Scientific Beta

ETF Strategy: "Investors should pay more attention to market exposure when conducting analyses of smart beta strategies, according to research from ERI Scientific Beta, an affiliate of EDHEC-Risk Institute. In a new research paper entitled “Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies”, the smart beta index provider argues that most research proposing new multi-factor investment methodologies essentially ignores exposure to the market factor, which is the most consensual among all factors and often the most influential factor for a strategy."

ETF Strategy 04/06/2018

"(...) Investors should pay more attention to market exposure when conducting analyses of smart beta strategies, according to research from ERI Scientific Beta, an affiliate of EDHEC-Risk Institute. In a new research paper entitled “Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies”, the smart beta index provider argues that most research proposing new multi-factor investment methodologies essentially ignores exposure to the market factor, which is the most consensual among all factors and often the most influential factor for a strategy. The study found that, over the long term, adjusting the market beta of a multi-factor strategy with that of a cap-weighted index corresponds to an annual gain in performance of more than 1%. More generally, the authors demonstrate that different levels of market beta have a strong impact on the performance and risk of smart beta strategies in terms of long-term returns, volatility, and the dependence of performance on market conditions. (...)"