"Robustness of Smart Beta Strategies" wins Best Smart Beta Paper award for 2016

NICE, France, Dec. 08, 2016 -- 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.

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: [email protected], Web: www.scientificbeta.com.

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