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  • What Really Explains the Poor Performance of Factor Strategies over the Last 3 Years? download

    White papers 20 September 2019

    This publication shows that recent underperformance is not the result of a deterioration in factor performance, since it has been possible to offset negative performance for some factors through the good performance of other factors, but relates more to the implementation choices of the factor exposures than to the factors themselves. For instance, in the last 3 years, the non-control of market beta exposure in a bull market context has prevented factor indices from benefitting fully ...

  • Overview: Scientific Beta ESG Option – Upholding Global Norms and Protecting Multifactor Indices against ESG Risks weblink

    White papers 14 August 2019

    The incorporation of environmental, social and governance (ESG) dimensions into investment management has traditionally been associated with values-based and socially responsible investment (SRI), whose footprint in the investment management industry long remained relatively modest. However, assets managed with consideration of ESG dimensions have grown massively in the last 15 years, topping USD30 trillion in main markets by the beginning of 2018 (GSIA, 2019), and ESG incorporation ...

  • Scientific Beta Low Carbon Option – Supporting the Transition to a Low Carbon Economy and Protecting Multifactor Indices against Transition Risks download

    White papers 12 August 2019

    The Low Carbon fiduciary option applicable across Scientific Beta’s flagship offering allows ethical and socially responsible investors to dissociate from companies with significant coal involvement and further promote the transition to a low carbon economy by reorienting their investments towards less carbon-intensive activities and companies.

  • Tackling the Market Beta Gap: Taking Market Beta Risk into Account in Long-Only Multi-Factor Strategies download

    White papers 23 July 2019

    The paper argues that more attention ought to be paid to market exposure when conducting analyses of smart beta strategies and points out that most research proposing new multi-factor investment methodologies essentially ignores exposure to the market factor, which is the most consensual among all factors and often the most influential factor for a strategy.

  • IPE/EDHEC Research Insights – Spring 2019 download

    White papers 27 June 2019

    The supplement contains three contributions from Scientific Beta based on our recent white papers. Articles examine the risks of deviating from academically validated factors, present the framework behind Scientific Beta’s defensive offering and look at the importance of consistency in index methodology.

  • How to Reconcile Single Smart Factor Indices with Strong Factor Intensity download

    White papers 18 June 2019

    This paper presents the investment principles, design and performance of Scientific Beta’s single smart factor indices that reconcile strong exposure to the desired factor tilt and high factor intensity as well as better long-term risk-adjusted performance.

  • Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices download

    White papers 27 June 2016

    This paper reviews ten common but mistaken claims about smart beta and sheds light on the underlying issues.  Many of the misconceptions debunked in this paper correspond to overgeneralisations which fail to acknowledge that the term Smart Beta covers a vast variety of strategies with potentially very different properties.

  • Academic Lessons on Factor Investing download

    Asset Manager News 27 May 2016

    This paper analyses what academic research has to say on equity factors. Our objective is to understand which lessons we can learn from such research in terms of designing and evaluating factor indices. When analysing academic publications on equity factor investing, five important lessons emerge, which provide useful perspective on practical questions about factor indices.