Scientific Beta

Top 1000 Funds: "A large number of long-only multi-factor strategies have performed disappointingly over the past three years. This shift has led some commentators to call into question the very usefulness of solutions based on factor diversification, and notably the fact that the crowding effect was supposed to be the source of the disappearance of factor premia. However, we find in recent research that this suggestion does not hold up against an even remotely serious investigation. Rather it is the non-control of market beta exposure in a bull market context that has prevented factor indices from benefitting fully from the important market risk premium."

Top 1000 Funds 20/09/2019

Article by Daniel Aguet, head of indices, Scientific Beta; Noël Amenc, chief executive, Scientific Beta and Associate Dean for Business Development, EDHEC Business School; and Felix Goltz, research director, Scientific Beta.

"(...) A large number of long-only multi-factor strategies have performed disappointingly over the past three years. This shift has led some commentators to call into question the very usefulness of solutions based on factor diversification, and notably the fact that the crowding effect was supposed to be the source of the disappearance of factor premia. However, we find in recent research that this suggestion does not hold up against an even remotely serious investigation. Rather it is the non-control of market beta exposure in a bull market context that has prevented factor indices from benefitting fully from the important market risk premium. It is this poor market conditionality, rather than variations in factor returns, that explains the recent disappointing performance of long-only factor offerings. (...)"