Scientific Beta

The Asset: "“Smart beta promises the best of the two worlds,” says Frédéric Ducoulombier, founding director, EDHEC Risk Institute, Asia. “From passive management it takes the idea of systematic strategies, relative transparency, low fees, low cost, and from active management – the promise of higher performance per unit of risk than in cap-weighted indices.”"

The Asset September 2015

"(...) “Smart beta promises the best of the two worlds,” says Frédéric Ducoulombier, founding director, EDHEC Risk Institute, Asia. “From passive management it takes the idea of systematic strategies, relative transparency, low fees, low cost, and from active management – the promise of higher performance per unit of risk than in cap-weighted indices.” (...) Factor investing requires knowledge and sophistication. “Each of these factors has different behaviour in bull and bear markets, high- or low-volatility markets, recession or expansion,” says Ducoulombier. “Investors have to understand what the performance of these products will be in these markets,” he adds. (...) “The darling of this year is multi-factor investing,” says Ducoulombier. EDHEC-Risk Institute has designed an approach that combines four factors: value, size, low volatility and momentum. The combined index allocates weighting to the four sub-indices that are periodically rebalanced, to maintain the desired exposure and reduce the variability of performance in changing market conditions. (...)"