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EDHEC-Risk Information

EDHEC-Risk in the Press

EDHEC-Risk Institute has been cited widely in the business and industry press. A selection of articles may be found below.

[2016] [2015] [2014] [2013] [2012] [2011] [2010] [2009] [2008] [2007] [2006] [2005] [2004] [2003]


May 2017

  • Hedgeweek (17/05/2017)
    Asset Management is going through an industrial revolution
    "(...) There is currently an industrial revolution taking place in the asset management industry, driven by the dual forces of mass production and mass customisation. Rather than merely create ‘one size fits all’ products, investment managers are increasingly required to develop investment solutions. To navigate these changing waters, EDHEC-Risk Institute has teamed up with Yale School of Management to produce a 3-seminar academic programme in advanced investment management techniques. The seminar series is specifically aimed at asset managers who wish to learn how to produce smarter building blocks and deliver mass customised solutions to their investors. And for asset allocators, who wish to understand how and when to use smarter, risk-efficient building blocks in their portfolios. The programme will help them to ask the right questions, and know what to look for, when working towards their investment goals. (...)"
    Copyright GFM Ltd [Full text]


  • ETF Strategy (11/05/2017)
    Desjardins launches international multifactor controlled volatility ETF
    "(...) Desjardins Global Asset Management (DGAM) has launched the Desjardins Developed ex-USA ex-Canada Multifactor-Controlled Volatility ETF (DFD) on the Toronto Stock Exchange, providing access to a portfolio of global stocks excluding Canada and the US which have been weighted to amplify exposure to a selection of equity market risk factors – value, momentum, size and low volatility. The fund tracks the performance of the Scientific Beta Developed ex-USA ex-Canada Multifactor-Controlled Volatility Index, developed by Scientific Beta, a commercial venture of EDHEC Risk Institute. (...)"
    Copyright ETF Strategy Ltd [Full text]


  • Structured Retail Products (10/05/2017)
    ETP News: Desjardins deploys multifactor vol control Scientific Beta indexes
    "(...) Desjardins Global Asset Management has launched a new exchange traded funds (ETF) to complement the multifactor-controlled volatility category. The Desjardins Developed ex-USA ex-Canada Multifactor-Controlled Volatility ETF has closed the initial offering of units, and is now trading on the Toronto Stock Exchange (TSX). Desjardins Developed ex-USA ex-Canada Multifactor-Controlled Volatility ETF seeks to replicate, before fees and expenses, the performance of the Scientific Beta Developed ex-USA ex-Canada Multifactor-Controlled Volatility Index, a developed markets (ex-USA ex-Canada) multifactor-controlled volatility equity index. (...)"
    Copyright Structured Retail Products [Full text - Registration required]


  • Risk.net (09/05/2017)
    Netting no problem for blockchain, tech firms tell regulators
    "(...) If complex markets such as non-cleared derivatives were to adopt DLT, in practice it is likely netting would still be carried out end-of-day, thinks Dominic O'Kane, an affiliated professor of finance at EDHEC Business School, specialising in derivatives pricing and risk management. “If collateral posting for variation and initial margin is daily, then the net bilateral exposures need only be calculated once each day, usually at close of business. If the question is about trade compression, then that can be done multilaterally at fixed periods by some third party, and would spawn a batch of unwind transactions that would then be included in the ledger.” (...)"
    Copyright Incisive Risk Information (IP) Limited [Full text - Registration required]


  • Investment Executive (03/05/2017)
    Desjardins launches new ETF
    "(...) Lévis, Que.-based Desjardins Global Asset Management Inc. (DGAM) has expanded its ETF lineup with the introduction of a new multifactor-controlled volatility ETF. Desjardins Developed ex-USA ex-Canada Multifactor-Controlled Volatility ETF, which began trading on the Toronto Stock Exchange on Wednesday, will seek to replicate the performance of a developed markets multifactor-controlled volatility equity index. The ETF, which currently aims to follow the performance of the scientific beta Canada multifactor-controlled volatility index, will invest mainly in equities beyond Canada and the U.S. "In combination with existing equities ETFs, this logical next step allows our investors to access global developed equity markets through our innovative and value-adding approach," says Nicolas Richard, CEO of DGAM, in a statement. (...)"
    Copyright Transcontinental Media Inc. [Full text]


