Journal Publication
Active Risk and Information Ratio
One of the underlying assumptions of the Fundamental Law of Active Management is that the active risk of an active investment strategy ...
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
Portable Alpha
The idea of portable alpha is based on the notion that asset allocation and the search for alpha are separable. Portable alpha ...
Journal Publication
Style Investing – To Be or Not To Be
Your strategic asset allocation says that 10% of your assets should be in small-capitalization U.S. stocks. What type of manager should you ...
Journal Publication
Extreme Investing: Using Extreme Data to Find Value in Small-Cap Stocks
A large amount of literature has accumulated over the years on various forms of “small-cap effects” that summarize a number of apparent ...
Journal Publication
Impact of the Euro on Global Fixed-Income Portfolios
In this article, the authors examine how the volatilities and correlations in the global fixed-income markets have changed over the past decade. ...
Journal Publication
Global Equities: Do Countries Still Matter
The ongoing globalization of world economies and introduction of the euro have prompted a reevaluation of country and sector effects on security ...
Journal Publication
Can Index Returns be Enhanced Without Using Forecasts?
Enhanced indexing is suddenly a hot topic. The authors conjecture that much of this interest is driven by dissatisfaction, for the past ...
Journal Publication
Better Risk Management
For many years, quantitative investors trying to balance risk and return have been guided by academic finance. Harry Markowitz taught us to ...
Journal Publication
Beating the Bond Market with No Skill
This article first explores the rationales behind bond index construction. It then describes a way indexes could be constructed so that over ...