Strategically Speaking: Scientific Beta

"(...) I am probably a little bit uncompromising,’’ says Noël Amenc, the founding CEO of Scientific Beta, the provider of factor indices and strategies. To those who know him that is an unders ...

Cited As:

Noël Amenc

CEO - ERI Scientific Beta

"(...) I am probably a little bit uncompromising,’’ says Noël Amenc, the founding CEO of Scientific Beta, the provider of factor indices and strategies. To those who know him that is an understatement. In November 2018, his organisation released several papers advocating the use of “academically-validated factors” when building factor strategies. The papers criticised the use of “non-standard factors” by established providers of factor strategies. In broad terms, Scientific Beta’s argument is that providers do not apply academic research correctly and therefore offer sub-optimal and, above all, non-robust results. (...) Amenc regrets that the factor investing industry has become a battlefield over returns rather than risk management. “My hope was that people would emphasise risk management rather than return improvement, because return measurement is unfortunately too sensitive to the choice of sample, ” Amenc says. “Providers do not seem to care about controlling the exposure to unwanted risks, such as those relating to sectors or geographies, and especially to market beta. As a result, the risk management frameworks of factor strategies are archaic. “Instead of competing on the definition of factors, factor managers should compete on risk management strategies.” (...)"

Type: Press article
Date: le 02/12/2019
Research Cluster : Finance
Source : IPE

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