Scientific Beta Newsletter
"More for Less": A different actor in the indexing industry | |
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Quarterly, Issue 24, January/February 2019 |
| A More Robust Defensive Offering |
| Scientific Beta has designed a defensive offering in answer to investors' needs for a reduction in volatility compared to the cap-weighted index, as well as a protection of capital in bear markets. This is achieved through the Smart Beta 2.0 construction framework, which first selects stocks with low volatility, then applies a High-Factor-Intensity (HFI) filter to remove stocks with the lowest multi-factor scores, and finally diversifies away idiosyncratic risks with a diversified weighting scheme. This approach delivers high factor intensity and good long-term risk-adjusted performance, since it harvests the Low Volatility factor which is known to provide an additional source of performance to the cap-weighted index over the long-term, while maintaining positive exposures to other rewarded risk factors through the use of the HFI filter. Moreover, the Scientific Beta top-down approach gives investors the flexibility to select the solution that best fits with their investment objectives by offering three different versions of defensive indices. More... |
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Contents |
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| Towards Cost Transparency: Estimating Transaction Costs for Smart Beta Strategies |
| This article uses cost estimates to measure the net outperformance of investable smart beta indices in different regional markets with different levels of liquidity. It also draws on cost estimates to analyse the main drivers of transaction costs. More... |
| Measuring Factor Exposure Better to Manage Factor Allocation Better |
 A webinar, held in November 2018, presenting the issues related to factor risk measurement and showing how these can be countered. More... |
| Managing Sector Risk in Factor Investing |
 A webinar, broadcast in December 2018, explaining the benefits of applying sector neutrality and reviewing the sector risk control option offered to investors by Scientific Beta. More... |
| Noël Amenc, CEO, Scientific Beta, winner of the "Indexing Firm of the Year 2019" Risk Award
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| Noël Amenc, CEO of Scientific Beta, provides his thoughts following the recent presentation of the prestigious Risk Award for "Indexing Firm of the Year 2019" to Scientific Beta, highlights the importance of risk management in the factor space and discusses the organisation's current situation and future projects. More... |
| Updates on the Partnerships and Licences Established with Industry Participants to Replicate Scientific Beta Indices
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| A focus on Legal & General Investment Management and the LGIM Diversified Multi-Factor Equity Fund backed by Scientific Beta indices. More... |
| Latest Performance Data for the Scientific Beta Indices
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| Performance data for Scientific Beta single and multi smart factor indices over different time periods as of 31 December, 2018. More... |
| Documents authored by Scientific Beta, featuring research in the field of smart beta or on related topics. |
Measuring Factor Exposure Better to Manage Factor Allocation Better: A Critical Approach to Popular Factor Box Initiatives
October 2018 |
| This paper presents two contributions on the subject of factor measurement that question first the choice of factor menu and factor proxies that are supposed to represent, and above all to standardise, the measurement of a portfolio's factor exposure, and second the way in which the measurement of factor proxies is implemented. More... |
Investability of Scientific Beta Indices
December 2018 |
| The objective of this paper is to describe how Scientific Beta ensures the investability of its indices with the use of turnover controls and liquidity constraints, as well as to present the resulting turnover and liquidity measures of these very indices. More... |
| Supplements in Partnership with Industry Publications |
P&I Research for Institutional Money Management
December 2018 |
| A Scientific Beta special issue, notably containing articles on managing the impact of sector risk on the performance of smart factor indices, the link between economic states and factor risk premia and the consequences for managing macroeconomic risks, OPTrust's approach to factor investing from a total portfolio construction perspective using balanced exposures across different risk factors including macro and style factors, and factor exposure mismeasurement in score-based analytics tools. More... |
| The latest news about Scientific Beta and its activities. |
| Scientific Beta Named "Indexing Firm of the Year 2019" at the Annual Risk Awards |
| Scientific Beta is pleased to announce that it has won the prestigious Risk Award for "Indexing Firm of the Year 2019" at the annual awards ceremony held at The Brewery in London on November 27, 2018. More... |
| Scientific Beta ESG Filter Allowed Renault, Nissan and Mitsubishi to be Excluded from ESG Indices |
| While encouraging better corporate practices in ESG matters, the indices in the SciBeta Desjardins Responsible Investing family also exclude companies that are involved in controversial activities or in critical controversies with respect to principles of responsible business conduct. More... |
| Assets Replicating Scientific Beta's Multi-Factor Indices Reach A New Record |
| Scientific Beta has announced that assets tracking its smart beta indices reached $43bn as of December 31, 2018 which represents growth of 72% in one year. Compared to December 31, 2017, this represents a progression of $18bn. More... |
| As smart beta is a new frontier for the investment industry, research and education on this subject are a core part of Scientific Beta's strategy. |
EDHEC Scientific Beta Days Europe 2019
10-11 October, 2019 – The Barbizon Palace, Amsterdam, Netherlands |
EDHEC Scientific Beta Days North America 2019
24-25 October, 2019 – The Ritz Carlton, Boston, United States |
| These annual, two-day conferences will present the asset owner and financial advisory communities with the latest conceptual advances and research results in smart beta investing, enabling their implications and applications to be discussed with researchers who combine expertise of advanced financial techniques with a sound awareness of their industry relevance. The events will include multiple plenary sessions, workshops and practical sessions allowing professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to advances in research. More... |
EDHEC Smart Beta Day Germany 2019
4 June, 2019 – Sheraton Frankfurt Airport Hotel and Conference Center, Frankfurt, Germany |
| The conference will examine the following topics: Are the benefits of factor investing victims of their success?; Taking non-factor risks into account in the construction of multi-factor strategies; Can we rely on scores to measure factor exposures?; Limitations of integrated ESG approaches; What are the macroeconomic risks of factor strategies?; How do we modify the factor exposure of a core portfolio? A number of presentations at the event will be held in German. More... |
Exposed to Nonsense? Spurious Factors in Popular Investment Tools
21 March, 2019 – 3.00pm GMT |
| This IPE webcast, hosted by Scientific Beta, will contrast factor definitions used in analytic tools offered to investors and compare them with the standard academic factors. It will also outline why the methodologies used in popular tools pose a high risk of ending up with irrelevant factors. More... |
| A selection of articles published in the international business or specialised press featuring Scientific Beta and its research. |
| November 2018-January 2019 |
- "Scientific Beta appoints director of partnerships, strategic ops", Money Management (16/01/2019). More...
- "Index provider of the year: ERI Scientific Beta", Risk.net (27/11/2018). More...
- "ERI Scientific Beta excludes three companies", Money Management (23/11/2018). More...
- "Aon unveils multi-factor index", Funds Europe (20/11/2018). More...
- "Brunel Pension Partnership makes GBP1bn investment in fund backed by Scientific Beta Indices", Institutional Asset Manager (13/11/2018). More...
- "ERI Scientific Beta raises alarm over popular factor analysis tools", IPE (06/11/2018). More...
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Investment Solutions and Product Specialist – London or Boston
Senior Quantitative Analyst – Nice or London
Quantitative Equity Analyst – Singapore |
| As part of its international development programme and in order to strengthen its equity index development activity, the EDHEC group, one of Europe's leading research and teaching institutions, is recruiting for a number of positions at Scientific Beta in London, Boston, Singapore and Nice. More... |
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