Scientific Beta

ETF Strategy: "ERI Scientific Beta has launched a long/short equity market neutral index that takes a long position in a number of portfolios designed to maximise exposure to different factors while shorting the broad cap-weighted market. The succinctly named Scientific Beta Developed Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral Index (x3.5) includes large- and mid-cap equities from global developed markets."

ETF Strategy 13/10/2017

"(...) ERI Scientific Beta has launched a long/short equity market neutral index that takes a long position in a number of portfolios designed to maximise exposure to different factors while shorting the broad cap-weighted market. The succinctly named Scientific Beta Developed Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral Index (x3.5) includes large- and mid-cap equities from global developed markets. The index implements its long/short strategy through a short position in the cap-weighted reference index and a quarterly allocation to sub-portfolios in the long leg with the objective of minimising the volatility of the long/short spread under the constraint of factor exposure positivity, diversification across factor indices and market beta neutrality. The long leg sub-portfolios are designed to efficiently capture the long-run factor risk premia that have been documented as being associated with factor tilts (value, momentum, low volatility, high profitability, and low investment). (...)"