Pankaj Agrrawal, Ph.D. (Finance)

hey that is mePhone:
(207) 581-1983

pankaj.agrrawal /replace with @/

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~ Collection of projects and papers ~

My Quant and iApp site 

Giving Back via the Agrrawal Student Essentials Fund ’19

MBS Teams wins CFA Research Challenge Championship (Maine State) in 2020 and 2021

341 DPC Business Building
University of Maine
Orono, ME 04469

Teaching Areas:

  • Investments
  • Portfolio Management
  • Corporate Finance
  • Financial Markets
  • Empirical Topics in Finance
  • Corporate Governance
  • Computational Finance

Prof. Agrrawal joined UMaine in 2005 with over nine years of executive experience in quantitative research and portfolio management in the investment management industry, earlier he was portfolio manager and director of research at leading global asset management firms based in San Francisco, Boston, London, Philadelphia. Over that period he also designed and taught doctoral/graduate finance courses at Golden Gate (San Francisco), Harvard and Drexel University, in their evening programs. He has more than twenty-five papers at refereed conferences and has published 17 papers (peer-reviewed), including one in the Financial Analysts Journal and PLoS One as well as two in the Journal of Behavioral Finance and the Journal of Investing. He has been quoted by the Wall Street Journal in the July 9, 2011 print and online edition for his research on an algorithmic misspecification afflicting most web charts. In 2012, he developed and released the ReturnFinder ( Total Returns Stocks Dividends) App  via Apple’s App store, it rectifies the performance ranking problem and provides Total Return charts on over 20,000 stocks, ETFs and indexes globally. The App has been downloaded in over 30 countries. His research has been referenced in German, Swiss and Taiwanese Journals and on the Frankfurt-DAX stock exchange website. His biographical profile is included in Marquis Who’s Who in Finance and Industry, also in 2006 he was elected to the membership of the CQA (Chicago Quantitative Alliance). He is an active reviewer of many peer-reviewed journals including the European Journal of Finance.

In 2013, he was listed on Yahoo! Finance in an article by on “17 ETF Friendly Professors”,  and referenced in this University press release.  Among those also on the list are Nobel Prize winner William Sharpe of Stanford University, Yale University’s Robert Shiller, Andrew Lo of the Massachusetts Institute of Technology, Jeremy Siegel of the Wharton School, and finance faculty from Northwestern, NYU, Boston University, University of Notre Dame, Lehigh and other leading universities. The university press release on his PLoS One paper (2017) linking market sentiment to human sentiment and subsequent suicides can be seen here.

He values mentoring his undergraduate and graduate students and strives to inspire them with the workings of the capital markets and its computational aspects (page 20 of this issue). A faculty spotlight on Prof. Agrrawal can also be seen on page 12 of this MBS Connects link. He enjoys tennis, cricket, fitness, photography and being with his family

His research has been featured in the Wall Street Journal, Jul 2011 and the New York Times, Jan 2019.       


  • His paper on IPO pricing and also on a Trigonometric test for portfolio efficiency received the Best Doctoral Paper Awards at the 1995 and 1996 South Western Finance Conference in Houston and San Antonio, Texas.
  • Inducted into the business honor society Beta Gamma Sigma in 1996.
  • In 2007 he was the recipient of the Salgo summer research grant as well as UMaine’s SGA Outstanding Faculty Advisor award.
  • In 2009, his proposal for ETF Betas on Financial Websites was selected for the Summer Faculty Research award by the University Faculty Research Funds Committee (later published in the JOI).
  • He is also one of the recipients of the 2009 UMaine Faculty Technology Stipend, that was utilized to develop a browser-free live portfolio tracker.
  • In April, 2010 he was the recipient of the Dean’s Faculty Research paper award for his ‘web-algorithm’ paper and the Dean’s summer research grant.
  • In April, 2011 he was awarded the Dean’s Faculty Research Excellence award for the JBF 2010 paper.
  • Three of  his papers have been on the ‘most read’ lists of the published journals.
  • He received the Dean’s Faculty Teaching Excellence award in April 2012.
  • In April 2013, the Maine Alpha Chapter of Sigma Phi Epsilon recognized him with the SigEp Faculty Member of the Year award, for his work as a professor at the Maine Business School and commitment to the students of the University of Maine.
  • In Spring 2016, he was inducted into the national Phi Kappa Phi honor society. Established in 1897 the society “recognizes and encourages superior scholarship.”



Ph.D. (Finance), University of Alabama, MA (Finance), BA Economics (Hons.)SRCC, University of Delhi.

Research interests

A central theme of his research is developing multi-constraint optimized long-short market-neutral hedged portfolios using ETF’s as primary assets and harvesting financial information on the web. Other research interests include the role of cognitive biases and heuristics in the decision making process as applied to the capital markets, stable covariance and correlation matrices on ETFs and devising alpha-return techniques that utilize portfolio risk exposures to drive returns.  Portfolio Optimization, Risk Management, Beta Neutral Hedging, Sentiment Estimation, Timeseries analysis, Liquidity modeling and Risk Parity portfolio strategies are some of his other active interests. Some of this research can be seen on his website at

Based on his research, he has been tracking since 2004 a multi-asset class ETF portfolio (long-short and long only) that he discusses with his undergrad and MBA students – it continues to outperform the broad market equity and bond indices on both the dimensions in the risk-return space. It was included as a research chapter in the book “The Most Important Concepts in Finance” published in 2017. A proponent of Multi-asset investing using the 1/n approach, he uses the MV optimization approach to identify optimal allocations.

