Scientific Beta

Funds Europe: "In the case of Lyxor AM, that impetus comes from the Lyxor Scientific Beta Developed Long/Short Ucits ETF. This provides exposure to the Scientific Beta Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral Index from the Edhec Risk Institute (ERI), which aims to generate absolute performance with limited volatility and low correlation to the broad equity market. The long leg is exposed to the six factors of size, value, momentum, low volatility, profitability and investment, and the short leg is exposed to a broad market cap-weighted reference index. The strategy also aims to minimise beta."

Funds Europe, Smart Beta 2018 supplement, September 2018

"(…) In the case of Lyxor AM, that impetus comes from the Lyxor Scientific Beta Developed Long/Short Ucits ETF. This provides exposure to the Scientific Beta Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral Index from the Edhec Risk Institute (ERI), which aims to generate absolute performance with limited volatility and low correlation to the broad equity market. The long leg is exposed to the six factors of size, value, momentum, low volatility, profitability and investment, and the short leg is exposed to a broad market cap-weighted reference index. The strategy also aims to minimise beta. "A traditional hedge fund strategy is not neutral in terms of beta,” says Millet. “Edhec’s focus is to minimise the beta as much as possible and take it close to zero." It's a strategy for our times, he suggests. With financial markets teetering as result of rising global tensions, now is a good time to look for sources of return that aren’t correlated to equities and bonds. A fixed leverage of 3.5% is applied to the product. "It’s very reliable," says Millet. "We prefer to apply fixed leverage to a strategy that has beta close to zero." (...)"