Insights



PanAgora's experts are committed to providing innovative research through theory and practice. In an effort to share this research with our clients, prospective clients, and consultants, this section includes research papers that span the field of quantitative investing. Requests for non-downloadable material will be considered on a case by case basis. Please note that the username and password feature will not grant access to these papers; the whitepaper request form must be used.

Firm Bibliography

Our senior investment professionals provide insight and analysis of economic conditions and markets around the world.

View Bibliography

These papers are available for download

Title Author Description Publication Date
Efficient Smart Beta

Nicholas Alonso and Mark Barnes

Journal of Investing

Spring 2016

On the Holy Grail of “Upside Participation and Downside Protection”

Edward Qian, Ph.D.

The Journal of Portfolio Management

Winter 2015

The Resale Value of Risk-Parity Equity Portfolios

Eric H. Sorensen and Nicholas F. Alonso

The Journal of Portfolio Management

Winter 2015

Investment Insight: Nobel Prize in Economics, Physics Envy, and Quant Investing

Edward Qian, PhD

White paper

November 2013

Investment Insight: Are Risk Parity Managers Risk Parity (Continued)

Edward Qian, PhD, CFA

White paper

October 2013

Investment Insight: Are Risk Parity Managers Risk Parity?

Edward Qian, PhD, CFA

White paper

November 2012

Investment Insight: The Risk Parity Conundrum: Rising Interest Rates and Rising Returns

Edward Qian, PhD, CFA, and Bryan Belton, CFA

White paper

September 2012

Investment Insight: See the Forest for the Trees

Edward Qian, PhD, CFA

White paper

August 2012

Risk Parity and Diversification

Edward Qian

Journal of Investing

Spring 2011

On the Financial Interpretation of Risk Contribution: Risk Budgets do Add Up

Edward Qian

The Journal of Investment Management

2006

Please click on the desired whitepaper and fill out the request form

Title Author Description Publication Date

Risk Parity Equity Strategy with Flexible Risk Targets

Nicholas Alonso and Edward Qian

Journal of Investing

Fall 2013

Pension Liabilities and Risk Parity

Edward Qian

Journal of Investing

Fall 2012

Investment Insight: Diversified Factor Premia

Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA

White paper

August 2013

Risk Parity and Inflation

Edward Qian

White Paper

March 2010

Risk Parity™: The solution to the unbalanced portfolio

PanAgora

White paper

Spring 2010

Risk Parity™ Portfolios: The Next Generation

Edward Qian

White paper

Winter 2009

Risk Parity™ Portfolios: The Original

Edward Qian

White paper

Summer 2009

Active Equity Management for the Future

Eric Sorensen

The Journal of Portfolio Management

Fall 2009

Quantitative Equity Portfolio Management: Modern Techniques and Applications

Eric Sorensen, Ronald Hua, Edward Qian

2007

Aspects of Constrained Long-Short Equity Portfolios

Eric Sorensen, Ronald Hua, Edward Qian, Lingjie Ma

The Journal of Portfolio Management

Winter 2007

Information Horizon, Portfolio Turnover, and Optimal Alpha Models

Eric Sorensen, Ronald Hua, Edward Qian

The Journal of Portfolio Management

Fall 2007

Contextual Fundamentals, Models and Active Management

Eric Sorensen, Ronald Hua, Edward Qian

The Journal of Portfolio Management

Fall 2005

Risk Parity™ Portfolios: Efficient Portfolios through True Diversification

Edward Qian

White paper

September, 2005

Multiple Alpha Sources and Active Management

Eric Sorensen, Ronald Hua, Edward Qian, Robert Schoen

The Journal of Portfolio Management

Winter 2004

Active Risk and Information Ratio

Edward Qian, Ronald Hua

The Journal of Investment Management

2004