Scientific Beta

Financial Times: " Longer term, the picture looks better. The “Scientific Beta” indices produced by the EDHEC-Risk Institute, widely followed in the industry, show that US low-vol stocks suffered a 47.8 per cent loss during the 2007-09 crisis, while the total return on the S&P 500 dipped by 54.9 per cent."

Financial Times 09/07/2014

"(...) Longer term, the picture looks better. The “Scientific Beta” indices produced by the EDHEC-Risk Institute, widely followed in the industry, show that US low-vol stocks suffered a 47.8 per cent loss during the 2007-09 crisis, while the total return on the S&P 500 dipped by 54.9 per cent. Since the trough in March 2009, low-vol’s performance has been almost identical to the S&P. It is only in the last two years that low-vol has fallen badly behind. There is another use for low-vol, which is as one “smart beta” strategy alongside others. The philosophy is that several factors have been shown over time to beat the market. They will not all perform at the same time, but a balanced portfolio of different strategies might work. Even on this basis, low-vol is a bad place to be at present. It was the worst-performing smart beta strategy last month, according to EDHEC-Risk, and the only factor to lag the market. This is readily explained. When volatility is low anyway, people will not pay up to avoid volatility. (...)"