ERI Scientific Beta launches long/short factor index

"(...) ERI Scientific Beta has launched a long/short equity market neutral index that takes a long position in a number of portfolios designed to maximise exposure to different factors while s ...

Cited As:

George Watson

Journalist

"(...) ERI Scientific Beta has launched a long/short equity market neutral index that takes a long position in a number of portfolios designed to maximise exposure to different factors while shorting the broad cap-weighted market. The succinctly named Scientific Beta Developed Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral Index (x3.5) includes large- and mid-cap equities from global developed markets. The index 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 : ETF Strategy

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