cycle. The authors compare the period 1980-2020 with a study for the period 1960-1995. They find that in the earlier period small-cap stocks earned a return premium when the economy was rising, long-term rates were rising, the US dollar was rising, and market volatility was […]

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News

September 25, 2024

Investment Strategies

Active Equity

Multi Asset

Defensive Equity

Recent Research

Diversification is Dead – Long Live Diversification

The Use and Misuse of Tracking Error

“ESG, Fundamentals, and Stock Returns”

“Active vs Passive: Old Wine in New Wine Skins”

Small-Cap Allocations: Timing the Entry

News

PanAgora announces changes to executive leadership team, positioning company for continued growth

PanAgora Announces the 22nd Annual Dr. Richard A. Crowell Memorial Prize Winners

PanAgora’s Women-In-Network Attend Girls Who Code 2023 CodeFair in NYC

PanAgora’s Jon Birtwell Talks Market Trends and Insights with Trader TV

PanAgora Announces the 21st Annual Dr. Richard A. Crowell Memorial Prize Winners

In honor of National Women’s Month, PanAgora recognizes Dr. Jaime Lee, Head of Dynamic Equity

PanAgora Awarded 2022 P&I Best Places to Work in Money Management Award for 5th Year Running

Nick Alonso and George Mussalli were featured in an Institutional Investor article : “PanAgora: It’s Time for Investors to Add Defensive and Energy Stocks”

George Mussalli participates in “Capital Advisory Group Part V: Harnessing machine learning for better ESG outcomes”

20th annual Dr. Richard A. Crowell Memorial Prize

PanAgora Asset Management receives the Best Asset Managers by Korean Investors 2021 Award!

PanAgora team led by CEO Eric Sorensen featured in Bloomberg

Jaime Lee featured on FundFire

PanAgora and Robert van Behren interviewed on Callaway Climate

George Mussalli interviewed on Responsible Investor

George Mussalli featured in Finadium SFM

Jaime Lee featured in the Financial Times

George Mussalli featured on The Alternative Data Podcast

George Mussalli featured in Risk.net

George Mussalli discusses ESG investing on the WatersTechnology Wavelength podcast

19th annual Dr. Richard A. Crowell Memorial Prize

ValueWalk’s ValueTalks ft. George Mussalli

PanAgora Awarded 2020 Pensions & Investments’ Best Places to Work in Money Management

George Mussalli was quoted in Gregor Stuart Hunter and Jackie Edward’s article, “Goldman Says Tech to Lose Out to Beaten-Down Banks and Autos,” published by Bloomberg.

PanAgora Awarded 2020 Pension Bridge Emerging Markets Equity Strategy of the Year

The Bloomberg article, “Bridgewater’s Risk-Parity Shift Jolts a $400 Billion Quant Trade,” by Justina Lee, features insights from PanAgora’s Eddie Qian.

George Mussalli was quoted in Claire Ballentine, Katherine Greifeld, Gregor Stuart Hunter and Eric Lam’s article, “What Happens to the Markets If There’s a Vaccine,” published by Bloomberg.

PanAgora’s Lei Liu was featured in Bradley Saacks and Dan DeFrancesco’s article, “How to pitch Point72, Bridgewater, and other big names on buying new data sets, according to 7 people in charge of their strategies,” published by Business Insider.

CEO, Eric Sorensen was quoted in David Ardagh’s article “The Best Machine Learning Algorithms To Learn for Landing a Top Hedge Fund Job in the 2020s,” published by Medium: Towards Data Science.

CEO, Eric Sorensen was quoted in David Ardagh’s article, “The Best Machine Learning Algorithms To Learn for Landing a Top Hedge Fund Job in the 2020s,” published by Medium: Towards Data Science.

PanAgora’s George Mussalli was quoted in Gregor Stuart Hunter’s feature piece “Quant Pioneer Says Markets Face Upheaval on Path Toward Vaccine,” published by Bloomberg.

PanAgora’s George Mussali was quoted in David Whitehouse’s piece, Quantamental Investing Strategy Shines in Coronavirus World, published by The Trade in its annual outlook piece.

George Mussalli was quoted in the Brazilian piece “Investidores quant alertam para uso de mesmos dados alternativos,” published by UOL.

