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 ...

Mentionné(e)(s) :

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 : Article de presse
Date : le 02/12/2019
Pôle de recherche Finance
Source : IPE

A voir également

L’association Capture Club lance un concours photos
Actualités
- 19-04-2021
L’association niçoise d’étudiants de l’EDHEC International BBA, Capture Club, propose...
Rencontre de l’Agora avec l’avocat et enseignant Bertrand Périer
Actualités
- 16-04-2021
Mardi 13 avril, les étudiants de l’association l’Agora ont reçu Bertrand Périer, avocat...
Une Course Croisière EDHEC virtuelle et inédite cette année
Actualités
- 15-04-2021
Après deux annulations consécutives, les étudiants organisateurs de la Course Croisière...
Tour‘ecyclable : valoriser les acteurs de l’économie solidaire
Actualités
- 13-04-2021
Jérémie Roux et Antonin Feret, étudiants en MSc in Global & Sustainable Business et...