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 ...
"(...) 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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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 10 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
