Journal Publication
Macro Tailwinds for the Resurgence of Active Investing
In this paper, Dr. Eric Sorensen outlines research findings suggesting that active investing may have the potential for a resurgence, particularly within ...
Research
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Journal Publication
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 ...
Journal Publication
The Use and Misuse of Tracking Error
Equity portfolio tracking error to a benchmark is a most ubiquitous restriction for active portfolios as prescribed by fiduciaries. The restriction is ...
Journal Publication
“ESG, Fundamentals, and Stock Returns”
For decades, the delivery of wealth maximization has been paramount to investors. More recently, ESG’s adherence to social preferences has caught ...
Journal Publication
“Active vs Passive: Old Wine in New Wine Skins”
Active portfolio management is one of few professions for which worth is defined by a single phrase: risk-adjusted excess return. “Active” in ...
Journal Publication
Small-Cap Allocations: Timing the Entry
This article examines the behavior of the small-capitalization stock return cycle. The authors compare the period 1980-2020 with a study for the ...
Journal Publication
The Devil Is in the Details: The Risks Often Ignored in Low-Volatility Investing
With increasing investor interest in low-volatility equity strategies comes a need for greater scrutiny of different methodologies used to achieve low-volatility exposure. ...
Journal Publication
An Integrated Approach to Quantitative ESG Investing
ESG investing is an area of active interest for both the investment and academic communities. Despite the intense interest, there currently is ...
Journal Publication
Teaching Machines to Understand Chinese Investment Slang
PanAgora’s paper, “Teaching Machines to Understand Chinese Investment Slang,” is published in the Journal of Financial Data Science Winter 2020 issue. © [2020] PMR. ...