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Eric SorensenPresident and Chief Executive Officer of PanAgora, and a member of the firm’s Investment and Management Committees. Prior to joining PanAgora, was the Chief Investment Officer of Structured Equity, and Director of Quantitative Research at Putnam Investments.
Bio (PanAgora)
PanAgora
Interview (Pensions & Investments)
Relevant Postings (AllAboutAlpha.com)
As you probably know if you are a regular reader, The Institute for Quantitative Research in Finance” (or Q-Group for short) is one of the world’s foremost communities of quant rock-stars from the academic and practitioner communities. In his video interview for the American Finance Association’s “History of Finance” project, William Sharpe tells of how he was actually at a Q-Group annual seminar when he learned of his Nobel Prize.
Well, no one won a Nobel Prize at last spring’s meeting. But the 17 pages of session summaries, now available here, are well worth a read. Here is a selection of what you’ll find:
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Rob Arnott isn’t afraid to go against the grain. His “fundamental indexing” methodology ignores price and value-weighted indices and instead uses fundamental business metrics such as sales and revenue to construct investment benchmarks. He says this avoids the propensity for indices to overweight temporarily overvalued stocks and underweight temporarily undervalued stocks.
But the idea has always had its skeptics – many of whom argue that fundamental indexing amounts to value investing in disguise. After all, they say, it simply amounts to overweighting high book-to-price stocks and underweighting low book-to-price stocks. Arnott is well aware of such criticisms and apparently plans to launch a counter-offensive soon. According to P&I, that counter-offensive will involve none other than Harry Max Markowitz, father of modern portfolio theory.
P&I reports on a paper in the works by Harvard professor Andre Perold called “Fundamentally Flawed Indexing”. Apparently, those who have seen it say it makes a lot of sense. Eric Sorensen, president and CEO of PanAgora (see posting: “King of Quants“) tells P&I that fundamental indexation assumes “large-cap stocks are overvalued, and you don’t know that”.
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By: Douglas Appell, Pensions & Investments
Published: January 8, 2007
Any of you who have tried to read this article by PanAgora CEO, Eric Sorensen will understand clearly what he meant when he told P&I in a recent interview:
“We’re academics. We do practical research, (at a) very high level, and we love to do it. And oh, by the way, we manage money for fees so we can continue to do the research. That’s really the way I think about our business.”
Sorensen is credited with growing assets by $10 billion in the past 30 months (that’s over $1 million/day, $7,700/minute and $128 a second for those keeping score). How? Sorensen tells P&I that his focus has been on finding a better balance between active and passive (i.e. alpha & beta) investing:
“Two and a half years ago, we had about $13 billion in assets, over half in index funds — very low-fee business. Today, of the $23 billion, almost all of (the growth) is in active strategies.”
With that kind of growth and a quantitative alpha-centric approach, is PanAgora the next BGI or Bridgewater?
Read full P&I article (courtesy: Pensions & Investments)
By: Eric Sorensen, Ronald Hua, Edward Quin & Robert Schoen, PanAgora Asset Management
Published: November 2004, Journal of Portfolio Management
Excerpt:
“Modern portfolio management represents the search for the highest expected return, given a rigorous risk specification. The tools of the modern manager include portfolio risk models, alpha models that forecast security returns and implementation techniques that preserve portfolio value as the portfolio evolves. In a sense, the moden portfolio team (or firm) might be considered the assembler of efficient portfolios that maximizes the performance derived from the value-added of the team’s proprietary information sources.
“[In this paper] We address the combining of such information sources…[and] investigate the diversification across combinations of alpha sources to gain insight into manageing active portfolios.”
