Felix Goltz

Bottom-up gets two thumbs down

A pair of researchers cite studies to argue that the ‘bottom-up’ method of constructing multi-factor portfolios reduces transparency and adds complexity, with no visible benefit.

Felix Goltz and Sivagaminathan SivasubramanianFebruary 1, 2018

Optimal factor index design?

EDHEC-Risk Institute suggests that investors should be wary when implementing factor tilts to ensure diversification still reigns.

Amanda WhiteDecember 11, 2015

Beyond backtests: considering the robustness of smart beta

Systematic equity investment strategies – so-called smart beta strategies – are usually marketed on the basis of outperformance. However, it is important to recognise that performance analysis is typically conducted on backtests that apply the smart beta methodology to historical stock returns. Concerning actual investment decisions, a relevant question, therefore, is how robust the outperformance […]

October 2, 2015

Opinion

Capturing true geographic exposures in risk reporting

New research by EDHEC-Risk Institute questions the usefulness of analysing geographic equities exposures based on the stock’s place of listing, incorporation or headquarters. Head of applied research, Felix Goltz, suggests that in a globalised marketplace, a more meaningful analysis of geographic risk exposures, and performance attribution, comes from looking at geographic segmentation data including total sales […]

Amanda WhiteJuly 8, 2015

Uncategorised posts

Diversification is not enough for managing risk

Diversification alone is not enough to manage downside risk, rather academic research in dynamic portfolio theory suggests the three complementary techniques of diversification, hedging, and insurance can be used together to design customised investment solutions, that ultimately separate assets into performance seeking portfolios and liability hedging portfolios, according to EDHEC’s Felix Goltz and Stoyan Stoyanov. […]

December 1, 2010