Diversified Arbitrage is a long/short strategy which is designed to generate attractive, absolute returns by identifying and exploiting a variety of inefficiencies that exist in global equity markets. Diversified Arbitrage integrates multiple, distinct equity investment strategies which produce forecasts that generally have low correlation with one another. Forecast segmentation expands the available opportunity set and allows the portfolio to diversify exposures across a broad array of alpha sources with varying investment horizons.
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Diversified Factor Premia
The Diversified Factor Premia strategy’s goal is to generate attractive, absolute returns through exposure to a suite of diversified sources of factor-based risk premia. The returns from these sources of factor premia are generated within a broad array of capital markets and include value, momentum, and macroeconomic-oriented factors. The portfolio’s exposures are balanced across sources of factor risk premia to generate more stable returns that are generally uncorrelated with market risk premia. PanAgora believes that balancing risk across complementary sources of risk premia will allow the portfolio to generate positive, absolute returns under a variety of market conditions.
PanAgora’s Diversified Factor Premia investment approach is highly flexible in nature and can be run at a wide range of volatility levels.
The Managed Futures strategy trades across commodities, equity indices, sovereign bonds and developed and emerging markets currencies. The strategy utilizes a rules-based trend following algorithm and PanAgora’s Risk Parity portfolio construction approach in order to harvest trending behaviors in these markets. The investment process is systematic in nature and gains portfolio exposure through long and short positions using futures and forward contracts. The Managed Futures strategy ultimately seeks to create long-term wealth accumulation using well-proven and diversified sources of absolute return.
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