Scientific Beta

Wealth Adviser: "The EDHEC-Risk Institute has published a new study entitled ‘Active Allocation to Smart Factor Indices’, drawn from the eponymous Rothschild & Cie research chair. The study provides a formal empirical analysis of the benefits of strategic and tactical allocation to multiple equity smart factor indices in a context where relative risk with respect to the cap-weighted indices needs to be explicitly controlled for."

Wealth Adviser 08/10/2015

"(...) The EDHEC-Risk Institute has published a new study entitled ‘Active Allocation to Smart Factor Indices’, drawn from the eponymous Rothschild & Cie research chair. The study provides a formal empirical analysis of the benefits of strategic and tactical allocation to multiple equity smart factor indices in a context where relative risk with respect to the cap-weighted indices needs to be explicitly controlled for. The institute writes: “Once regarded as exotic curiosities, smart equity factor indices have now made it into the mainstream, and have become important for investors to better understand how their outperformance relates to underlying sources of risk. The focus of this paper is to provide a quantitative assessment of the benefits expected from the three sources of added-value (which come from time-varying strategic, time-varying tactical or time-varying core-satellite allocation decisions) in the design of equity benchmarks with superior risk and return characteristics.” (...)"