  • Advisor.ca (03/05/2017)
    Desjardins launches multifactor-controlled volatility ETF
    "(...) Desjardins Global Asset Management Inc. has launched a new ETF in the multifactor-controlled volatility category. The Desjardins Developed ex-USA ex-Canada Multifactor-Controlled Volatility ETF has closed the initial offering of units, and those units begin trading on the Toronto Stock Exchange today. The fund seeks to replicate, to the extent reasonably possible and before fees and expenses, the performance of a developed markets (ex-U.S., ex-Canada) multifactor-controlled volatility equity index. Currently, the fund seeks to replicate the performance of the Scientific Beta Developed ex-USA ex-Canada Multifactor-Controlled Volatility Index, net of fees and expenses. Under normal market conditions, the fund primarily invests in international (ex-U.S., ex-Canada) equity securities. (...)"
    Copyright Transcontinental Media Inc. [Full text]


  • IPE Special Report on Factor Investing (May 2017)
    Top-down versus bottom-up multi-factor approaches
    Article by Noël Amenc, Frédéric Ducoulombier, Felix Goltz and Sivagaminathan Sivasubramanian
    "(...) At a glance: Academic studies have paid relatively little attention to the variability of these factor premia over time and to the short and medium-term risks of investment along factor lines. Critics of the traditional top-down approach observe that there is a downside to assembling indices that have been designed to independently target distinct factors. The most flexible way to produce portfolios that score highly across the characteristics that proxy for exposure to a set of targeted factors is to build multi-factor portfolios from the bottom-up. Modifying smart-factor index selections to take cross-factor exposures into consideration allows exposures to be improved while preserving the transparency, flexibility and efficiency of the top-down approach. (...)"
    The great factor debate
    "(...) Noël Amenc, professor of finance at the EDHEC-Risk Institute in Nice, is closer to Ang’s view. “I am more favourable towards rational explanations,” he says. “Smart beta [an alternative term for factor investing] works because you have serious sources of return, well-documented by academia. The first one is obviously the exposure to rewarded factors. These are backed by Nobel prize-winning work. Such returns from factors are not an anomaly. They are really a reward for taking long-term risks.” That does not mean that Amenc rules out behavioural explanations entirely. On the contrary, EDHEC has produced a useful summary of the main explanations, rational and behavioural for some of the best-known factors (see Economic mechanisms behind main factors). (...)"
    Getting the blend right
    "(...) Not all industry practitioners accept that bottom-up factor combination approaches are superior to those constructed from the top down. “When you select so-called factor ‘champions’ in a bottom-up approach, you create a concentrated portfolio with high turnover,” says EDHEC’s Felix Goltz. “But there’s a more conceptual problem as well. The academic studies on which factor investing relies all used a top-down approach. Fama and French looked at the value and size effects across the whole stock market, for example. “The factor relationships that were originally defined using a top-down approach may break down if we start to make too precise distinctions about factor scores at the individual stock level,” Goltz continues. “The problem about bottom-up approaches is that you may end up overexploiting the information you have in stock-level factor scores. It’s better to stick to a broad-brush approach.” (...)"
    Meeting expectations
    "(...) It is important to have realistic expectations about what factor investment can deliver. Its supporters make a strong case for its advantages but even they concede it is far from a panacea. (...) According to Professor Noël Amenc, a professor of finance at EDHEC Business School in Nice, the academic literature suggests that improved performance of 2-3% a year on average is feasible. That may not sound like a lot to some but compounded over several years it would make a considerable difference. (...)"
    Case Studies: LPP and FRR
    "(...) Rather than just using alternative indices tactically, FFR started to consider using these indices for a more strategic asset allocation. Rousseau says: “We recognised that we could collect the risk premia associated with different investment factors over a full market cycle with better risk metrics.” To implement this approach, the fund allocated funds to four different indices – a low-volatility index, an EDHEC risk-efficient index as well as a risk parity index (...). Rousseau says: “We liked the maximum diversification of the EDHEC index and the new generation of risk parity indices.” (...)"
    Copyright IPE International Publishers Limited