Selected publications:

  • “Is the ‘Sell in May and Go Away’ Adage the Result of an Election-year Effect?” Doug Waggle* and Agrrawal, Pankaj, Managerial Finance, Vol. 44, Fall 2018.
  • “Multi Asset Investing: Beyond the 60-40 Ball Park,” Agrrawal, Pankaj,* in The Most Important Concepts in FinanceGup, Benton (ed.), Edward Elgar Publishing, Cheltenham, UK, ISBN: 9781786431127, Nov/Dec 2017.
  • “Suicides as a response to adverse market sentiment (1980-2016).”  Agrrawal Pankaj,* Waggle D., Sandweiss D. H., PLoS One,  12 (11), 2017. [IF Lookup.]
  • “Seasonality in Stock and Bond ETF’s (2001-2014): The Months are Getting Mixed Up but Santa Delivers on Time.” Agrrawal, Pankaj* and Matthew Skaves, Journal of Investing, Vol. 24 (3), Fall 2015.
  • “Investor Sentiment and Short-Term Returns for Size-Adjusted Value and Growth Portfolios”, Doug Waggle* and Agrrawal, P., Journal of Behavioral Finance, Vol. 16, Issue 1, 2015.
  • “An Inter-temporal Study of ETF Liquidity and Underlying Factor Transition (2009-2014)”, Agrrawal P*., Clark J., Agarwal R. and Kale J., Journal of Trading, Vol. 9, No. 3, 2014.
  • “Using Index ETFs for Multi-Asset Class Investing: Shifting the Efficient Frontier Up”,  Agrrawal, Pankaj,* Journal of Index Investing, Vol. 4(2), Fall 2013.
  • “What is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias against Income Generating Assets”, Pankaj Agrrawal * and Richard Borgman, Journal of Behavioral Finance, Vol. 11(4), Winter 2010.
  • "Using the Price-to-Earnings Harmonic Mean to Improve Firm Valuation Estimates" Pankaj Agrrawal, Richard Borgman*, John Clark, and Robert Strong,  Journal of Financial Education, Vol. 37, Fall/Winter 2010.
  • “The Dispersion of ETF Betas on Financial Websites”, Agrrawal, P.* and Doug Waggle, Journal of Investing, Vol. 19(1): pp. 13-24, Spring 2010.
  • “Determinants of ETF Liquidity in the Secondary Market: A Five Factor Ranking Algorithm”, Agrrawal, P.* and John M. Clark, Institutional Investor Journals, ETF and Indexing, Vol. 43 (7), pp. 59-66, Fall 2009.
  • “An Automation Algorithm for Harvesting Capital Market Information from the Web”, Pankaj Agrrawal*, Managerial Finance, 35(5): pp. 427-438, Spring 2009.
  • “ETF Betas: A Study of their Estimation Sensitivity to Varying Time Intervals”, Agrrawal, P.* and John M. Clark, Institutional Investor Journals, ETF and Indexing, Vol. 41 (10), pp. 96-103, Fall 2007.
  • “The Stock-REIT Relationship and Optimal Asset Allocations”, Doug Waggle* and Pankaj Agrrawal, Journal of Real Estate Portfolio Management, pp. 209-221, Vol. 12(3), Fall 2006. This paper was the basis of a MSc (Finance) thesis of two Graduate students at Simon Fraser University, Canada, 2012.
  • "Interaction Between Value Line's Timeliness and Safety Ranks," Doug Waggle*, Agrrawal, Pankaj and Don Johnson, Journal of Investing, Vol. 10 (1), Spring 2001.
  • "The Effects of Blending Primary and Diluted EPS Data," Pankaj Agrrawal and Ralph Goldsticker*, Financial Analysts Journal, Vol. 55 (2), March/April 1999.

* Lead author / PI

Field Specific Productivity

  • “Total Returns Stocks Dividends iApp and the CorrectCharts iApp”, released on Apple’s App store, under Cloud Epsilon LLC, of which I am the founder. July 2012. The Apps have been downloaded in over 30 countries. Copyright received from the Library of Congress, Reg. No. TXu 1-838-163, Aug, 2012.
  • Media / TV: Appeared on local ABC/FOX TV and newspapers such as the Bangor Daily News and the Wall Street Journal. Some links here.

Research Interests

Financial modeling and forecasting using simulation and numeric analysis, utilization of non-beta alternate risk proxies as filters in portfolio formation, asset-pricing models, portfolio optimization procedures, estimation of ex ante security returns, application of neural networks. Behavioral finance, investor sentiment and decision making with incomplete information sets. ETF based optimal portfolio construction.  Algorithms for web-harvesting of financial information and creating machine-readable datasets. Dispersion of ETF betas on the web, interval/frequency effect on betas and determining ETF liquidity measures. Multi-asset class diversification. Risk Parity investing and modeling. Human fallout of financial crisis. Adept at CRSP, COMPUSTAT,WRDS data extraction, compiling and coding, computational finance. Market sentiment and Behavioral finance.