Scientific Beta

ETF.com: "The Multi-Beta Multi-Strategy Indices – as EDHEC refer to them - were launched on 30 April and are designed to avoid some of the pitfalls market capitalisation-weighted indices suffer from, such as over concentration and exposure to systematic risk factors. The indexes follow several strategies – value, momentum, size and low volatility – to ensure they are well diversified."

ETF.com 19/05/2014

"(...) ERI Scientific Beta, the indexing platform of EDHEC Risk Institute, has expanded its offering with the launch of 72 smart beta indexes. The Multi-Beta Multi-Strategy Indices – as EDHEC refer to them - were launched on 30 April and are designed to avoid some of the pitfalls market capitalisation-weighted indices suffer from, such as over concentration and exposure to systematic risk factors. The indexes follow several strategies – value, momentum, size and low volatility – to ensure they are well diversified. Investors can also choose between two weighting strategies. Equal weight (EW) holds all underlying holdings in equal proportion in order to boost the Sharpe ratio, which measures risk-adjusted performance. Equal risk contribution (ERC) looks more closely at tracking error and makes sure no strategy outweighs the other. A note from ERI Scientific Beta reads that investors can judge the indices’ long term performance based on 40 years of back-tested data. It also shows that their ERC and EW strategies delivered less volatility and a higher Sharpe ratio than a broad market cap weighted strategy over 10 years. (...)"