"Robustness of Smart Beta Strategies" wins Best Smart Beta Paper award for 2016
(Thomson Reuters ONE) -
ERI Scientific Beta is delighted to announce that its research publication,
"Robustness of Smart Beta Strategies," has won the Best Smart Beta Paper award
in the Savvy Investor Awards 2016. Savvy Investor is a leading research hub for
the institutional investment industry. The site has over 15,500 members, who
between them download more than 12,000 white papers every month.
The winning research paper, "Robustness of Smart Beta Strategies," makes a
distinction between relative robustness and absolute robustness. A strategy is
assumed to be 'relatively robust' if it is able to deliver similar
outperformance under similar market conditions by aligning well with the
performance of the underlying factor exposure it is seeking and reducing
unrewarded risks. Absolute robustness is the absence of pronounced state and/or
time dependencies and a strategy shown to outperform irrespective of prevailing
market conditions can be termed robust in absolute terms. The paper reviews the
importance of robustness for smart beta strategies, explains various methods by
which smart beta strategies try to improve robustness, and discusses how to
measure and assess robustness in the performance analysis of smart beta
strategies. The paper's intention is to provide useful orientation for investors
on how to set suitable requirements for robustness.
Noël Amenc, CEO of ERI Scientific Beta, said, "There has been significant
evidence that smart beta strategies outperform cap-weighted benchmarks in the
long run. However, it is important to recognise that performance analysis is
typically conducted on back-tests which apply the smart beta methodology to
historical stock returns. Concerning actual investment decisions, it is thus
highly relevant to question how robust the outperformance is."
A webinar on the "Robustness of Smart Beta Strategies," conducted by Eric
Shirbini, PhD, Global Product Specialist with ERI Scientific Beta, will be held
on December 20, 2016 at 5.00pm CET/11.00am EST. To register for this webinar,
please click here.
In addition to "Robustness of Smart Beta Strategies," two EDHEC Risk Institute
papers were "Highly Commended" in the Savvy Investor Awards 2016. "Factor
Investing and Risk Allocation: From Traditional to Alternative Risk Premia
Harvesting" was shortlisted in the "Best Alternative Investing Paper 2016" award
category and "Ten Misconceptions about Smart Beta" was also shortlisted in the
"Best Smart Beta Paper 2016" award category.
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As part of its policy of transferring know-how to the industry, EDHEC-Risk
Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original
initiative which aims to favour the adoption of the latest advances in smart
beta design and implementation by the whole investment industry. Its academic
origin provides the foundation for its strategy: offer, in the best economic
conditions possible, the smart beta solutions that are most proven
scientifically with full transparency of both the methods and the associated
risks.
ERI Scientific Beta, 1 George Street, #07-02, Singapore 049145. For further
information, please contact: contact(at)scientificbeta.com, Web:
www.scientificbeta.com.
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Press_release_best_smart_beta_paper_Savvy_Investor:
http://hugin.info/157174/R/2062943/774062.pdf
This announcement is distributed by Nasdaq Corporate Solutions on behalf of Nasdaq Corporate Solutions clients.
The issuer of this announcement warrants that they are solely responsible for the content, accuracy and originality of the information contained therein.
Source: EDHEC-Risk Institute via GlobeNewswire
Unternehmensinformation / Kurzprofil:
Datum: 08.12.2016 - 10:35 Uhr
Sprache: Deutsch
News-ID 511627
Anzahl Zeichen: 4226
contact information:
Town:
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Kategorie:
Business News
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""Robustness of Smart Beta Strategies" wins Best Smart Beta Paper award for 2016"
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