George Mussalli was quoted in Justina Lee’s article, “Quants Sound Warning as Everyone Chases Same Alternative Data,” published by Bloomberg.

George Mussalli was quoted in Dan DeFrancesco and Bradley Saacks’ article, “Building Terminators: Massive hedge funds like Man Group, Bridgewater, and Schonfeld lay out their vision of the right ‘quantamental’ mix of humans and machines,” published by Business Insider.

George Mussalli was quoted in Michael Msika and Ksenia Galouchko’s article “Small Caps Closed the Gap. Keeping Up May Be Tough: Taking Stock,” published in the Bloomberg Terminal.

George Mussalli was featured in Arthur Villasanta’s article “Coronavirus Vaccine Unlikely To Arrive in 2020: ‘It Doesn’t Look Very Promising,'” published by the International Business Times.

PanAgora was the feature of Gregor Stuart Hunter’s article “Quant Pioneer PanAgora Sees Scant Hope for Covid Vaccine in 2020,” published by Bloomberg.

George Mussalli is quoted in James Rundle’s article, “AI Funds Decline – Then Recover – During Market Turmoil,” published by The Wall Street Journal.

Richard Tan was quoted in Namitha Jagadeesh’s article “European Stocks Head for Best Month in Decade on Virus Drug Hope,” published by Bloomberg.

PanAgora announces changes to executive leadership team, positioning company for continued growth

PanAgora Announces the 22nd Annual Dr. Richard A. Crowell Memorial Prize Winners

PanAgora’s Women-In-Network Attend Girls Who Code 2023 CodeFair in NYC

PanAgora’s Jon Birtwell Talks Market Trends and Insights with Trader TV

PanAgora Announces the 21st Annual Dr. Richard A. Crowell Memorial Prize Winners

In honor of National Women’s Month, PanAgora recognizes Dr. Jaime Lee, Head of Dynamic Equity

PanAgora Awarded 2022 P&I Best Places to Work in Money Management Award for 5th Year Running

Nick Alonso and George Mussalli were featured in an Institutional Investor article : “PanAgora: It’s Time for Investors to Add Defensive and Energy Stocks”

George Mussalli participates in “Capital Advisory Group Part V: Harnessing machine learning for better ESG outcomes”

20th annual Dr. Richard A. Crowell Memorial Prize

PanAgora Asset Management receives the Best Asset Managers by Korean Investors 2021 Award!

PanAgora team led by CEO Eric Sorensen featured in Bloomberg

Jaime Lee featured on FundFire

PanAgora and Robert van Behren interviewed on Callaway Climate

George Mussalli interviewed on Responsible Investor

George Mussalli featured in Finadium SFM

Jaime Lee featured in the Financial Times

George Mussalli featured on The Alternative Data Podcast

George Mussalli featured in Risk.net

George Mussalli discusses ESG investing on the WatersTechnology Wavelength podcast

19th annual Dr. Richard A. Crowell Memorial Prize

ValueWalk’s ValueTalks ft. George Mussalli

PanAgora Awarded 2020 Pensions & Investments’ Best Places to Work in Money Management

George Mussalli was quoted in Gregor Stuart Hunter and Jackie Edward’s article, “Goldman Says Tech to Lose Out to Beaten-Down Banks and Autos,” published by Bloomberg.

PanAgora Awarded 2020 Pension Bridge Emerging Markets Equity Strategy of the Year

The Bloomberg article, “Bridgewater’s Risk-Parity Shift Jolts a $400 Billion Quant Trade,” by Justina Lee, features insights from PanAgora’s Eddie Qian.

George Mussalli was quoted in Claire Ballentine, Katherine Greifeld, Gregor Stuart Hunter and Eric Lam’s article, “What Happens to the Markets If There’s a Vaccine,” published by Bloomberg.

PanAgora’s Lei Liu was featured in Bradley Saacks and Dan DeFrancesco’s article, “How to pitch Point72, Bridgewater, and other big names on buying new data sets, according to 7 people in charge of their strategies,” published by Business Insider.

CEO, Eric Sorensen was quoted in David Ardagh’s article “The Best Machine Learning Algorithms To Learn for Landing a Top Hedge Fund Job in the 2020s,” published by Medium: Towards Data Science.