Scientific Beta

Financial Times: "If you want an insight into some of the ideas that have been backtested and turned into indices, go to www.scientificbeta.com, a new website run by European investment research organisation called EDHEC Risk. Click on their flagship indices and you’ll find an academic description of all the strategies, along with the results of backtesting since 2002.

Financial Times 24/05/2013

(...) If you want an insight into some of the ideas that have been backtested and turned into indices, go to www.scientificbeta.com, a new website run by European investment research organisation called EDHEC Risk. Click on their flagship indices and you’ll find an academic description of all the strategies, along with the results of backtesting since 2002. It all sounds very exotic and complicated, with names such as the US Value Maximum Deconcentration index or the Developed Low Volatility Maximum Deconcentration index. The term “deconcentration” comes up frequently. It effectively means an index where there’s a lot of diversification between the companies and not much concentration in just a few top stocks based on market capitalisation. The easiest deconcentration strategy of all is to buy all the constituents of an index in equal portions, rather than by market capitalisation. Low volatility is another popular smart beta idea. It entails ranking all the stocks in an index such as the FTSE 100 based on their recent share price volatility and then either exclude the most volatile, or give the biggest weightings to the least volatile shares. The idea is to get equity-like returns but with fewer wild gyrations. (...)