Stop Blaming the Factors, Scientific Beta Says

"(...) The poor performance of multi-factor strategies can be prevented, according to Scientific Beta researchers. The investment factors aren’t to blame – it’s your selection of them that ne ...

Cited As:

Noël Amenc

CEO - Scientific Beta

Daniel Aguet

Scientific Beta

Felix Goltz

Scientific Beta

"(...) The poor performance of multi-factor strategies can be prevented, according to Scientific Beta researchers. The investment factors aren’t to blame – it’s your selection of them that needs work, according to Scientific Beta. New research from the EDHEC Business School unit found the underperformance of factor strategies over the last three years could have been offset through better decision-making surrounding investors’ exposure to various characteristics of stocks. Scientific Beta’s Noël Amenc, Daniel Aguet, and Felix Goltz wrote about their findings in a paper released Tuesday. (...) Index and strategy design of long-only strategies rarely considers the risks caused by factor exposure choices, according to the paper. The authors said that “market beta” risk has the biggest impact on returns and volatility over the longer term, yet it is the least controlled. (...)" 

Type: Press article
Date: le 05/11/2019
Research Cluster : Finance
Source : Institutional Investor

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