Scientific Beta

Investment Europe: "“The “monkey” label comes from the idea that a monkey would be able to generate similar performance through a random selection of stocks,” said the ERI Scientific Beta. Its paper analyses these claims using test portfolios which follow commonly-employed methodologies for explicit factor-tilted indices. Results invalidate all of the claims."

Investment Europe 30/03/2016

"(...) ERI Scientific Beta, part of the EDHEC-Risk Institute, has published a new research rejecting simplistic explanations of smart beta performance. The study, entitled “Smart Beta is not Monkey Business,” rejects arguments claiming that all smart beta strategies generate positive value and small-cap exposure, which fully explains their outperformance, and also that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. “The “monkey” label comes from the idea that a monkey would be able to generate similar performance through a random selection of stocks,” said the ERI Scientific Beta. Its paper analyses these claims using test portfolios which follow commonly-employed methodologies for explicit factor-tilted indices. Results invalidate all of the claims. (...)"