Scientific Beta

Financial News: "Amundi Asset Management confirmed last week that it would team up with data provider EDHEC-Risk to create an ETF that takes account of multi-factor smart beta. Through a back-testing exercise, EDHEC argues factors driven by value, smaller cap, momentum and low volatility have beaten cap-weighted indices by an annualised 3.9 percentage points over 40 years."

Financial News 26/05/2014

"(...) This has become such a problem that Europe’s EDHEC Risk academic institute wrote to Sharon Bowles MEP in March to demand that regulators apply closer scrutiny to smart beta financial benchmarks, forcing fund managers and index developers to disclose what is in these indices. (...) The smart beta revolution has spread to the world of exchange-traded funds, drawing further attention to its superior returns. Amundi Asset Management confirmed last week that it would team up with data provider EDHEC-Risk to create an ETF that takes account of multi-factor smart beta. Through a back-testing exercise, EDHEC argues factors driven by value, smaller cap, momentum and low volatility have beaten cap-weighted indices by an annualised 3.9 percentage points over 40 years. (...)"