Decomposing Time Series Momentum
In this paper, the author connects the two well-documented momentum effects in financial markets, time-series momentum (TSMOM, aka trend-following) and cross-sectional momentum (...
June 11, 2020PanAgora’s Multi Asset strategies were founded on the basis of providing clients with globally diversified capabilities that implement thoughtful, risk-balanced portfolio construction. Today, the team manages Risk Parity, Diversified Factor Premia and Managed Futures strategies which all leverage our proprietary portfolio construction approach.
A globally diversified asset allocation approach that balances risk across Equity, Fixed Income, and Commodity markets, in a manner designed to generate stable positive returns under varying environments of growth, contraction and inflation.
A strategy designed with thoughtful risk-balanced portfolio construction that seeks to efficiently capture and combine exposures to a suite of diversified sources of factor-based Risk Premia within a broad array of capital markets that are generally uncorrelated with traditional market premia.
A systematic, risk-balanced strategy that seeks to efficiently harvest trend premia in various markets, with the goal of generating attractive absolute returns that are generally uncorrelated with traditional asset classes, and potential to provide downside protection during market crises.
In this paper, the author connects the two well-documented momentum effects in financial markets, time-series momentum (TSMOM, aka trend-following) and cross-sectional momentum (...
June 11, 2020In this paper, the authors support their claim that not only is Risk Parity sound, it has some competitive advantages in the ...
May 14, 2020In a detailed exploration, this Insight provides a compelling case for using traditional public market investments not only as tool for strategic ...
Feb. 14, 2020