April 2017

  • PrincetonInfo.com (26/04/2017)
    Will an Android Replace Your Financial Advisor?
    "(...) Lionel Martellini, professor and director of the EDHEC Business School’s Risk Institute, has also studied robo-advisors, and also likes to draw medical analogies. Martellini compares the financial market to a pharmacy stocked with medicines, and a financial advisor as an expert doctor who knows a patient’s needs and can advise them on which medicine to take, and how much. Currently, online trading companies like E-Trade are like pharmacies, with different investments being equivalent to drugs. To Martellini, robo-advisors won’t be much good if they are ultimately just mechanisms to buy into funds or buy particular financial product — they would just be “pharmacies.” A good robo-advisor would be like a doctor, who could create a strategy and then explain it to the client. Will human wealth managers be put out of business by computers? Martelllini doesn’t think that will happen any time soon. So far there is only about $200 billion under management by robo-advisors, he says, although some estimates say the figure will rise to $1 trillion by 2020. (The size of the entire global financial market is estimated at $156 trillion.) (...)"
    Copyright PrincetonInfo.com [Full text]


  • Top 1000 Funds (24/04/2017)
    A Strict Régime
    "(...) Stringent regulatory constraints dictate investment strategy at French public service pension scheme Régime de Retraite additionnelle de la Fonction publique, a €26.2 billion ($28.0 billion) mandatory fund for French civil servants and members of the judiciary, established in 2005. (...) Socially responsible investing (SRI) integration is also a deciding factor in manager selection. An SRI charter “persistently and permanently” takes account of the pursuit of the public interest and applies to all “financial management transactions”, whether ERAFP performs them directly or agents perform them on its behalf. Just under 20 per cent of the equity portfolio tracks a replicated low-carbon index based on the Scientific Beta Efficient Maximum Sharpe Ratio method. “The aim of the index is to maximise the Sharpe ratio of a Euro SRI carbon-efficient universe,” Vialonga says. (...)"
    Copyright Conexus Financial Pty Ltd. [Full text]


  • Benefits and Pensions Monitor (07/04/2017)
    Bottom-up Approach Has Inefficiency Risk
    "(...) The risks and shortcomings of the bottom-up approach are shown to be inefficiency, instability and the inability to control factor exposure and non-factor risks, says the ERI Scientific Beta paper, ‘Accounting for Cross-Factor Interactions in Multifactor Portfolios without Sacrificing Diversification and Risk Control.’ It compares different approaches for constructing multi-factor equity portfolios: bottom-up score-weighting approaches that target high factor intensity and top-down approaches that also consider diversification objectives. Focusing solely on increasing factor intensity leads to inefficiency in capturing factor premia, as exposure to unrewarded risks more than offsets the benefits of increased factor scores. High factor scores in bottom-up approaches also come with high instability in factor exposure and high turnover. The report introduces a new approach that considers cross-factor interactions in top-down portfolios through an adjustment at the stock selection level. This approach leads to higher levels of diversification and produces higher returns per unit of factor intensity, it says. (...)"
    Copyright Benefits and Pensions Monitor [Full text]


  • ETF Strategy (04/04/2017)
    Desjardins launches initial suite of seven ETFs
    "(...) The Desjardins Canada Multifactor-Controlled Volatility ETF (DFC) tracks the Scientific Beta Canada Multifactor-Controlled Volatility Index, representing the performance of Canadian equity securities which have been weighted to amplify exposure to a selection of equity market risk factors – value, momentum, size and low volatility. The fund has management fees of 0.50%. The Desjardins USA Multifactor-Controlled Volatility ETF (DFU) tracks the Scientific Beta USA Multifactor-Controlled Volatility Index, representing the performance of US equity securities which have employed a similar weighting methodology to DFC’s underlying index. The fund has management fees of 0.50%. Two more Desjardins multifactor ETFs, the Desjardins Developed ex-USA ex-Canada Multifactor-Controlled Volatility ETF and Desjardins Emerging Markets Multifactor-Controlled Volatility ETF, are also anticipated to commence trading by the end of Q2 2017. (...)"
    Copyright ETF Strategy Ltd [Full text]


  • ETF Express (04/04/2017)
    Desjardins launches suite of seven ETFs
    "(...) Desjardins Global Asset Management (DGAM) has launched a suite of seven exchange traded funds (ETFs), all of which are now trading on the Toronto Stock Exchange (TSX). (...) The Desjardins Canada Multifactor-Controlled Volatility ETF (DFC) seeks to replicate, before fees and expenses, the performance of a Canadian multifactor-controlled volatility equity index. Currently, the fund seeks to replicate the performance of the Scientific Beta Canada Multifactor-Controlled Volatility Index, net of fees and expenses. Under normal market conditions, the fund will primarily invest in Canadian equity securities. The Desjardins USA Multifactor-Controlled Volatility ETF (Ticker TSX: DFU) seeks to replicate, before fees and expenses, the performance of a US multifactor-controlled volatility equity index. Currently, the fund seeks to replicate the performance of the Scientific Beta USA Multifactor-Controlled Volatility Index, net of fees and expenses. Under normal market conditions, the fund will primarily invest in US equity securities. (...)"
    GFM Ltd [Full text]


