Scientific Beta

Bloomberg: "“The factors that have been proven again and again are simple,” said Felix Goltz at EDHEC Risk Institute, part of a team that published an April study countering accusations that factor investing provides a mathematical gloss to random returns."

Bloomberg 27/10/2016

"(...) “The factors that have been proven again and again are simple,” said Felix Goltz at EDHEC Risk Institute, part of a team that published an April study countering accusations that factor investing provides a mathematical gloss to random returns. “Very often, providers come up with complex factor definitions that are original and different from the academic work, with several adjustments. You come up with a result that could be a fluke.” (...) “The choice of active managers isn’t very transparent with what factor tilt they have. They’d like to claim they have some unique skill and aren’t very keen on being more transparent,” said Goltz. “You can design these tilts to certain factors in ETFs and in principle, it allows you to be more transparent than active managers.” (...)"