Should the smart money be on smart beta?

"(...)  Noël Amenc, professor of finance at the EDHEC-Risk Institute and chief executive of Scientific Beta, a smart beta platform, instead argues that many factors have a market beta of less ...

Mentionné(e)(s) :

Noël Amenc

CEO - Scientific Beta

"(...)  Noël Amenc, professor of finance at the EDHEC-Risk Institute and chief executive of Scientific Beta, a smart beta platform, instead argues that many factors have a market beta of less than 1 — that is, they are less volatile than the market — due to a defensive bias, at least when implemented in a long-only format. As a result they tend to underperform in bull markets (but outperform when markets fall, so may prove their worth this year). “The poor performances . . . are not the result of a strong and abnormal deterioration in factor performances,” Prof Amenc adds. “It is clear that the pronounced bull market conditions of the last three years, notably in the US, have been unfavourable [for smart beta factors].” His solution is to implement smart beta via a market-neutral approach, which balances long and short positions to strip out the market beta, a strategy his data suggest is still broadly working, even if the value and size premia have still been negative in this format. (...)"

Type : Article de presse
Date : le 30/03/2020
Pôle de recherche Finance
Source : Financial Times

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