  • Morningstar Canada (03/04/2017)
    Desjardins ETFs draw on overseas indexing expertise
    "(...) The investment arm of Quebec's giant Desjardins Group has reached out overseas for the indexing expertise that will power its new family of exchange-traded funds. Seven Desjardins ETFs opened for trading today on the Toronto Stock Exchange, and another two have received final prospectus approval. The equity ETFs launched today are broadly diversified Canadian equity and U.S. equity mandates. International equity and emerging-markets equity ETFs will follow. All of them are based on the Scientific Beta Multifactor-Controlled Volatility series of indexes maintained by the EDHEC-Risk Institute, which has offices in Singapore, London, and Nice and Paris in France. (...)"
    Morningstar Research Inc. [Full text]


March 2017

  • Investment Europe (29/03/2017)
    Evli registers pair of funds in France
    "(...) The Evli Equity Factor Europe invests in stocks of major European companies. The fund tracks ERI Scientific Beta’s factor index, which focuses on four academically determined factors: value, low risk, momentum and quality. The fund, launched on 14 October 2015, is co-managed by Mattias Lagerspetz, Peter Lindahl and Antti Sivonen. The Evli Equity Factor Europe had assets under management of €136.95m as of 28 February 2017 and delivered annual returns of 5.11% since inception. Evli has currently over €10bn in assets under management. (...)"
    Open Door Media Publishing Ltd [Full text]


  • Institutional Investor (21/03/2017)
    Danger Rising for Low-Vol, Investors Warn
    "(...) Beware low-volatility stock allocation or face potentially significant underperformance in the years ahead, experts have warned. The warning comes amid increasing concerns that traditional defensive equity strategies – which surged in popularity after the financial crisis – are vulnerable to underappreciated risks from monetary policy, interest rates, factor tilts, and geopolitics. Speaking at the EDHEC Risk Institute's Smart Beta Day in London, Dr. Eric Shirbini, a director at ERI Scientific Beta, warned that use of traditional defensive portfolio modelling could risk sub-standard returns. Shirbini argued that traditional defensive strategies are heavily biased to the low-volatility factor by their very construction, and therefore miss out on rewards from other factor tilts when market sentiment shifts. "Investing in low-volatility stocks is great when there is a downturn in the market as you tend to outperform, but when the market goes up, these low volatility strategies tend to lag behind," he said. "Low risk, low-volatility strategies tend to be much more sensitive to changes in interest rates... you end up taking a lot of country risk, which is not well-rewarded – and these strategies can be very concentrated in certain sectors as well." Shirbini's warning follows recent cautionary notes from asset managers that sophisticated investors need to look again at how they calculate risk. (...)"
    Copyright Institutional Investor LLC [Full text]


  • IPE (20/03/2017)
    Study sheds light on smart beta transaction costs
    "(...) Investors will be able to assess net returns arising from smart beta strategies through a new transaction cost measurement approach put forward by a research paper from EDHEC Risk Institute. Currently, smart beta providers do not routinely report transaction cost estimates for their strategies, and performance evaluation often relies on simulated gross returns, the research said. “A reasonable expectation from an investor’s perspective is that providers should disclose the level of transaction costs generated by their strategies so as to allow for information on net returns,” the paper said. The paper – ”Smart Beta Replication Costs” – was written by EDHEC researchers Mikheil Esakiais, Felix Goltz, Sivagaminathan Sivasubramanian, and Jakub Ulahelis. EDHEC said its research provided an “explicit estimate” of costs applied to a range of strategies and showed the impact of using different implementation rules or stock universes. Among the major findings highlighted by the authors, the paper found that conclusions about transaction cost levels and strategy implementation challenges were heavily dependent on the stock universe under consideration. The researchers also found that, for commonly used beta indices built on liquid universes and integrated implementation rules, the impact of transaction costs on returns was small. These costs did not cancel out the relative return benefits over cap-weighted indices. (...)"
    Copyright IPE International Publishers Limited [Full text]


