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 ...
Research
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.
Search Publications
Investment Insight
The Case for Active Management in U.S. Small Caps
Our research shows that active managers have a strong case for investing in U.S. Small Cap equities. This paper demonstrates that ...
Investment Insight
The Case for Core Over Value and Growth
PanAgora’s Equity Strategy Research team highlights the risks of allocating to a single investment style, or some combination thereof, over a ...
Investment InsightJournal 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 ...
Investment Insight
From Idea to Alpha: Quantifying Fundamental Insights™
Unlike fundamental investors, whose success relies on a series of independent opinions about attractive companies within their universe, the success of quantitative ...
Investment Insight
So, You’re Telling Me There’s a Chance: Increasing the Odds of Achieving ...
In this paper, we first use the Public Plans Database (PPD) to evaluate the average asset allocation scheme of U.S. public ...
Investment Insight
“The Unreasonable Attractiveness of More ESG Data”
Sustainable investing is of tremendous interest in both academia and the investment industry. However, despite the interest and the surge in assets ...
Investment Insight
“Unconventional and Uncorrelated – Differentiation in the U.S. Large Cap Space”
In this paper, the authors illustrate how PanAgora’s U.S. Large Cap Stock Selector strategy may provide considerable diversification and seek ...