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  • Scientific Beta

    A More Robust Defensive Offering

    A More Robust Defensive Offering

    Defensive strategies have been popular for many decades. In addition to providing protection in bear markets, they deliver higher risk-adjusted performance than cap-weighted indices over the long-term.

  • Scientific Beta 

    Academic Lessons on Factor Investing

    Academic Lessons on Factor Investing

    This paper analyses what academic research has to say on equity factors. Our objective is to understand which lessons we can learn from such research in terms of designing and evaluating factor indices. When analysing academic publications on equity factor investing, five important lessons emerge, which provide useful perspective on practical questions about factor indices.

  • cross factor interactions in multi factor portfolios screenshot

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

    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.

  • ERI Scientific Beta

    accounting for cross factor interactions in multifactor portfolios

    Accounting for Cross-Factor Interactions in Multifactor Portfolios without Sacrificing Diversification and Risk Control (Special Issue 2017, Journal of Portfolio Management)

    This article compares different approaches for constructing multifactor equity portfolios: bottom-up score-weighting approaches that target high-factor intensity and top-down approaches that also consider diversification objectives.

  • ERI Scientific Beta

    adding value with factor indices

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

    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.

  • ERI Scientific Beta

    diversified or concentrated factor tilts

    Diversified or Concentrated Factor Tilts? (Winter 2016, Journal of Portfolio Management)

    This article compares two approaches to single-factor index design: concentrated and diversified indices, and emphasises several issues with highly concentrated portfolios.

  • ERI Scientific Beta

    edhec research insights autumn 2018

    EDHEC Research Insights: Autumn 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.

  • ERI Scientific Beta

    edhec survey on equity factor investing

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

    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.

  • Global Research and Investment Solutions Director

    Eric Shirbini

    Eric Shirbini

    Eric Shirbini, PhD, is Global Research and Investment Solutions Director with Scientific Beta. Prior to joining EDHEC-Risk Institute, Eric Shirbini was a quantitative analyst at UBS, BNP Paribas and Nomura International.

  • Business Development Director

    Erik Christiansen

    Erik Christiansen

    Erik Christiansen, CFA is Business Development Director, Europe with Scientific Beta.

  • Head of Research

    Felix Goltz

    Felix Goltz

    Felix Goltz, PhD is member of the Scientific Beta management board and head of research.

  • Business Development Director, Asia ex-Japan and the Middle East

    Frédéric Ducoulombier

    Frédéric Ducoulombier

    Frédéric Ducoulombier is Business Development Director, Asia ex-Japan and the Middle East with Scientific Beta and is a member of the Scientific Beta Executive Committee and Corporate Director of Scientific Beta.

  • Scientific Beta 

    How to Reconcile Single Smart Factor Indices with Strong Factor Intensity

    How to Reconcile Single Smart Factor Indices with Strong Factor Intensity

    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.

  • ERI EDHEC SCIENTIFIC BETA

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

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

    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.

  • investability of scientific beta indices nov 2017

    Investability of Scientific Beta Indices

    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 

    IPE/EDHEC Research Insights – Spring 2019

    IPE/EDHEC Research Insights – Spring 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.

  • ERI Scientific Beta EDHEC

    ipe edhec research insights spring 2018

    IPE/EDHEC Research Insights: Spring 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 2015

    IPE/EDHEC-Risk Institute Research Insights: Autumn 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 ...

  • ipe edhec risk institute research insights aut 2016 screenshot

    IPE/EDHEC-Risk Institute Research Insights: Autumn 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 ...

  • ERI Scientific Beta

    edhec research insights autumn 2017 thumbnail

    IPE/EDHEC-Risk Institute Research Insights: Autumn 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.

  • ERI Scientific Beta

    long term rewarded equity factors

    Long-Term Rewarded Equity Factors: What Can Investors Learn from Academic Research? (Fall 2016, Journal of Index Investing)

    This paper analyses what academic research has to say on equity factors to understand what lessons can be learnt in terms of designing and evaluating factor indices.

