Market Exposure Needs Attention

"(...) More attention should be paid to market exposure when conducting analyses of smart beta strategies, says Scientific Beta. Its research paper ‒ ‘Mind the Gap: On the Importance of Un ...

"(...) More attention should be paid to market exposure when conducting analyses of smart beta strategies, says Scientific Beta. Its research paper ‒ ‘Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies’ ‒ argues most research proposing new multi-factor investment methodologies essentially ignores exposure to the market factor, which is the most consensual among all factors and often the most influential factor for a strategy. It demonstrates that different levels of market beta have a strong impact on the performance and risk of smart beta strategies in terms of long-term returns, volatility, and the dependence of performance on market conditions. Over the long term, adjusting the market beta of a multi-factor strategy with that of a cap-weighted index corresponds to an annual gain in performance of more than one per cent.  (...)"

Type: Press article
Date: le 16/05/2018
Source : Benefits & Pension Monitor

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