Scientific Beta

Risk.net: "Not everyone believes the spike in correlations among low volatility stocks implies the value of this smart beta play to investors is eroding. "Correlations are difficult to calculate over the short term. Do you really know what they are telling you or are they noise?" says Felix Goltz, head of applied research at EDHEC-Risk in Nice."

Risk.net 07/12/2015

"(...) Smart beta strategies have grown in importance in recent years, particularly among institutional and retail investors, with low volatility indexes attracting significant attention due to their smaller drawdowns and better performance compared with industry benchmarks. But traders warn that overcrowding into the strategies may be raising correlations and reducing index performance as a result. (...) Not everyone believes the spike in correlations among low volatility stocks implies the value of this smart beta play to investors is eroding. "Correlations are difficult to calculate over the short term. Do you really know what they are telling you or are they noise?" says Felix Goltz, head of applied research at EDHEC-Risk in Nice. (...)"