  • ERI Scientific Beta EDHEC

    managing sector risk in factor investing

    Managing Sector Risk in Factor Investing

    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.

  • Business Development Director

    Marc Zieger

    Marc Zieger

    Marc Zieger is Business Development Director, North America with Scientific Beta.

  • ERI Scientific Beta

    measuring factor exposure better to manage factor allocation better

    Measuring Factor Exposure Better to Manage Factor Allocation Better

    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.

  • ERI Scientific Beta EDHEC

    misconceptions and mis selling in smart beta improving the risk conversation in the smart beta space

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

    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.

  • Head of Client Services

    Mélanie Ruiz

    Mélanie Ruiz

    Mélanie Ruiz is member of the Scientific Beta management board and head of client services.

  • CEO

    Noël Amenc

    Noël Amenc

    Noël Amenc, PhD, is a member of the Scientific Beta management board and CEO.

  • Head of Production

    Patrice Retkowsky

    Patrice Retkowsky

    Patrice Retkowsky is member of the Scientific Beta management board and head of production.

  • Business Development Director, Japan

    Paul Hoff

    Paul Hoff

    Paul Hoff is Business Development Director, Japan with Scientific Beta. He heads the Japan office and is responsible for representing Scientific Beta across the archipelago.

  • Head of Marketing & Communications

    Peter O’Kelly

    Peter O’Kelly

    Peter O’Kelly is member of the Scientific Beta management board and head of marketing and communications.

  • Scientific Beta

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

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

    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.

  • scientific beta multi smart factor indices an introduction oct 2017

    Scientific Beta Multi Smart Factor Indices: An Introduction

    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.

  • ERI Scientific Beta

    smart beta is not monkey business

    Smart Beta Is Not Monkey Business (Spring 2016, Journal of Index Investing)

    This article refutes the “monkey portfolio” arguments whereby all smart beta strategies generate positive value and small-cap exposure which fully explains their outperformance and that similar results are obtained by any random portfolio strategy including the inverse of such strategies.

  • ERI Scientific Beta EDHEC

    tackling the market beta gap taking market beta risk into account in long only multi factor strategies

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

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

  • Scientific Beta 

    Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices

    Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices

    This paper reviews ten common but mistaken claims about smart beta and sheds light on the underlying issues.  Many of the misconceptions debunked in this paper correspond to overgeneralisations which fail to acknowledge that the term Smart Beta covers a vast variety of strategies with potentially very different properties.

  • scientific beta

    The Risks of Deviating from Academically-Validated Factors

    The Risks of Deviating from Academically-Validated Factors

    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.

  • Scientific beta

    Towards Cost Transparency: Estimating Transaction Costs for Smart Beta Strategies

    Towards Cost Transparency: Estimating Transaction Costs for Smart Beta Strategies

    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.

  • why we do not believe that maximising factor intensity at stock level is a robust approach to multi factor investing

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

    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 ...

Head Office
1 George Street
#15-02
049145
Singapore
Contact
Séverine Cibelly Tel. +33 493 187 863
Company website:
http://www.scientificbeta.com
Parent Company:
EDHEC-Risk Institute
Year Founded:
2012

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What’s new

  • edhec research insights autumn 2018

    EDHEC Research Insights: Autumn 2018

    White papersMon, 19 Nov 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

    IPE/EDHEC Research Insights: Spring 2018

    White papersTue, 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…

  • edhec research insights autumn 2017 thumbnail

    IPE/EDHEC-Risk Institute Research Insights: Autumn 2017

    White papersThu, 2 Nov 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 aut 2016 screenshot

    IPE/EDHEC-Risk Institute Research Insights: Autumn 2016

    White papersSat, 1 Oct 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

    IPE/EDHEC-Risk Institute Research Insights: Autumn 2015

    White papersWed, 30 Sep 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 ...

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