Content (37)
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White papersScoring Against ESG? Avoiding the Pitfalls of ESG Scores in Portfolio Construction
This paper highlights the danger of using average overall scores at the portfolio level, whether for investment or reporting decisions.
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White papers
IPE EDHEC Research Insights Autumn 2020
This Scientific Beta special issue of the Research Insights supplement to IPE contains articles on
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White papers
Understanding the Importance of Scope 3 Emissions and the Implications of Data Limitations
In this publication, we discuss the need to account for Scope 3 emissions, the state of reporting, data provider estimation, and implications for investors.
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Carbon Intensity Bumps on the Way to Net Zero
The European Benchmark Regulation has recently mandated the use of enterprise value for normalisation. Partial recognition of data issues and biases plaguing enterprise value led the regulator to reintegrate cash in its definition and adopt an alternative metric for private companies the latter introducing consistency and transparency issues across benchmarks.
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A Critical Appraisal of Recent EU Regulatory Developments Pertaining to Climate Indices and Sustainability Disclosures for Passive Investment
This paper examines the European Union Benchmark Regulation (BMR) which introduces expensive ESG disclosures that do more to advance the interests of ESG data and services providers than sustainability.
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Reconciling Financial and Non-Financial Performance
The performance of cap-weighted indices suffers from a high concentration, negative exposure to long-term-rewarded risk factors and does not take account of ESG or Low Carbon objectives.
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Overview: Scientific Beta Low Carbon Option – Supporting the Transition to a Low Carbon Economy and Protecting Multifactor Indices against Transition Risks
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.
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Overview: Scientific Beta ESG Option – Upholding Global Norms and Protecting Multifactor Indices against ESG Risks
This paper presents the Environmental, Social and Governance (ESG) fiduciary option available for application to Scientific Beta’s flagship offering and documents its impact with respect both to exposure to activities and behaviours that contravene global norms or their objectives and to financial risks and performances.
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Scientific Beta Core ESG Filter: A Consensus and Norms-Based ESG Investing Approach
This paper describes, justifies and analyses Scientific Beta’s Core ESG Filter that reflects the most consensus screening criteria applied by investors and is grounded in global norms. The Core ESG Filter completely removes non-compliant stocks from the investable universe. Scientific Beta then provides two sources of financial value-added by seeking exposure to well-rewarded factors and the diversification of unrewarded specific risk within the filtered universe.
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Do we Need Active Management to Tackle Capacity Issues in Factor Investing?
This paper shows that the claims by Blitz and Marchesini (2019), who question the investability of factor indices and argue that active management is needed to avoid capacity issues, do not hold for the following reasons:
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ESG Engagement and Divestment: Mutually Exclusive or Mutually Reinforcing?
What motivates equity ESG investment strategies is the ability to influence the behaviour of companies through the portfolio decisions that they lead to. To this end, it is often argued that an investor who is dissatisfied with a company’s ESG behaviour, and who wishes to remedy the situation, needs to stay on as its shareholder and engage with it.
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Crowding Risk in Smart Beta Strategies
A recurring criticism of smart beta strategies is the presumption of a risk of “crowding”. It is frequently pointed to as a potential risk but is rarely formalised or even defined.
