Duration, Yield Volatility, and Bond Exposures
In this research paper, I shall examine the recent changes in yield volatilities for some major sovereign bond markets. In many cases, ...
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In this research paper, I shall examine the recent changes in yield volatilities for some major sovereign bond markets. In many cases, ...
This piece discusses the often overlooked similarities between Risk Parity strategies and Global Macro Hedge Funds. Confusion regarding these similarities would not ...
In this paper we examine the commonly overlooked risk concentrations that exist within the equity asset class. We first identify the dimensions ...
In this 2011 piece, PanAgora’s Chief Investment Officer and Head of Multi Asset Research, Edward Qian, Ph.D., CFA, compares the US ...
It is often said that diversification is the only assurance to successful long-term investing, but the approach to diversification that one employs ...
Portfolio rebalancing is a well-known technique and an old research topic. For instance, numerous articles have been written regarding different rebalancing techniques: ...
In this piece the author considers the role of roll yield when investing in commodities. Is roll yield actually a yield in ...
Today, market capitalization based indices are ubiquitous, as both passive index funds and benchmarks for active managers. The assets linked to these ...
For over a decade, PanAgora has been running market neutral strategies that forecast and profit from changes in the term structure of ...