RECHERCHE ET PUBLICATIONS

The Dangerous Allure of Designer Risk Factors

"(...) A concern among academics and investors is that as these multifactor strategies become widespread – sold on promises of safer returns or higher returns, or safer, cheaper, and higher ...

Mentionné(e)(s) :

Joe McGrath

Journalist

Felix Goltz

Head of Applied Research - EDHEC-Risk Institute

"(...) A concern among academics and investors is that as these multifactor strategies become widespread – sold on promises of safer returns or higher returns, or safer, cheaper, and higher returns – their buyers will forge ahead without understanding how fund firms cook up the recipe, or how to find out. This is a big issue, according to Felix Goltz, head of applied research at the EDHEC-Risk Institute. He argues that investors should ask for three things: access to the underlying data used during testing, the live performance, and validation of the methodology. "There should be an assessment not just of back-test performance, but of how reliable the back-test is," he says. "Is it based on factors and methodologies that are validated externally? Is it systematic? Is it consistent?" (...)" 

Type : Article de presse
Date : le 20/10/2017
Pôle de recherche Finance
Source : Institutional Investor

A voir également

The Future of Buildings Project : quand la chair FIT (Foresight, Innovation & Transformation) accompagne les nouvelles générations à imaginer l’avenir du secteur de la construction.
Actualités
- 26-11-2021
Actuellement confronté à des grands défis – réduction des émissions de carbone,...
PARCOURSUP : POURQUOI CHOISIR UNE CLASSE PRÉPA ?
Actualités
- 23-11-2021
La prépa ? Ce sont les élèves qui en parlent le mieux… Le 21 décembre débute la phase d...
L’EDHEC confirme son appartenance au Top 4 des Grandes Ecoles en France selon Le Figaro
Actualités
- 23-11-2021
Le classement publié ce jour confirme la position de l’EDHEC de 4ème Grande Ecole de...
Un programme pionner en finance verte et durable  
Actualités
- 19-11-2021
Crédit Agricole Nord de France, Amundi et Crédit Agricole CIB, partenaires du MSc « ...