Felix Goltz
Associate professor
Finance
EDHEC Business School
France
Biography
Felix Goltz is Head of Applied Research at EDHEC-Risk Institute, and Director of Research at ERI Scientific Beta. He oversees the institute’s applied research projects on portfolio construction, performance measurement and reporting, and passive investing. He also leads the research and development activities related to the indices developed by the Institute. His research focuses on indexing, equity portfolio construction, factor investing, and asset allocation.
Research Interest
Asset Allocation, Index and Benchmark Construction, Performance Analysis, Alternative Investments, Empirical Asset Pricing
Publications
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“A Review of Corporate Bond Indices: Assessing Fluctuations in Risk Exposuresâ€, with S. Badaoui and C.H. Campani, Bankers Markets & Investors, 124, 2013
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"The risks of volatility ETNs: A recent incident and underlying issues", with S. Stoyanov, Journal of Index Investing, 4(2), 73-81, 2013
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“Smart Beta 2.0â€, with N. Amenc, Journal of Index Investing, Winter 2013.
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“Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Unrewarded Risksâ€, with N.Amenc, and A. Lodh, Journal of Portfolio Management, Summer 2014.
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“Robustness of Smart Beta Strategiesâ€, with N. Amenc, A. Lodh, and S. Sivasubramanian, Journal of Index Investing, 2015, forthcoming
