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 ...
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
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 ...
Journal Publication
Rewarding Fundamentals
Our interest is measurement of (and insight into) the value of accurate earning forecasting. Over time, what are the typical payoffs for ...
Journal Publication
Active Equity Management for the Future
This article by Eric Sorensen, Ph.D., PanAgora’s President and Chief Executive Officer, considers the future of active equity strategies and ...
Journal Publication
Global Value Investing Delivers Diversification: A Multi-Strategy Perspective
In this article the authors examine our findings about the importance of diversification in a multi-strategy for which all the individual strategies ...
Journal Publication
Information Horizon, Portfolio Turnover, and Optimal Alpha Models
We propose an analytic framework for integrating alpha models with portfolio turnover. In practice, many alpha models are not constructed in such ...
Journal Publication
Aspects of Constrained Long-Short Equity Portfolios
Institutional investors today increasingly look for sources of consistent alpha in the quest for higher risk-adjusted returns. In the case of equity ...
Journal Publication
On the Financial Interpretation of Risk Contribution: Risk Budgets do Add Up
This is a reprint of Dr. Edward Qian’s original paper on the subject of risk contribution and its impact on an ...
Journal Publication
Contextual Fundamentals, Models and Active Management
Quantitative and fundamental money managers alike seek to find and construct portfolios of undervalued securities in the hope of delivering positive alpha ...