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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 Research Insights Spring 2019 download

    White papers 8 November 2019

    This issue of the EDHEC Research Insights supplement to Investment & Pensions Europe includes three contributions from Scientific Beta. In the first article, we look at the use of academically grounded factors in investment practice.

  • IPE EDHEC Research Insights Autumn 2019 download

    White papers 8 November 2019

    This Scientific Beta special issue of the Research Insights supplement to IPE contains articles on:- Do factor indices suffer from price effects around index rebalancing?- Explaining the poor performance of factor strategies over the last three years- Does the size factor still have its place in multi-factor portfolios?- Single factor indices with strong factor intensity- Portfolio completeness with single factor indices- Designing more defensive ...

  • Overview: Designing More Defensive Solution download

    White papers 25 October 2019

    At Scientific Beta, we strongly believe that investors are unique and have different investment objectives and constraints. This is why we offer them three different defensive indices that address the needs of various investments.

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

    White papers 25 October 2019

    This document is a detailed summary of the corresponding white paper presenting 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.

  • 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 ...

  • Overview 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.

  • Does the Size Factor Still Have its Place in Multi-Factor Portfolios? download

    White papers 25 July 2019

    This paper focuses on the cost or benefit of removing the Size factor from the menu of factors, also comparing the results to the consequences of removing other factors, and concludes that the Size factor is not an obvious candidate for exclusion from a factor menu.

  • 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.

  • 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.

  • Towards Cost Transparency: Estimating Transaction Costs for Smart Beta Strategies weblink

    White papers 29 April 2019

    One of the topics that is often the subject of animated discussion between passive investment management professionals and investors is the slippage between the performance displayed by smart beta indices and the performance that is obtained from replication.

  • The Risks of Deviating from Academically-Validated Factors download

    White papers 25 March 2019

    Factor investing has never been as popular as it is today. However, with the propagation of this type of investment approach, the equity space is becoming increasingly saturated with more and more factors that are ever more removed from academically-grounded research.

  • Inconsistent Factor Indices: What are the Risks of Index Changes? weblink

    White papers 25 March 2019

    Frequent changes in index methodology is quite a common occurrence in the smart beta industry. While it often stems from index providers’ desire to innovate, it sometimes creates inconsistencies between different product offerings across time.

  • Adding Value with Factor Indices: Sound Design Choices and Explicit Risk-Control Options Matter weblink

    White papers 19 November 2018

    Too often, the usefulness of factor strategies is evaluated on the sole basis of explicit factor exposure. Now, in a long-only universe, factor choices have consequences on other risk exposures and even on investability.

  • Measuring Factor Exposure Better to Manage Factor Allocation Better weblink

    White papers 19 November 2018

    Since allocating to factors implies that one knows how to identify them and how to measure a portfolio’s exposures to them, we examine factor definitions used in analytic tools offered to investors and contrast them with the standard academic factors.

  • Managing Sector Risk in Factor Investing weblink

    White papers 10 September 2018

    Sector risk is an implicit bet investors take when investing in Smart Factor indices. Even if it is not a priced risk factor in the cross-section of expected returns, sector risk can nevertheless have a material impact on short-term performance.

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