Scientific Beta

Wealth Professional Canada: "But the Scientific Beta paper, titled The Risks of Deviating from Academically-Validated Factors, raises the question of reliability. As noted by Felix Goltz, research director at Scientific Beta and head of applied research at EDHEC Risk Institute, managers and index providers are finding factors that purportedly reap investment rewards; the findings, however, are based on proprietary studies that haven’t been replicated by anyone else."

Wealth Professional Canada 11/03/2019

"(...) But the Scientific Beta paper, titled The Risks of Deviating from Academically-Validated Factors, raises the question of reliability. As noted by Felix Goltz, research director at Scientific Beta and head of applied research at EDHEC Risk Institute, managers and index providers are finding factors that purportedly reap investment rewards; the findings, however, are based on proprietary studies that haven’t been replicated by anyone else. “An often-cited analogy is to see factors as the ‘nutrients’ of investing,” the paper’s authors wrote. “Just like information on the nutrients in food products is relevant to consumers, information on the factor exposures of investment products is relevant to investors.” Taking the analogy further, the authors argued that factors can’t be constructed arbitrarily, just as nutrients like protein or saturated fat can’t be defined in a proprietary way. But in the search for a secret performance sauce, managers are trying to define factors in different ways. (...)"