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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 ...

  • Assessing the Robustness of Smart Beta Strategies weblink

    White papers 25 March 2019

    There has been significant evidence that systematic equity investment strategies (so-called smart beta strategies) outperform cap-weighted benchmarks in the long run. However, it is important to recognise that performance analysis is typically conducted on backtests which apply the smart beta methodology to historical stock returns.

  • The Risks of Deviating from Academically-Validated Factors weblink

    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.

  • On the Importance of Taking Hidden Risks into Account for Factor Investing Webinar weblink

    White papers 17 January 2019

    Despite all the advantages smart beta strategies can offer to investors, it is important that they be aware of some of the implicit risks that they are subjected to. The decisions on selecting smart beta strategies are often based more on fees and recent performance rather than analysing risks. As a result, the risk implications of smart beta strategies - which often drive this recent performance - are not fully understood.

  • A Guide to Scientific Beta Multi-Smart Factor Indices weblink

    White papers 3 December 2018

    Smart Factor Indices and multi-beta indices provided by Scientific Beta are efficient and  highly flexible tools for the construction of equity portfolios. This document reviews  the conceptual groundings underpinning Scientific Beta’s index construction and reviews the empirical properties of the resulting indices.

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

    White papers 19 November 2018

    This research paper shows 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.

  • 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.

  • Misconceptions and Mis-selling in Smart Beta: Improving the Risk Conversation in the Smart Beta Space weblink

    White papers 15 May 2018

    Although gaining explicit exposure to priced risk factors is expected to provide good long-term risk-adjusted performance, investing in these very factors also exposes investors to a number of hidden or implicit risks that could be important drivers of short-term performance.

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

    White papers 15 May 2018

    This paper argues that more attention ought to be paid to market exposure when conducting analyses of smart beta strategies.

  • EDHEC Survey on Equity Factor Investing (EDHEC Risk Institute Publication) download

    White papers 1 November 2017

    In the past few years, equity factor investing has become increasingly popular among institutional investors and their managers. The goal of this survey is to learn and understand the interests and motivations for investing in these new forms of equity factor strategies.

  • Investability of Scientific Beta Indices weblink

    White papers 1 November 2017

    With the advent of smart beta equity indices, which represent alternatives to market-cap weighted indices, a major question on their investability has also been raised: at what cost will investors be able to trade the index constituents in the same proportions as the underlying strategy?

  • Scientific Beta Multi Smart Factor Indices: An Introduction weblink

    White papers 1 October 2017

    Smart Factor Indices and Multi-Beta Indices provided by Scientific Beta are efficient and highly flexible tools for the construction of equity portfolios. This document reviews the conceptual groundings underpinning Scientific Beta’s index construction and reviews the empirical properties of the resulting indices.

  • Why we do not Believe that Maximising Factor Intensity at Stock Level is a Robust Approach to Multi-Factor Investing weblink

    White papers 1 July 2017

    This paper contradicts a very popular intuition in the industry, according to which a robust and monotonic link exists between exposure to a factor and performance of a stock. It shows that what is true at the portfolio level is less so at the stock level. The paper clearly demonstrates that even though the risk premium appears in broad diversified portfolios, it disappears if we start accounting for differences at the stock level or create very narrow portfolios according to precise ...

  • Accounting for Cross-Factor Interactions in Multi-Factor Portfolios: the Case for Multi-Beta Multi-Strategy High Factor Intensity Indices weblink

    White papers 1 February 2017

    This white paper introduces Scientific Beta’s well-diversified “top-down” multi-factor approaches and compares them with “bottom-up” score-weighting approaches that target high factor intensity.

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