Scientific Beta

Financial News: "French academic institute EDHEC-Risk has compiled several smart beta indices. It reckons that allocations biased to low volatility, momentum, value and mid-cap styles can produce top-decile performance over time."

Financial News 19/05/2014

"(...) French academic institute EDHEC-Risk has compiled several smart beta indices. It reckons that allocations biased to low volatility, momentum, value and mid-cap styles can produce top-decile performance over time. ETFs tracking smart beta indices are also gaining traction, not least because they can track smart beta indices nearly as tightly as cap-weighted styles. Noël Amenc, professor of finance at EDHEC, argues ETFs play a crucial role in testing whether or not smart beta indices are efficient. This is because illiquid constituents make it harder for traders to arbitrage between the value of an ETF and its underlying portfolio. This widens the price discount and makes ETFs less attractive. (...)"