Scientific Beta

aiCIO: "ERI ScientificBeta, a venture from the EDHEC-Risk Institute, has compared and contrasted more than 2,000 indices with some surprising results. Comparing the performance of smart factor indices first—those that abandon market cap weighted indices in favour of factor-weighted indices, such as liquidity or volatility—ERI ScientificBeta found that all diversified multi-strategy indices outperformed market cap weighted ones over the long term."

aiCIO 17/12/2013

"(...) Ever wondered which smart beta strategies perform best in the short and long term? ERI ScientificBeta, a venture from the EDHEC-Risk Institute, has compared and contrasted more than 2,000 indices with some surprising results. Comparing the performance of smart factor indices first—those that abandon market cap weighted indices in favour of factor-weighted indices, such as liquidity or volatility—ERI ScientificBeta found that all diversified multi-strategy indices outperformed market cap weighted ones over the long term. In its November Smart Beta Performance Report, strategies using book-to-market (a ratio used to find the value of a company by comparing the book value of a firm to its market value), dividend yield, size, liquidity, and volatility were all compared over a one month, year-to-date, and long term (since 1970) track records. (...)"