Amundi unveils second Scientific Beta smart beta ETF

Jan 28th, 2016 | By | Category: Equities

Amundi ETF, a Paris-headquartered provider of exchange-traded funds, has unveiled plans to launch a second multi-strategy smart beta ETF, providing exposure to European large- and mid-cap equities.

Amundi launches innovative ETF providing multi smart beta exposure to European equities

Valerie Baudson, CEO at Amundi ETF.

The new ETF, to be launched on NYSE Euronext with cross-listings on other main European stock exchanges, draws upon multiple factor exposures and alternative weighting schemes in a bid to provide superior performance compared to conventional market cap-weighted offerings of the same universe.

The ETF will be linked to the Scientific Beta Extended Developed Europe Multi-Beta Multi-Strategy ERC Strategy Index, an index developed by Scientific Beta, a commercial indexing venture of France’s EDHEC-Risk Institute.

Valerie Baudson, CEO at Amundi ETF, Indexing and Smart Beta, said: “This innovative multi smart beta ETF strengthens our s-mart beta equity range following the success of Amundi’s Global Equity Multi Smart Allocation Scientific Beta UCITS ETF, launched in 2014. These two multi smart beta exposures reinforce our broad selection of mono-strategy ETFs, which already include minimum volatility, mid-cap, small-cap, growth, value, high dividend and buybacks. As we have observed the market’s increasing demand for smart beta solutions, this will be a key area of development for Amundi this year.”

The objective of the Scientific Beta Extended Developed Europe Multi-Beta Multi-Strategy Equal Risk Contribution (ERC) Index is to represent the performance of large- and medium-capitalisation companies from a universe of developed European countries while outperforming the capitalisation-weighted reference (the Scientific Beta Extended Developed Europe Cap-weighted Index for this universe), with a limited amount of relative risk against that reference.

This objective is implemented by combining four sub-portfolios designed to efficiently capture the long-run factor risk premia that have been documented to be associated with tilts towards Value, Size (Medium Capitalisation), Low Volatility, and (High) Momentum. Each of these smart-factor portfolios is built by first retaining half of the securities in the universe on the basis of their ranking according to a criterion associated with the desired tilt, and then applying a diversification approach (Multi-Strategy) that equally weighs five popular weighting schemes (Maximum Deconcentration, Maximum Decorrelation, Efficient Minimum Volatility, Efficient Maximum Sharpe Ratio, and Diversified Risk Weighted diversification strategies) so as to diversify both firm- and weighting-scheme-specific risks. Multi-factor allocation (Multi-Beta) adds a third level of diversification by smoothing imperfectly correlated factor cycles. The latter allocation is managed to equate the contribution of individual smart-factor portfolios to relative risk as represented by tracking error relative to the capitalisation-weighted reference.

The ETF will have a total expense ratio of 0.40%.

Tags: , , , , , , , ,

Leave a Comment