Felix Goltz

From the blog: With pension funds increasingly embracing risk factor investing, it is essential to ensure a factor premium is supported by empirical analysis, economic rationale and a simple factor definition.

 

It is daunting to conduct empirical analysis to establish which risk factors carry a reward.

 

Researchers struggle to estimate expected returns, simply because they rely on very few data points: the starting price level and the end date price level.

 

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