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Quantitative Research and Analytics

Insights
Insights Overview Summary
Welcome to PIMCO’s Quantitative Research and Analytics website which features our research on quantitative economics. PIMCO’s Analytics group develops frameworks for forecasting returns and risks at the security and portfolio levels, which are integral to PIMCO’s investment process and also underpin the advisory and specialized analytic solutions services we provide to clients.

Unlike conventional quantitative approaches that emphasize historical data, PIMCO’s analytics models also make use of our cyclical (tactical) and secular (strategic) forecasts, combining the investment experience of industry-leading economists and portfolio managers with robust, fact-based quantitative research and models in a dynamically evolving framework.
  • Asset Allocation and Portfolio Construction
  • Retirement
  • Asset Pricing
  • Alternatives
  • Equities
  • Commodities and Real Return
  • Securitized Products
  • Corporate Credit

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Asset Allocation and Portfolio Construction

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April 2017 Quantitative Research and Analytics Bonds Are Different: Active Versus Passive Management in 12 Points

Jamil Baz, Ravi K. Mattu, James Moore, Helen Guo

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September 2016 Quantitative Research and Analytics Currency Hedging Optimization for Multi-Asset Portfolios​

Helen Guo, Laura Ryan

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Asset Pricing

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June 2014 Quantitative Research and Analytics Bond Investing in a Rising Rate Environment

Helen Guo, Niels K. Pedersen

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July 2013 Quantitative Research and Analytics A Framework for Expected Returns in Credit Markets

Vasant Naik, Mukundan Devarajan, Jeremy Rosten

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Alternatives

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October 2016 Quantitative Research and Analytics The Carry and Value Pendulum

Graham A. Rennison, Josh Davis, Matt Dorsten

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August 2013 Quantitative Research and Analytics A Quantitative Framework for Hedge Fund Manager Selection

Niels K. Pedersen

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Equities

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March 2017 Quantitative Research and Analytics Equity Repricing Under a New Administration: A Tail Risk Scenario

Jamil Baz, Steve Sapra, Nicolas Le Roux

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October 2013 Quantitative Research and Analytics Active Share, Tracking Error and Manager Style

Steve Sapra, Manny Hunjan

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Commodities and Real Return

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August 2013 Quantitative Research and Analytics Analyzing Commodity Spreads Using Options Data

Lutz Schloegl

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Securitized Products

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September 2013 Quantitative Research and Analytics Analyzing MBS Backed by HECM Reverse Mortgages

Stefano Risa

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October 2012 Quantitative Research and Analytics Why is the Primary Mortgage Rate Not Declining?

Ravi K. Mattu, Stefano Risa

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Corporate Credit

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October 2013 Quantitative Research and Analytics Capital Structure Modeling and LBOs

Rama S. Nambimadom, Shisheng Qu, Juan C. Porras

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July 2013 Quantitative Research and Analytics A Framework for Expected Returns in Credit Markets

Vasant Naik, Mukundan Devarajan, Jeremy Rosten

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The materials available here contain sophisticated financial research and educational information and are intended for investment professionals and other knowledgeable institutional investors. Nothing contained in these materials should be interpreted as investment advice or a recommendation of any particular security, strategy or investment product.

By checking this box and proceeding you are certifying that you are an investment professional or other knowledgeable institutional investor capable of understanding these materials, evaluating investment risks independently and making your own investment decisions. Please click to accept the Terms & Conditions

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Featured Papers

April 2016
Can Liquidity Explain the Recent Fall in Breakeven Inflation?​​
Vasant Naik, Riccardo Rebonato
March 2016
Optimal Currency Hedging: A Factor Perspective​​
Steven Sapra, Lutz Schloegl
April 2015
Investing in Retirement
Sebastien Page
December 2014
Rethinking Retirement Risk
Niels K. Pedersen
October 2012
Tactical Asset Allocation With Macro Views
Ravi K. Mattu, Vasant Naik, Peter Matheos, Mukundan Devarajan, Masoud Sharif
September 2012
The Myth of Diversification: Risk Factors vs. Asset Classes
Sebastien Page
May 2013
Asset Allocation: Risk Models for Alternative Investments
Niels K. Pedersen, Sebastien Page
September 2012
The Volatility Risk Premium
Graham A. Rennison, Niels K. Pedersen
August 2013
A Quantitative Framework for Hedge Fund Manager Selection
Niels K. Pedersen
June 2013
Capital Structure Modeling and LBOs
Rama S. Nambimadom, Shisheng Qu, Juan C. Porras

PIMCO Analytics Experts

Ravi MattuManaging Director, Global Head of Analytics
Mukundan DevarajanSenior Vice President, Quantitative Research Analyst
Helen GuoVice President, Quantitative Research Analyst
Frank LaueVice President, Quantitative Research Analyst
Vasant NaikExecutive Vice President, Global Head of Empirical Research
Rama S. NambimadomExecutive Vice President, Head of Credit and Equity Analytics
Sebastien PageExecutive Vice President, Global Head of Client Analytics
Niels PedersenSenior Vice President, Quantitative Research Analyst
Shisheng QuSenior Vice President, Quantitative Research Analyst
Stefano RisaExecutive Vice President, Head of Structured Products Analytics
Jeremy RostenSenior Vice President, Quantitative Research Analyst
Steve SapraSenior Vice President, Quantitative Research Analyst
Lutz SchloeglExecutive Vice President, Global Head of Emerging Markets and Real Return Analytics
Masoud SharifSenior Vice President, Quantitative Research Analyst
Limin ZhangSenior Vice President, Quantitative Research Analyst

The information on this web site is for residents of Luxembourg only.

All material contained on the Exchange-Traded Funds section of this website is purely for informational purposes only and is not intended as investment advice. Investors should seek financial advice before making any investment decisions.

The products and services are available only to residents of those jurisdictions. The information on this web site does not constitute an offer for products or services, or a solicitation of an offer to any persons outside of Luxembourg who are prohibited from receiving such information under the laws applicable to their place of citizenship, domicile or residence. Copyright ©2017 PIMCO Europe Limited. All rights reserved.

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