Scientific Beta

ETF Trends: "EDHEC-Risk Institute, ERI Scientific Beta researchers pointed to six factors as a useful starting point for smart-beta investments, including low risk, size, value, momentum, profitability and investment."

ETF Trends 23/06/2016

"(...) Now, we are seeing growth in the smart-beta “2.0” index-based funds. These ETFs track multi-factor indexing methodologies that rely on multiple empirically rewarded factors and multi-weighting strategies to potentially diminish risk and enhance returns. “It is evident that choosing good factor tilts combined with well-diversified weighting schemes generates attractive risk-adjusted performance, and that combining the different factor tilts allows for further improvement in performance, especially relative risk-adjusted performance,” according to a research note entitled “Comprehensive and Well-Diversified Access to Rewarded Equity Factors: a Six-Factor Smart Beta Strategy,” published in the most recent Pensions & Investments EDHEC-Risk Institute Research for Institutional Money Management supplement. EDHEC-Risk Institute, ERI Scientific Beta researchers pointed to six factors as a useful starting point for smart-beta investments, including low risk, size, value, momentum, profitability and investment. (...)"