  • Money Management (16/03/2017)
    Investors expect disclosure of transaction costs
    "(...) Investors expect that the providers of exchange traded funds (ETFs), indexing and smart beta investment strategies should better disclose the estimated level of transaction costs generated by their strategies, according to a study conducted as part of the Amundi research chair at EDHEC-Risk Institute. The “Smart Beta Replication Costs”, which analysed the impact of transaction costs on the performance of systematic equity strategies, found that providers often failed to make reference to transaction costs and only reported gross returns, forcing investors to figure out the exact amount of such costs. (...)"
    Copyright Cirrus Media [Full text]


  • The Hedge Fund Journal (16/03/2017)
    EDHEC-Risk Publishes New Paper
    "(...) A new EDHEC-Risk Institute publication entitled “Smart Beta Replication Costs,” conducted as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies”, provides an explicit estimate of the costs applied to a range of Smart Beta strategies and analyses the impact of different implementation rules or stock universes. A reasonable expectation from an investor’s perspective is that providers should disclose the estimated level of transaction costs generated by their strategies so as to allow for information on net returns. However, providers often fail to make explicit reference to transaction costs and simply report gross returns, leaving it to other market participants to figure out the exact amount of transaction costs. (...)"
    Copyright The Hedge Fund Journal [Full text]


  • TheStreet (13/03/2017)
    Smart Beta ETFs Surpass $500 Billion in Assets, And Financial Advisors Better Understand Why
    "(...) Many financial advisors see such indexes as a good way to provide investment exposure to myriad investment categories, while offering portfolio transparency, and a way to leverage volatility and imbalances in the financial market, while providing a clear path portfolio diversification. So far, investors like what they see from smart beta funds. A 2016 European study from the EDHEC-Risk Institute shows 86% of investors are satisfied with smart beta indexes, which bypass stock or sector concentration. That sentiment has helped push smart beta ETFs passed $500 billion in assets, as of January, 2017. (...)"
    Copyright TheStreet, Inc. [Full text]


  • Investor's Business Daily (10/03/2017)
    3 Best Single-Country ETFs For Investing In Foreign Markets
    "(...) Accuvest, based in California, has $375 million in assets under management. Exchange traded funds are key to its investment team's efforts in "building equity portfolios from the top down and focusing on country selection, rather than stock selection." In an interview with IBD, Garff discussed his best ideas for investing with ETFs in international markets as the cycle of U.S. outperformance gets ever-longer in the tooth. (...) Global X Scientific Beta Japan (SCIJ) builds its holdings based on a multifactor approach, with contributions from the value, size, momentum and low volatility factors. The result is a portfolio that is highly diversified, but takes noncapitalization-weighted positions in an attempt to outperform the cap-weighted index. Relative to the rest of the world, Japan looks interesting due to a combination of high expected earnings growth, lower risk, strong relative strength and average valuations. (...)"
    Copyright Investor's Business Daily, Inc. [Full text]


  • Asia Asset Management (March 2017)
    Bottom-up vs. top-down approaches: Improving multi-factor equity exposure
    Article by Felix Goltz, head of applied research, EDHEC-Risk Institute, research director, ERI Scientific Beta
    "(...) With increasing investor interest in multi-factor solutions, product providers have been debating the respective merits of the “top-down” and “bottom-up” approaches to multi-factor portfolio construction. Top-down approaches assemble multi-factor portfolios by combining distinct sleeves for each factor, while the bottom-up methods build multi-factor portfolios in a single pass by choosing and/or weighting securities by a composite measure of multi-factor exposures. In this article, we discuss the results of recent research assessing the merits of both the approaches. (...)"
    Copyright Asia-Pacific Media Limited [Full text - Registration required]


February 2017

  • Structured Retail Products (28/02/2017)
    Index roundup: ERI releases new risk control and smart beta indices
    "(...) ERI Scientific Beta has launched a new series of multi-smart-factor indices based on research conducted by its research teams reconciling a top-down approach with the search for strong factor intensity. The aim of this Multi-Beta Diversified High Factor Exposure offering is to conserve the advantages of explicit risk control and the diversification of specific risks, while allowing the interactions between factor indices, which can be negative, to be taken into account. (...)"
    Copyright Structured Retail Products [Full text - Registration required]


