Quantitative Methods - Articles & White Papers

PGIM’s 2024 Best Ideas paper shines a light on the areas where we believe investors will find promising opportunities, buoyed by PGIM’s distinct depth of expertise.

As 2024 kicks off, we explore the resurgence of the value factor since the Covid-19 vaccine announcement roughly three years ago, with insights from ten key graphs and analyses.

The relationship between value factor returns & interest rates is explained by time-varying duration of a portfolio long cheap stocks/short expensive stocks.

Can Generative Adversarial Networks (GANs) forecast financial time-series data? Milena Vuletić Postgraduate Student at the Oxford-Man Institute of Quantitative Finance shares her research findings.

This white paper is the fourth in a five-paper series. It introduces a radical new perspective on equities, thinking of them as one would of any high-end consumer good. This change in perspective enables us to demonstrate that income inequality is a hidden driver of equity prices, and also allows us to…

We explore the historical record of the Fed Model, measured as stock-bond real yield difference, to explain future stock-bond relative total returns.

A technological revolution, or evolution?

This paper lies at the intersection of quantitative analysis and probability theory. Using top- level ex-ante metrics, Axioma first provide a framework for classifying the nature of the investment opportunity provided by a portfolio within the context of portfolio selection. They then propose a framework for risk budgeting…

In recent years, machine learning (ML) has been a popular technique in various domains, ranging from streaming video and online shopping recommendations to image detection and generation to autonomous driving. The attraction and desire to apply machine learning in finance are no different.

Factor portfolios based on quantitative characteristics such as value, momentum, quality, size and low volatility have historically generated attractive excess returns, outperforming market cap weight (MCW) benchmarks on a risk-adjusted basis. While single factors have outperformed over the long-term, they have also…

The credit markets are finally embracing quantitative investing and this paper provides an in-depth primer to quant credit. Readers will learn about the dynamics of systematic trading, the factors employed in quant models, and the future path this rapidly-evolving strategy is likely to take.

Bruce Feibel of State Street provides a primer that covers vital aspects of the alternative investment performance measurement process. Analysts need to carefully consider, and sometimes modify, the return calculations, ex post risk measurement, and performance presentation methods used in traditional investment performance…

In this primer, we’ll explore this strategy’s fundamental principles, key performance and investment characteristics, and the role global macro can play in building more resilient investment portfolios. ​

While the carbon tax was the preferred policy of economists in the 1970s and 1980s, governments have implemented both quantity-based policies, such as emissions trading schemes, and price-based policies, such as fossil fuel taxes and renewable energy subsidies. In this article, we extend the input-output analysis by…

Will the low-volatility premium continue to be the best-kept secret in financial markets?

A look how statistical models can be used with fundamental models to understand concentration risk in U.S. equity indices.

For a long time, liquidity monitoring for a portfolio focused on the asset liquidity profile and was calculated by aggregating position level liquidity metrics such as 'days-to-trade’ or the liquidity score. The main question being asked was: How long would it take to liquidate x% of a given portfolio? The question of…

In the 1990s PGIM was among the earliest to explore quantitative investment techniques in response to our own clients’ shifting needs. Thirty years and many market cycles later, quants continue to leverage their unique strengths to help investors navigate their complex financial challenges.