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 ...
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 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. ...
ESG investing is an area of active interest for both the investment and academic communities. Despite the intense interest, there currently is ...
PanAgora’s paper, “Teaching Machines to Understand Chinese Investment Slang,” is published in the Journal of Financial Data Science Winter 2020 issue. © [2020] PMR. ...
ABSTRACT: Throughout the past 45 years, the crux of quantitative portfolio management has evolved through advances in three spheres: (1) domain expertise (market savvy), (2) ...
Kun Yang, Edward Qian and Bryan Belton’s paper, “Protecting the Downside of Trend When It Is Not Your Friend,” was published ...
With the recent decade’s acceptance of smart (alternative) beta, the CAPM constraint is dissipating: the focus is turning to transparent methods ...
The Harvard Law School Forum on Corporate Governance and Financial Regulation posted PanAgora’s...
Many investors that invest in minimum volatility strategies are inadvertently allowing unnecessary volatility in their minimum volatility allocations by ignoring the underlying ...
The low-volatility anomaly refers to the phenomenon in which low-volatility stocks outperform high-volatility stocks. This anomaly clearly contradicts the classical capital asset ...
In this article we focus on asset weighting and show that, holding all else equal, risk balancing yields the most efficient factor-exposure ...
In this article, we first define the participation ratios of a strategy in both up and down markets, respectively, and then introduce ...
In this article we examine the wealth accumulation that Risk Parity offers when applied to equity portfolios.
Smart beta, like many names for investment products, is surely a misnomer. There are two different kinds of smart betas: one based ...
We shall address several issues related to leverage in this article, including the appropriate level of leverage and how to achieve this ...
The flood of new marketplace entrants has raised a question: Do these new offerings truly achieve Risk Parity as we know it? ...
In this article, Dr. Edward Qian, PanAgora’s Chief Investment Officer and Head of Multi Asset Research, highlights the different challenges facing ...
Since the Great Recession of 2007 and the subsequent financial crisis of 2008, global financial markets have entered into unchartered territory characterized by extreme ...
Portfolio rebalancing is essential for harvesting diversification return. A portfolio composed of a single security (the extreme case of non-diversification) requires no ...
It is often said that diversification is the only assurance to successful long-term investing, but the approach to diversification that one employs ...
Our interest is measurement of (and insight into) the value of accurate earning forecasting. Over time, what are the typical payoffs for ...
This article by Eric Sorensen, Ph.D., PanAgora’s President and Chief Executive Officer, considers the future of active equity strategies and ...
In this article the authors examine our findings about the importance of diversification in a multi-strategy for which all the individual strategies ...
We propose an analytic framework for integrating alpha models with portfolio turnover. In practice, many alpha models are not constructed in such ...
Institutional investors today increasingly look for sources of consistent alpha in the quest for higher risk-adjusted returns. In the case of equity ...
This is a reprint of Dr. Edward Qian’s original paper on the subject of risk contribution and its impact on an ...
Quantitative and fundamental money managers alike seek to find and construct portfolios of undervalued securities in the hope of delivering positive alpha ...
Modern portfolio management represents the search to achieve the highest expected return, given a rigorous risk specification. The tools of the modern ...
One of the underlying assumptions of the Fundamental Law of Active Management is that the active risk of an active investment strategy ...
The idea of portable alpha is based on the notion that asset allocation and the search for alpha are separable. Portable alpha ...
Your strategic asset allocation says that 10% of your assets should be in small-capitalization U.S. stocks. What type of manager should you ...
A large amount of literature has accumulated over the years on various forms of “small-cap effects” that summarize a number of apparent ...
In this article, the authors examine how the volatilities and correlations in the global fixed-income markets have changed over the past decade. ...
The ongoing globalization of world economies and introduction of the euro have prompted a reevaluation of country and sector effects on security ...
Enhanced indexing is suddenly a hot topic. The authors conjecture that much of this interest is driven by dissatisfaction, for the past ...
For many years, quantitative investors trying to balance risk and return have been guided by academic finance. Harry Markowitz taught us to ...
This article first explores the rationales behind bond index construction. It then describes a way indexes could be constructed so that over ...
Markets may be segmented in various ways to improve returns. We will refer to the center as the universe of investments in ...
Institutional investors in the Netherlands have been steadily adding international securities to their portfolios. As a result, two subjects have become increasingly ...