Journal Publication
Protecting the Downside of Trend When It Is Not Your Friend
Kun Yang, Edward Qian and Bryan Belton’s paper, “Protecting the Downside of Trend When It Is Not Your Friend,” was published ...
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
Not All Factor Exposures Are Created Equal
With the recent decade’s acceptance of smart (alternative) beta, the CAPM constraint is dissipating: the focus is turning to transparent methods ...
Journal Publication
Corporate Governance Failures and Interim CEOs
The Harvard Law School Forum on Corporate Governance and Financial Regulation posted PanAgora’s...
Journal Publication
What Is Missing in Common Minimum Volatility Strategies? The Ignored Impact of Currency Risk
Many investors that invest in minimum volatility strategies are inadvertently allowing unnecessary volatility in their minimum volatility allocations by ignoring the underlying ...
Journal Publication
The Low-Volatility Anomaly, Interest Rates, and the Canary in a Coal Mine
The low-volatility anomaly refers to the phenomenon in which low-volatility stocks outperform high-volatility stocks. This anomaly clearly contradicts the classical capital asset ...
Journal Publication
Efficient Smart Beta
In this article we focus on asset weighting and show that, holding all else equal, risk balancing yields the most efficient factor-exposure ...
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 Resale Value of Risk-Parity Equity Portfolios
In this article we examine the wealth accumulation that Risk Parity offers when applied to equity portfolios.
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 ...