Scientific Beta

IPE: "Popular tools for measuring the factor exposure and allocation of portfolios could be dangerous for some investors, according to a report from smart beta index provider ERI Scientific Beta. Published in collaboration with a new venture, Scientific Analytics, the report argued that the use of some factor analysis tools could lead to a “serious” misalignment between investors’ factor diversification objectives and the measured and realised allocation."

IPE 06/11/2018

"(...) Popular tools for measuring the factor exposure and allocation of portfolios could be dangerous for some investors, according to a report from smart beta index provider ERI Scientific Beta. Published in collaboration with a new venture, Scientific Analytics, the report argued that the use of some factor analysis tools could lead to a “serious” misalignment between investors’ factor diversification objectives and the measured and realised allocation. In a research paper, the groups addressed two topics: factor definitions used by popular tools offered to investors – by providers such as Style Analytics, Bloomberg, MSCI and S&P – and the way in which measurement of factor proxies was implemented. (...)"