Scientific Beta

Investment Europe: "The EDHEC-Risk Institute has warned that aspects of traditional smart beta equity indices are inadequate and proposes a new approach which enables better measurement and control of the risks. The new approach, called "Smart Beta 2.0" revolutionises the offerings of advanced equity benchmarks, according to authors Noël Amenc, Felix Goltz and Lionel Martellini."

Investment Europe 19/03/2013

"(...) The EDHEC-Risk Institute has warned that aspects of traditional smart beta equity indices are inadequate and proposes a new approach which enables better measurement and control of the risks. The new approach, called "Smart Beta 2.0" revolutionises the offerings of advanced equity benchmarks, according to authors Noël Amenc, Felix Goltz and Lionel Martellini. They charge that established Smart Beta "1.0" indices present systematic and specific risks that are neither documented nor explicitly controlled by their promoters. Inadequate information and risk management calls into question the robustness of the performance presented, and implies considerable risk-taking that is not controlled by investors when they choose new equity benchmarks, they explain. EDHEC-Risk recommends the choice of systematic risk factors for smart beta benchmarks be explicit, and made by the investor, not the index promoter. (...)"