Scientific Beta

ETF Express: "By associating an effective choice of weighting scheme in terms of diversification with this choice of factors through stock selection, ERI Scientific Beta also allows the defect of the strong concentration of cap-weighted indices to be remedied in favour of sound diversification that aims to provide the best return for a given level of risk (Sharpe ratio)."

ETF Express May 2014

Smart Factor Investing, article by Noël Amenc, EDHEC-Risk Institute

"(...) By proposing indices with contrasting factor exposures that correspond notably to factors whose reward is well documented in the academic asset pricing literature (value, momentum, size) or to anomalies that correspond more to an approach that is behavioural or explained by limitations (e.g. a leverage constraint) that prevent rational agents from acting in an optimal manner, ERI Scientific Beta allows investors to distance themselves from the poor factor exposure of cap-weighted indices. By associating an effective choice of weighting scheme in terms of diversification with this choice of factors through stock selection, ERI Scientific Beta also allows the defect of the strong concentration of cap-weighted indices to be remedied in favour of sound diversification that aims to provide the best return for a given level of risk (Sharpe ratio). The concern for the diversification of smart factor indices proposed by ERI Scientific Beta allows their non-rewarded or specific risks to be reduced. (...)"

Entering ‘second phase’ of smart beta, article by Valérie Baudson, Amundi
"(...) With an existing range of single strategy ETFs and strong capabilities in tracking customised indices in mandates, we are now entering a new era of smart beta development. As the first step in this direction, we have recently partnered with EDHEC-Risk Institute and Scientific Beta teams to create a multi smart beta index that can be replicated either as an index mandate or in ETF format. This strategy index combines a selection of four factors which are expected to produce performance over the long term – low volatility, valuation, size, momentum – with five smart beta strategies, and aims to provide improved risk-adjusted performance compared to a cap-weighted index. More broadly, the objective of this partnership is to offer tailor-made index investment solutions by combining Amundi’s know-how in index replication and ETF construction and ERI Scientific Beta’s expertise in the design of smart beta indices (ERI’s ‘Smart Beta 2.0’ platform provides access to nearly 3,000 indexes with transparency). (...)"