Scientific Beta

Index Universe: "As EDHEC-Risk's Eric Shirbini reminded listeners during our smart beta webinar, held last week, investors still want to compare the returns and risks of smart beta strategies to those of the overall market (...). Shirbini added that most early adopters of smart beta have tended to shift money from their existing, cap-weighted index fund allocation, rather than away from the actively managed part of their portfolios."

Index Universe 12/09/2013

"(...) As EDHEC-Risk's Eric Shirbini reminded listeners during our smart beta webinar, held last week, investors still want to compare the returns and risks of smart beta strategies to those of the overall market (disclosure—I'm currently working on a contracting project for EDHEC). Shirbini added that most early adopters of smart beta have tended to shift money from their existing, cap-weighted index fund allocation, rather than away from the actively managed part of their portfolios. Taking the US equity market as an example, Shirbini produced statistics showing that some smart beta strategies have incurred a near-15 percent drawdown during the last ten years, relative to the capitalisation-weighted starting point. Smart beta promises excess return but your portfolio is likely to incur significant tracking error. (...)"