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The world of quantitative investing is a varied one, ranging from “statistical arbitrage” funds that seek to exploit miniscule and often fleeting market mispricings, to systematically exploiting timeless return patterns.

Dimensional Fund Advisors (DFA) is in the latter camp. Founded by Rex Sinquefield and David Booth - two pioneers of index funds - DFA primarily harnesses “factors” that drive market returns in the long run. Here, Savina Rizova, Global Head of Research at DFA, explores the world of multi-factor investing with the FT’s Robin Wigglesworth. 

Savina was recently named as one of 100 Most Influential Women in U.S. Finance by the magazine Barron’s, and was nominated by none other than Robert Merton, a Nobel laureate in economics. Merton described the Bulgarian-born quantitative researcher as a standout in his more than 50 years of working with some of the best quantitative analysts and investors in the field of financial and economic research applied to real-world solutions.

In this conversation, Savina helps clarify the often muddied terms surrounding factor investing, and reveals the uncomfortable truth that many of these market-beating signals are nothing more than an artifice of data mining. 

Savina also explains why DFA is excited about the opportunities in systematic fixed income investing, and covers the firm’s decision to jump into the ETF industry and build its own in-house “direct indexing” business (it now competes head-to-head with investment giants like Vanguard, BlackRock and Morgan Stanley on this front). 

The avid petrol-head also explains why Formula One is an entirely natural interest for any quant, given its combination of technology, data and human skill!

The Money Maze Podcast is sponsored by Schroders and Bremont Watches.

Schroders is a global investment and wealth manager, with a purpose to provide excellent investment performance to clients, through active investment management.

Bremont is an award-winning British company that produces beautifully engineered chronometers, designed to appeal to those who share the appreciation of a beautiful mechanical wristwatch.