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 ...
Research
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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
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. ...
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
The Golden Age of Quant
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) ...
Journal Publication
Protecting the Downside of Trend When It Is Not Your Friend
Kun Yang, Edward Qian and Bryan Belton’s paper, “Protecting the Downside of Trend When It Is Not Your Friend,” was published ...
Journal Publication
Not All Factor Exposures Are Created Equal
With the recent decade’s acceptance of smart (alternative) beta, the CAPM constraint is dissipating: the focus is turning to transparent methods ...
Journal Publication
Corporate Governance Failures and Interim CEOs
The Harvard Law School Forum on Corporate Governance and Financial Regulation posted PanAgora’s...
Journal Publication
What Is Missing in Common Minimum Volatility Strategies? The Ignored Impact of Currency Risk
Many investors that invest in minimum volatility strategies are inadvertently allowing unnecessary volatility in their minimum volatility allocations by ignoring the underlying ...