Savina Rizova
28/4/2022
16/9/2022
The Evolution of Multi-Factor Quant Strategies – With Savina Rizova, Global Head of Research at Dimensional Fund Advisors

This week, we’re pleased to be bringing you Episode 3 our Quant Investing Miniseries! Hosted by the Robin Wigglesworth, Editor of FT Alphaville (part of the Financial Times), this series explores how quantitative analysis is potentially reshaping the asset management industry.

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This week, we’re pleased to be bringing you Episode 3 our Quant Investing Miniseries! Hosted by the Robin Wigglesworth, Editor of FT Alphaville (part of the Financial Times), this series explores how quantitative analysis is potentially reshaping the asset management industry.

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!

Savina Rizova

Savina Rizova is the Global Head of Research at Dimension Fund Advisors (DFA), which manages approximately $659 billion and employs over 1,400 globally (as of 31/03/22). Savina joined the firm in 2004, and has been its Global Head of Research since 2019. She was named in Barron's as one of the 100 Most Influential Women in U.S. Finance, and was nominated for this by none other than Robert C. Merton (a Nobel prize laureate in economics). She has a PhD from the Chicago Booth School of Business, and is a big fan of F1!

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