Journal Publication
The Resale Value of Risk-Parity Equity Portfolios
In this article we examine the wealth accumulation that Risk Parity offers when applied to equity portfolios.
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
Journal Publication
On the Holy Grail of “Upside Participation and Downside Protection”
In this article, we first define the participation ratios of a strategy in both up and down markets, respectively, and then introduce ...
Journal Publication
The Triumph of Mediocrity: A Case Study of Naïve Beta
Smart beta, like many names for investment products, is surely a misnomer. There are two different kinds of smart betas: one based ...
Journal Publication
Risk Parity Equity Strategy with Flexible Risk Targets
We shall address several issues related to leverage in this article, including the appropriate level of leverage and how to achieve this ...
Journal Publication
Are Risk Parity Managers at Risk Parity?
The flood of new marketplace entrants has raised a question: Do these new offerings truly achieve Risk Parity as we know it? ...
Journal Publication
Pension Liabilities and Risk Parity
In this article, Dr. Edward Qian, PanAgora’s Chief Investment Officer and Head of Multi Asset Research, highlights the different challenges facing ...
Journal Publication
Diversification Return and Leveraged Portfolios
Portfolio rebalancing is essential for harvesting diversification return. A portfolio composed of a single security (the extreme case of non-diversification) requires no ...
Journal Publication
Factor Timing Model
Since the Great Recession of 2007 and the subsequent financial crisis of 2008, global financial markets have entered into unchartered territory characterized by extreme ...
Journal Publication
Risk Parity and Diversification
It is often said that diversification is the only assurance to successful long-term investing, but the approach to diversification that one employs ...