GOLTZ Felix, PhD

Directeur de la recherche appliquée, EDHEC-Risk Institute - Directeur de la recherche, ERI Scientific Beta

Discipline : Finance

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France
Tel.: + 33 (0)4 93 18 99 66
Fax : + 33 (0)4 93 83 08 10

Principales contributions académiques

Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

Documents à télécharger

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CV GOLTZ Felix...
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Publications edhec

The survey was conducted as part of the Amundi research chair at EDHEC-Risk Institute on "ETF, Indexing and Smart Beta Investment Strategies".
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018  
In the past few years, equity factor investing has become increasingly popular among institutional investors and their managers. At the start, and...
The present survey aims to provide insights into investor perceptions on exchange-traded funds (ETFs) and smart beta strategies. While there is ample...
An important issue with smart beta strategies is that they typically entail higher replication costs than cap-weighted market indices. While this is...

Pages

Articles de Presse

"(…) It is a common belief that ETFs tracking smart beta indices (non-market-cap weighting schemes and/or factor exposure) exhibit weak replication...
"(...) A concern among academics and investors is that as these multifactor strategies become widespread – sold on promises of safer returns or...
"(...) Allocations to smart beta and active factor-investing strategies grew in 2017 as investors sought to diversify and manage volatility. (...)...
The question is whether or not this more diverse approach to smart beta, known as factor investing, will be enough to perform in a period of...