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  • EDHEC Research Insights: Autumn 2018 download

    White papers 19 November 2018

    In the latest Scientific Beta special issue of the Research Insights supplement to IPE, we first show that achieving robust exposure to long-term rewarded factors, good diversification of unrewarded risks, and high levels of investability are key requirements for adding value with factor indices.

  • IPE/EDHEC Research Insights: Spring 2018 download

    White papers 15 May 2018

    In this supplement, we document the hidden risks of priced risk factors in the equity space, assess the investability of smart beta equity strategies, review general insights from the literature on return estimation and factor models that are relevant for multi-factor portfolio construction…...

  • IPE/EDHEC-Risk Institute Research Insights: Autumn 2017 download

    White papers 2 November 2017

    This supplement covers the management of market risk in the design of factor indices, an investable long/short market-neutral multi-factor strategy, a leveraged beta one solution as a possible way to manage the exposure to the market factor, the merits of ‘top-down’ approaches compared to ‘bottom-up’ approaches, and the construction methodology of narrow high factor intensity smart factor indices, along with their performances as stand-alone indices.

  • IPE/EDHEC-Risk Institute Research Insights: Autumn 2016 weblink

    White papers 1 October 2016

    In this supplement, we clarify the conceptual underpinnings and the need for diversification in factor investing. We show that it is possible to reconcile environmental and financial objectives using low carbon indices. We analyse the benefits of multi-smart factor indices for emerging markets. On the subject of defensive solutions and indices, we look at the concepts underlying low risk equity strategies, introduce alternative approaches to limiting concentration in minimum and low ...

  • IPE/EDHEC-Risk Institute Research Insights: Autumn 2015 download

    White papers 30 September 2015

    We look at ‘quality’ investing and more specifically the role of two separate equity risk factors related to balance sheet characteristics: low investment and high profitability. We examine the nature of the relationship between the quality factor, or factors, and the value factor. We examine the robustness of the first generations of smart beta indices on the basis of live track records. We compare the results of smart factor indices with several stylised examples of concentrated factor ...

  • 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.

  • Scientific Beta Enhanced ESG Reporting – Supporting Incorporation of ESG Norms and Climate Change Issues in Investment Management weblink

    White papers 2 July 2019

    Introduced in July 2019, Scientific Beta’s Enhanced Environmental, Social and Governance (ESG) Reporting is intended to assist investors in meeting the challenges and seizing the opportunities of the incorporation of ESG dimensions into passive investment management.

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