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Fays Boris

Functions :

  • Department : Finance and Law
  • Field of research : Asset and Risk Management, Junior Researcher


N1 - 109 - rue Louvrex 14 - 4000 Liège


General data :

Category: Scientifique

Biography: Boris Fays is a PhD Candidate in Finance with a research focus on financial markets, market anomalies, and particularly on the evaluation of both active and passive investment vehicles (Hedge Funds and Smart Beta ETFs). The first thematic of Boris’ doctoral research is conducted on the evolution of Smart Beta ETFs within the investment industry. Together with his co-authors, Boris reconstruct proxies for the tangent market portfolio with Smart Beta strategies based on innovative characteristic-portfolios (style investing). In this research, the authors show that the methodology used to group stock in investment style portfolios has significant implications on the performance of Smart Beta strategies. The second thematic aims to shed new lights on Hedge Funds industry managers who claim to time the market and common factors. In this research, the authors measure the performance of the managers’ market timing skills by correcting their performance with passive option-based strategies. The research aims at demonstrating the potential bias and/or outperformance brought by some risk factor models that attribute skills to Hedge Funds manager. Promotors: Georges Hübner and Marie Lambert Doctoral thesis title: “Evaluation of Active and Passive Investing: The Role of Risk Factors”

Research data :

Research centers :

  • CARM (Center of assets and risk management)

Thesis title : [2019] Efficient Construction of Linear and Nonlinear Equity Risk Strategies Ph.D. in Management

Publications: Click here