  • ETF Strategy (28/02/2017)
    ERI Scientific Beta launches new series of multifactor smart beta indices
    "(...) ERI Scientific Beta has announced the launch of a series of new multifactor smart beta indices. The Multi-Beta Diversified High Factor Exposure series uses a top-down approach to maximise explicit risk control and diversification while taking interactions between factors into account. The methodology uses a High-Factor-Exposure filter which eliminates stocks that have exposures to factors other than the desired factor. The indices may serve as the underlying for future investment products such as ETFs. (...)"
    Copyright ETF Strategy Ltd [Full text]


  • Institutional Asset Manager (21/02/2017)
    ERI Scientific Beta makes carbon reporting available free of charge for all indices
    "(...) ERI Scientific Beta has added Carbon Footprint and Carbon Intensity to all indices built on the Developed and Extended Developed Europe universes and both are now available to platform users free of charge. Noël Amenc (pictured), CEO of ERI Scientific Beta, says: "This initiative is part of our contribution towards the fight against the effects of human activities on climate change. When we signed the United Nations-supported Principles for Responsible Investment (PRI) on 27 September, 2016, we clearly expressed our desire to be one of the leaders in introducing environmental constraints into the investment industry. (...)"
    Copyright GFM Ltd. [Full text]


  • Exchangetradedfunds.com (17/02/2017)
    Live is Better
    "(...) Since 2013, with the Smart Beta 2.0 framework, EDHEC-Risk Institute has created Scientific Beta multi-smart-factor indices that are well diversified and exposed to rewarded factors. At that time, the four rewarded factors validated by EDHEC-Risk Institute were Value, Size, Low Volatility and Momentum. Furthermore, as a default weighting scheme option, Scientific Beta proposed its flagship multi-strategy weighting scheme which mixes different methods of alternative weightings to cap-weighted (Efficient Minimum Volatility, Efficient Maximum Sharpe Ratio, Maximum Deconcentration, Maximum Decorrelation and Diversified Risk Weighted) in order to diversify and thus reduce the model risks associated with each of these weighting schemes. (...)"
    Copyright Exchangetradedfunds.com [Full text]


  • ETF.com (16/02/2017)
    Finalists Announced For 2016 ETF.com Europe Awards
    "(...) ETF.com today announced the nominated finalists for the 2016 ETF.com Europe Awards, developed in partnership with Inside ETFs. The ETF.com Europe Awards are designed to recognise the people, products and firms that are driving the ETF industry forward and creating better outcomes for investors. (...)
    Index of the Year – 2016
    - Scientific Beta Developed Multi-Beta Multi-Strategy ERC Index
    This index blends four main risk factors (value, size, low volatility and momentum) with five popular smart beta diversification strategies, and has demonstrated better performance in different market phases compared with its parent index (the MSCI World index) in the long term.
    Index Provider of the Year – 2016
    - ERI Scientific Beta
    ERI continues to push the envelope of bringing cutting-edge academic research into the real world. The firm won plaudits for a unique approach to index pricing: It said investors who license its indexes can request the right to pay only when those indexes outperform the benchmark.
    Best Index Provider Website in Europe – 2016
    Awarded to the most informative and user friendly website by an index provider.
    - ERI Scientific Beta
    ERI goes beyond providing information on its own indexes: Registered users can actually use EDHEC’s systems to create new smart beta indexes of their own, right on the website. (...)"

    Copyright ETF.com [Full text]


  • ETF insight (15/02/2017)
    Arrivée Desjardins – Facteurs multiples et FNB obligataires + Privilegiées = ?
    "(...) Desjardins Wealth Management recently filed for their launch of a total of 9 ETFs, covering multi-factors strategies, as well as fixed income and preferred shares. (...) Interesting is though, that the partner in terms of the index construction process, is EDHEC – which, if memory serves, was the one firm a while back to state that if their smart beta strategy failed to add value, then they wouldn’t charge fees … => Click HERE for more info on “Scientific Beta”. All-in, if factors are good (and they can be), then the multi-factor flavor revolves around electing the “all-season” version, meaning blending factors such that one isn’t left in the cold in the one factor that happens to be out of favor for … (years?) – so let’s say Multi-Factors are a good thing and certainly worth considering versus the consistently underperforming active management space … (...)"
    Copyright ETF insight [Full text]


