Scientific Beta

"The Robustness of Smart Beta Strategies" paper by EDHEC-Risk Institute smart beta index provider offshoot ERI Scientific Beta, was the winner in the "Best Smart Beta Paper 2016" category of the Savvy Investor Awards which celebrate the best pensions and investment white papers of 2016.

The Savvy Investor Awards, announced on 7 December, 2016, celebrate the best pensions and investment white papers of 2016. 

EDHEC-Risk Institute was the winner in the "Best Smart Beta Paper 2016" category for the publication by its smart beta index provider offshoot, ERI Scientific Beta, entitled "The Robustness of Smart Beta Strategies" by authors Noël Amenc, Felix Goltz, Ashish Lodh and Sivagaminathan Sivasubramanian.

The paper examines the importance of robustness for smart beta strategies, explaining how a strategy being "relatively robust" differs from "absolute robustness". The authors describe how the robustness of smart beta performance can be assessed and quantified, describing various approaches, which may be used to improve the robustness of smart beta strategies.

A second paper from the EDHEC-Risk Institute, "Ten Misconceptions about Smart Beta: analysing performance drivers, investability and strategy design choices", was one of four highly commended publications in the same award category. This paper reviews ten common but mistaken claims about smart beta and sheds light on the underlying issues.

A further paper from EDHEC-Risk Institute on "Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting" was among the five highly commended papers in the "Best Alternative Investing Paper 2016" award category. The paper examines factor investing beyond traditional factors, seeking to analyse what the best possible approach is for harvesting alternative long/short risk premia.

Savvy Investor is the world’s leading research hub for institutional investors. Since launch last year, the site has curated over 15,000 white papers. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to the website's institutional investor audience.