Content (31)

  • Scientific Beta Core ESG Filter - A Consensus and Norms-Based ESG Investing Approach

    White papers

    Scientific Beta Core ESG Filter: A Consensus and Norms-Based ESG Investing Approach

    2020-07-17T09:11:00Z

    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.

  • Do we Need Active Management to Tackle Capacity Issues in Factor Investing?

    White papers

    Do we Need Active Management to Tackle Capacity Issues in Factor Investing?

    2020-06-22T15:07:00Z

    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:

  • ESG Engagement and Divestment - Mutually Exclusive or Mutually Reinforcing?

    White papers

    ESG Engagement and Divestment: Mutually Exclusive or Mutually Reinforcing?

    2020-05-28T16:04:00Z

    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.

  • Crowding Risk in Smart Beta Strategies

    White papers

    Crowding Risk in Smart Beta Strategies

    2020-04-27T12:50:00Z

    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.

  • Overview - Designing More Defensive Solutions - A new solution that really is low volatility

    White papers

    Overview: Designing More Defensive Solutions - A new solution that really is low volatility

    2020-04-20T15:03:00Z

    Defensive equity solutions are popular strategies because they provide better downside protection while also delivering good risk-adjusted returns, since they are exposed to the Low Volatility risk premium. However, traditional defensive solutions suffer from some clearly identifiable drawbacks, notably negative exposures to other rewarded factors or a lack of diversification. In this publication, Scientific Beta details its robust dynamic defensive solution.

  • Assessing the Robustness of Smart Beta Strategies

    White papers

    Overview: Assessing the Robustness of Smart Beta Strategies

    2020-03-31T09:15:00Z

    This is a detailed summary of the corresponding white paper that highlights the sources of a lack of robustness in the design of smart beta strategies and describes the methods employed by Scientific Beta to improve robustness. It also presents the protocol that Scientific Beta employs to measure robustness, through its four dimensions: conditional performance and risk analysis to various regimes; stability of performance and risk over time; robust statistical inference of the significance of a strategy’s outperformance; and out-of-sample testing to confirm robustness.

  • Assessing the Robustness of Smart Beta Strategies

    White papers

    Assessing the Robustness of Smart Beta Strategies

    2020-02-28T16:47:00Z

    The paper discusses why robustness is relevant for investors in smart beta strategies and describes the sources of deficiencies. It further explains the need for robustness checks in performance analysis of such strategies and the various methods by which Scientific Beta improves robustness. It also discusses measurements of robustness and the protocol that we employ internally to assess the robustness of newly developed strategies. This toolkit of tests is quite relevant to investors and can be used in their evaluation of smart beta strategies.

  • Intangible Capital and the Value Factor - Has Your Value Definition Just Expired?

    White papers

    Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?

    2020-02-27T08:03:00Z

    Many index providers claim that the book-to-price ratio is no longer a sufficient descriptor of the value factor, arguing that it has become outdated because reported book value ignores investments into intangible assets. As a solution, they propose including other valuation ratios, such as earnings-to-price, sales-to-price, cash flow-to-price or dividend yield. However, this solution overlooks a superior alternative: intangible capital can be estimated and added to the book value.

  • A critical appraisal of the TEG Final Report on climate benchmarks and benchmarks’ ESG disclosures and remedial proposals

    White papers

    Unsustainable Proposals: A critical appraisal of the TEG Final Report on climate benchmarks and benchmarks’ ESG disclosures and remedial proposals

    2020-02-24T10:47:00Z

    The 2019 update of the European Benchmark Regulation (Regulation (EU) 2019/2089, hereafter the “Regulation”) creates labels for Benchmarks that are on a decarbonisation trajectory or are aligned with the Paris Agreement under the United Nations Framework Convention on Climate Change (hereafter “Climate Benchmarks”). 

  • Improving Portfolio Diversification with Single Factor Indices

    White papers

    Improving Portfolio Diversification with Single Factor Indices

    2020-01-31T15:11:00Z

    To improve the robustness of their portfolio, asset owners can either exploit the imperfect correlation between risk factors and try to have a more balanced or deconcentrated allocation to them or try to improve conditional diversification by considering exposures of risk factors to macroeconomic regimes.

  • Improving Portfolio Diversification with Single Factor Indices

    White papers

    Overview: Improving Portfolio Diversification with Single Factor Indices

    2020-01-22T16:42:00Z

    The overview provides a detailed summary of the corresponding paper that discusses how to implement a completeness portfolio using different case studies and illustrates the impact that it can have on an asset owner’s existing portfolios.

  • EDHEC Research Insights Autumn 2019

    White papers

    IPE EDHEC Research Insights Autumn 2019

    2019-11-08T13:02:00Z

    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 solutions
    - Accounting for macroeconomic conditions in multi-factor allocation
    - Adding value with factor indices
    - Scientific Beta low carbon option
    - Scientific Beta ESG option
    - Scientific Beta enhanced ESG reporting