  • Asia Asset Management (February 2017)
    The next big growth opportunity
    "(...) According to a 2016 EDHEC survey on ETF institutional investors, 86% of respondents expressed satisfaction towards smart-beta ETFs and consider them useful tools in improving their investment process. In Europe, investors have employed smart-beta solutions as defensive strategies in light of the ongoing market turmoil as they allow investors to improve the risk/return profile of their portfolio. (...)"
    Copyright Asia-Pacific Media Limited [Full text - Registration required]


January 2017

  • Risk.net (25/01/2017)
    ‘Great rotation’ highlights clash over unseen risks in factor investing
    "(...) Gaps in performance of apparently similar products rekindle debate on index construction. (...) "What index providers are offering billed as factor investing based on academic consensus is no such thing," says Felix Goltz, head of applied research at EDHEC-Risk Institute in Nice. "The academic consensus exists around half a dozen factors, providing a sort of open-source due diligence for investors," he says. "But index providers have tweaked their definitions of factors to try to make them ‘better’. The problem is, these ‘better’ examples haven't faced the same levels of scrutiny." (...) Unlike for active managers, backtests are widely published and used by investors to inform decision-making about passive products, points out Felix Goltz at EDHEC Risk Institute. Goltz calls for providers to document how they ensure backtesting is reliable. "They should explain how factor definitions came about," he says. "Did they pick 50 versions and take the one that looked best? Even large institutional investors don't have the resources to redesign these indexes from scratch and check what the sensitivity is of performance to specific choices." (...)"
    Copyright Incisive Risk Information (IP) Limited [Full text - Registration required]


  • Benefits and Pensions Monitor (23/01/2017)
    Smart Beta Assets Growing
    "(...) Assets tracking the EDHEC Risk Institute’s smart beta indices reached US$12.3 billion as of December 31. In terms of geographical distribution, these assets come from North America (60 per cent), Europe (35 per cent), and Asia-Pacific (five per cent). Compared to December 31, 2015, this represents growth of 45 per cent. Among the drivers of this growth were the successful launch of an offering reconciling a low carbon objective and multi-smart-factor portfolio construction. Another driver of the growth in assets is their performance. The indices have a live track record that shows annualized outperformance of over two per cent compared to their cap-weighted benchmark. (...)"
    Copyright Benefits and Pensions Monitor [Full text]


  • ETF.com (17/01/2017)
    Finalists Announced For 2016 ETF.com Awards
    "(...) ETF.com and Inside ETFs are pleased to announce the finalists for the 2016 ETF.com awards. The awards are designed to recognize the people, companies and products that are driving the ETF industry forward and delivering new value to investors. (...)
    Best Index Provider Website – 2016
    Awarded to the most informative and user-friendly website by an index provider.
    ERI Scientific Beta: This indexing website powerhouse actually lets users create their own benchmarks, emphasizing the factors that matter to them. http://www.scientificbeta.com
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  • Pensions & Investments (17/01/2017)
    CalPERS looking at expanding public asset classes as it kicks off year-long allocation review
    "(...) An invited speaker at Tuesday's retreat meeting, Lionel Martellini, professor of finance at the EDHEC Business School in Lille, France, and director of EDHEC-Risk Institute, discussed whether CalPERS could reduce portfolio risk and increase returns by offering alternative equity benchmarks beyond a cap-weighted benchmark. He said one problem with a cap-weighted benchmark is it tends to overweight large-cap, growth stocks. He said that over the long term small-cap and value stocks have outperformed large-cap and growth stocks. (...)"
    Copyright Crain Communications Inc. [Full text]


  • Financial Investigator (04/01/2017)
    ERI Scientific Beta: Scientific Beta multi-factor indices post impressive three-year live track record
    "(...) The Scientific Beta Multi-Beta Multi-Strategy Equal Weight (EW) and Equal Risk Contribution (ERC) flagship indices in all regions have posted positive live performance in comparison with their cap-weighted counterparts, with an average annualised outperformance of 2.13% over the period since the indices went live on December 20, 2013 to the end of December 2016. Over the three-year live period, the 18 indices that correspond to the initial flagship offering (i.e. the Scientific Beta Multi-Beta Multi-Strategy EW and ERC indices for nine regions: Developed, Developed ex US, Developed ex UK, Developed Europe ex UK, US, UK, Eurozone, Asia-Pacific ex Japan and Japan) all outperformed, with an average annualised excess return of 2.13%. The Developed World indices for the EW and ERC indices produced excess returns of 1.61% and 1.65% respectively. (...)"
    Copyright Financial Investigator Publishers [Full text]