Scientific Beta

Institutional Asset Manager: "A new publication from ERI Scientific Beta, the index arm of EDHEC Risk Institute, entitled “Robustness of Smart Beta Strategies,” reviews the importance of robustness for smart beta strategies. The paper also explains various methods by which smart beta strategies try to improve robustness, and discusses how to measure and assess robustness when analysing the performance of smart beta strategies."

Institutional Asset Manager 18/11/2014

"(...) A new publication from ERI Scientific Beta, the index arm of EDHEC Risk Institute, entitled “Robustness of Smart Beta Strategies,” reviews the importance of robustness for smart beta strategies. The paper also explains various methods by which smart beta strategies try to improve robustness, and discusses how to measure and assess robustness when analysing the performance of smart beta strategies. ERI Scientific Beta underlines the importance of trusting academic consensus at a time when the number of factors available is increasingly rapidly. The good idea of factor investing should not be transformed into factor fishing and data mining. The study shows that there is no positive and statistically significant long-term risk premium for a “value” factor definition that relies on the approach termed “fundamental,” even though this approach is highly popular with investors and index providers. ERI Scientific Beta recommends that investors stick tightly to academic consensus in the area of factor definition. (...)"