Scientific Beta

ETF Stream: "The degree to which the commercial implementation of factors has led to a serious divergence from the evidence produced by academic studies is the subject of some interesting research from Scientific Beta. The opening premise of the new study is that the market has become increasingly saturated with more and more factors that are, they claim, ever farther removed from the academic foundations of factors."

ETF Stream 06/03/2019

"(...) The degree to which the commercial implementation of factors has led to a serious divergence from the evidence produced by academic studies is the subject of some interesting research from Scientific Beta. The opening premise of the new study is that the market has become increasingly saturated with more and more factors that are, they claim, ever farther removed from the academic foundations of factors. The perpetual search for commercial advantage is to blame, engendering a factor finding process that has, to date, expanded the number of factors from a suitably academically sparse five to literally thousands of commercially-driven factors. The authors Felix Goltz, a research director at Scientific Beta, and Ben Luyten, a quantitative research analyst, make the point that in the academic literature stretching back to 1993 and Fama and French’s first study of factors, there are three “obvious insights.” (...)"