Scientific Beta

Top 1000 Funds: "In a recent study, we discuss factor definitions used in investment products and analytical tools offered to investors and contrast them with the standard academic factors. We also outline why the methodologies used in practice pose a high risk of ending up with irrelevant factors. References to the academic and practitioner research, and exhibits illustrating our arguments, can be found in the study."

Top 1000 Funds 27/02/2019

Article by Felix Goltz, head of applied research, EDHEC-Risk Institute and research director at Scientific Beta, and Ben Luyten, quantitative research analyst at Scientific Beta.

"(...) Investment products that aim to capture factor premia have gained popularity. Investors rely heavily on analytic toolkits to identify the factor exposures of an investor’s portfolio. However, neither investment products nor analytic tools necessarily follow the standard factor definitions that peer-reviewed research in financial economics has established. In a recent study, we discuss factor definitions used in investment products and analytical tools offered to investors and contrast them with the standard academic factors. We also outline why the methodologies used in practice pose a high risk of ending up with irrelevant factors. References to the academic and practitioner research, and exhibits illustrating our arguments, can be found in the study. (...)"