PanAgora’s experts are committed to providing innovative research through theory and practice. We invite current and prospective clients, as well as consultants, to benefit from the fruits of our theory and practice through our quantitative investing research.
In this paper, George Mussalli, Global Chief Investment Officer, examines idiosyncratic-oriented quantitative strategies, noting their varied approaches and low correlations. These characteristics ...
In this paper, Dr. Eric Sorensen outlines research findings suggesting that active investing may have the potential for a resurgence, particularly within ...
Given their poor track record, many dismiss active management in US large caps. But our analysis suggests the issue is not active ...
In this article, Dr. Eric Sorensen discusses why fiduciaries should use better benchmarks for skilled active managers, and should those benchmarks be ...
Equity portfolio tracking error to a benchmark is a most ubiquitous restriction for active portfolios as prescribed by fiduciaries. The restriction is ...
For decades, the delivery of wealth maximization has been paramount to investors. More recently, ESG’s adherence to social preferences has caught ...
Active portfolio management is one of few professions for which worth is defined by a single phrase: risk-adjusted excess return. “Active” in ...
This article examines the behavior of the small-capitalization stock return cycle. The authors compare the period 1980-2020 with a study for the ...
With increasing investor interest in low-volatility equity strategies comes a need for greater scrutiny of different methodologies used to achieve low-volatility exposure. ...
