Scientific Beta

IPE: "Felix Goltz, head of applied research at the EDHEC-Risk Institute, says: “Some strategies tend to privilege economic fundamentals rather than interest rate and credit risk. There seems to be story-telling around fundamentals, while there is no evidence that markets take them into account on a consistent basis.”"

IPE September 2015

(...) While a growing body of evidence shows that it is possible to build ‘smart’ equity indices that outperform traditional market capitalisation-weighted indices, the same cannot be said for fixed income. So far, practical applications have yielded unconvincing results. (...) Felix Goltz, head of applied research at the EDHEC-Risk Institute, says: “Some strategies tend to privilege economic fundamentals rather than interest rate and credit risk. There seems to be story-telling around fundamentals, while there is no evidence that markets take them into account on a consistent basis.” (...)