Market exposure important in smart beta strategies

"(...) Smart beta indices platform provider, ERI Scientific Beta, has said that more attention should be paid to market exposure when conducting analyses of smart beta strategies. The firm’s rese ...

"(...) Smart beta indices platform provider, ERI Scientific Beta, has said that more attention should be paid to market exposure when conducting analyses of smart beta strategies. The firm’s research “Mind the Gap: On the importance of understanding and controlling market risk in smart beta strategies” said that many new multi-factor investment methodologies ignored exposure to the market factor which was often the most important factor for a strategy. The study also found that over the long term, adjusting the market beta of a multi-factor strategy with that of a cap-weighted index contributed to an annual gain in performance of more than one per cent. (...)"

Type: Press article
Date: le 15/05/2018
Source : Money Management

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