Scientific Beta

Felix Goltz, Research Director, Scientific Beta, and Head of Applied Research at EDHEC-Risk Institute, will be hosting an IPE webcast entitled "Exposed to Nonsense? Spurious Factors in Popular Investment Tools" on Thursday 21 March, 2019 at 3.00pm GMT. The webinar, moderated by Brendan Maton from IPE, will contrast factor definitions used in analytic tools offered to investors and compare them with the standard academic factors. It will also outline why the methodologies used in popular tools pose a high risk of ending up with irrelevant factors.

Felix Goltz, Research Director, Scientific Beta, and Head of Applied Research at EDHEC-Risk Institute, will be hosting an IPE webcast entitled "Exposed to Nonsense? Spurious Factors in Popular Investment Tools" on Thursday 21 March, 2019 at 3.00pm GMT.

Factor investing offers a big promise. By identifying the persistent drivers of long-term returns in their portfolios, investors can understand which risks they are exposed to, and make explicit choices about these exposures.

When it comes to information about factors, providers offer analytic toolkits to identify the factor exposures of an investor's portfolio. However, these analytic tools do not employ academically grounded factors and their factor finding process maximises the risk of ending up with false factors. These non-standard factors also lead to mismeasurement of exposures and may capture exposure to redundant factors. In the end, analytic tools for investors do not deliver on the promise of factor investing and they also lack transparency.

This webinar, moderated by Brendan Maton from IPE, will contrast factor definitions used in analytic tools offered to investors and compare them with the standard academic factors. We will also outline why the methodologies used in popular tools pose a high risk of ending up with irrelevant factors.

Dr. Goltz carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks. He obtained a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.