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Throughout his career, Noël Amenc has championed the incorporation of academic research into the decision-making of finance professionals and regulators. Having set up the Edhec Risk Institute in 2001, today he is chief executive of ERI Scientific Beta, the institute’s initiative to put its research on smart beta into practice. We spoke to him to find out his views on the state of the smart beta industry today and what the future may bring.
“My career has been entirely devoted to connecting academic theory and financial industry practices. In 2001, when I was still research & development director with Misys Asset Management Systems, I set up EDHEC Risk Institute within EDHEC Business School in order to promote the results of asset management research to investment professionals. I felt that academic research was not being taken seriously enough by the investment industry, whether it concerned the benefits of diversification approaches by introducing alternative beta, or the dynamic management of ALM risks.”
‘‘My interventions with regulators and monetary authorities come from this same logic of building a bridge between academia and practitioners. For many years I was a member of both the scientific committee of the AMF (the French financial market authority) and of the European Securities and Markets Authority’s Consultative Working Group for Financial Innovation, and my aim was always to ensure that regulators take the results of academic research into account in their proposed regulation. They should not, by contrast, act solely according to event-related emotions or commonly-held ideas that are scientifically erroneous, such as taxing financial transactions or limiting short selling in order to combat excessive market volatility.’’
‘‘It was this same desire to facilitate practitioners’ adoption of best practices based on academic research that led me, when I was director of EDHEC Risk Institute, to set up ERI Scientific Beta, the smart beta index activity that I manage today.“EDHEC has entered the smart beta index arena.
“EDHEC Business School is a nonprofit academic organisation. Its research activities therefore do not have the objective of creating a profitable business, since it has no shareholders to whom it owes a return on investment. Instead, through our research we aim to improve the reputation of the school by highlighting what our DNA is and what is distinctive compared to our competitors: namely, the capacity of our students to implement the best know-how and expertise in management and, more specifically, in finance, in which our international ranking is very high.’’
‘‘Ultimately, what is at stake with our Scientific Beta activity is our reputation, not our revenues. This focus on reputation means that we take very seriously the risk that mis-selling or a lack of scientific rigor, not only in our offering, but also in what we say to promote it, could have on how we are seen. We do not want to sell what we do not believe in, even if the client or the market is asking for it! That is probably what distinguishes us from other smart beta index providers, who were often originally data providers and calculators. They may be prepared to produce fashionable indices, in a very serious manner, without really worrying about whether the indices correspond with academic consensus or, at the very least, with a consistent framework of research results.’’
‘‘I am often appalled that the same research director, a few years apart, promotes inconsistent approaches for factor investing by referring each time to a research paper that he considers to be definitive! We feel that this sample dependency of the methods and concepts promoted is inconsistent with robust performance from the indices being offered.” You recently published a white paper that discusses ten misconceptions about smart beta indices.
‘‘We wanted to perform a serious critical analysis of popular ideas among investors on the subject of smart beta that do not hold up when confronted with the facts and results of more than 60 years of research into asset pricing and modern portfolio theory.’’
‘‘I can understand, that some providers with very poor long-term live performance, because their index is based on fundamental weighting or selection criteria that are not supported by any serious research want to keep their clients. But is that a reason to speak of rebalancing effects or mean reversion when these themes correspond to situations that have nothing to do with the construction logic of a value index? These ‘abuses of concept’ are ultimately harmful to the good management of investment risks.”
“I think that smart beta is a new term for subjects that are fairly mature in the academic world, where beta is the long-term ingredient in performance and alpha is an anomaly that results at best from a highly transitory inefficiency and at worst from poor measurement of the risk factors to which portfolios are exposed.’’
‘‘Smart beta is not a source of alpha but an efficient way of exposing investors to sources of risk that are well rewarded over the long term while reducing the unrewarded sources of specific risk through diversification. If smart beta providers take this into consideration, then smart beta will become the core of institutional investment management, especially in equities. It would be natural for it to replace cap-weighted indices that are poorly diversified and exposed to poorly rewarded factors.”
“I think that active managers have to adapt to the irresistible advance of smart beta. The risk is that in order to justify higher fees than for passive investment, they may transform simple and robust approaches such as those recommended by asset pricing research into sophisticated methodologies oriented towards the search for inefficiencies.’’
‘‘These approaches will transform, for example, factor investing into a new form of stock picking, with all the risks of out-of-sample robustness of this type of approach. When the main motivation for investors who adopt smart beta is to find a solution to the lack of persistence of alpha, it would be a shame if this lack of persistence were then to be found in the new forms of beta due to an attempt to produce abnormal in-sample performance.”