Scientific Beta

Citywire Global: "This is according to Noel Amenc, chief executive of ERI Scientific Beta, whose multi-beta multi-strategy indices now guide many Ucits ETFs, including those of Morgan Stanley and Amundi."

Citywire Global 08/07/2015

"(...) Cap-weighted, factor-tilted indices are fundamentally limited by two main shortcomings: their concentration in a few stocks, which leads to poor risk-adjusted reward for a given factor exposure, and the dominance of large cap growth, which leads to an over exposure to systematic factors. This is according to Noel Amenc, chief executive of ERI Scientific Beta, whose multi-beta multi-strategy indices now guide many Ucits ETFs, including those of Morgan Stanley and Amundi. Amenc said that over five years of studying live performance strategies the better diversified beta strategies that incorporate a range of stock characteristics have outperformed factor indices tilted towards value alone. ‘Investing in one single factor leaves you vulnerable to big swings,’ said Amenc at a recent smart beta presentation. ‘Now the advancement of smart beta indices enables exposure to a range of stock characteristics, through diversification methods such as equal risk contribution, maximum decorrelation and efficient minimum volatility.’ (...)"