Scientific Beta

L'Agefi: "A study published by the EDHEC-Risk Institute in the Journal of Portfolio Management suggests that the major alternative equity indices are probably superior in terms of long-term performance, but they run the risk of significant relative losses compared with cap size-weighted traditional indices."

L'Agefi 31/08/2012

"(...) A study published by the EDHEC-Risk Institute in the Journal of Portfolio Management suggests that the major alternative equity indices are probably superior in terms of long-term performance, but they run the risk of significant relative losses compared with cap size-weighted traditional indices. (...) The findings of the study show that with explicit constraints in terms of tracking error the maximal tracking error for a diversified alternative index is reduced by 44%, while the median relative returns are reduced by only 17%. An efficiently diversified portfolio, which combines minimal volatility and stratgies to maximise Sharpe ratios, can improve the maximal relative drawdown compared with single strategies with no relative risk control by 35% and 28.5%, respectively. (...)"