Scientific Beta

Investment Europe: "This publication highlights the importance of a limited choice of factors with simple definitions to avoid the temptations of factor mining or factor fishing, which are among the main causes of the lack of relative out-of-sample robustness of smart beta strategies that are based on factor exposures."

Investment Europe 10/07/2015

"(...) This was the purpose of a recent Scientific Beta publication in the Summer 2015 edition of the Journal of Index Investing, entitled “Robustness of Smart Beta Strategies”: Robustness of Smart Beta Strategies, Summer 2015, Journal of Index Investing. This publication highlights the importance of a limited choice of factors with simple definitions to avoid the temptations of factor mining or factor fishing, which are among the main causes of the lack of relative out-of-sample robustness of smart beta strategies that are based on factor exposures. It also underlines the importance of allocating between smart factors that have decorrelated excess returns with respect to cap-weighted indices in order to favour the absolute robustness of the smart beta strategies implemented. (...)"