ERI Scientific Beta launches an integrated Long/Short offering

"(...) ERI Scientific Beta, the smart beta index provider, has announced the launch of a long/short equity market neutral index, the Scientific Beta Developed Multi-Beta Multi-Strategy Managed Vola ...

"(...) ERI Scientific Beta, the smart beta index provider, has announced the launch of a long/short equity market neutral index, the Scientific Beta Developed Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral Index (x3.5). (...) Scientific Beta implements its long/short strategy through a short position in the cap-weighted reference index and a quarterly allocation to sub-portfolios in the long leg with the objective of minimising the volatility of the long/short spread under the constraint of factor exposure positivity, diversification across factor indices and market beta neutrality. The long leg sub-portfolios are designed to efficiently capture the long-run factor risk premia that have been documented as being associated with factor tilts (value, momentum, low volatility, high profitability, and low investment). (...)" 

Type: Press article
Date: le 13/10/2017
Research Cluster : Finance
Source : Financial Investigator

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