EDHEC Business School

Scientific Beta survey shows that most investors do not believe in ESG outperformance

Retrieved on: 
Tuesday, November 9, 2021

The white paper questions the popular belief that ESG strategies generate outperformance and shows that the ESG alpha disappears when adjusting for industry and factor exposures.

Key Points: 
  • The white paper questions the popular belief that ESG strategies generate outperformance and shows that the ESG alpha disappears when adjusting for industry and factor exposures.
  • The Scientific Beta survey can be accessed through the link below:
    "Honey, I Shrunk the ESG Alpha: Reactions of Investment Professionals, Scientific Beta Publication, November 2021
    Scientific Beta aims to be the first provider of a smart factor and ESG/climate index platform to help investors understand and invest in advanced factor and ESG/climate equity strategies.
  • Since 2015, Scientific Beta has also been offering highly advanced strategies in the area of ESG and climate change, whether involving options integrated into smart beta indices or pure ESG or climate benchmarks.
  • As a complement to its own research, Scientific Beta supports an important research initiative developed by EDHEC on ESG and climate investing and cooperates with V.E and ISS ESG for the construction of its ESG and climate indices.

Scientific Beta welcomes updated TCFD guidance and renews criticism of EU Climate Transition and Paris-Aligned Benchmark Regulation

Retrieved on: 
Thursday, October 21, 2021

First, the TCFD reaffirms Weighted Average Carbon Intensity as recommended disclosure2 for funds, products and strategies (while also requiring the disclosure of financed emissions, where possible).

Key Points: 
  • First, the TCFD reaffirms Weighted Average Carbon Intensity as recommended disclosure2 for funds, products and strategies (while also requiring the disclosure of financed emissions, where possible).
  • While not perfect, revenues-based carbon intensity, as endorsed by the TCFD since 2017, is a superior metric for these applications., he adds.
  • On January 31, 2020, Singapore Exchange (SGX) acquired a majority stake in Scientific Beta.
  • Since 2015, Scientific Beta has also been offering highly advanced strategies in the area of ESG and climate change, whether involving options integrated into smart beta indices or pure ESG or climate benchmarks.

Scientific Beta white paper examines crowding risk of smart beta strategies

Retrieved on: 
Tuesday, May 12, 2020

In a new white paper entitled "Crowding Risk in Smart Beta Strategies," Scientific Beta's researchers have failed to find evidence that smart beta strategies have been adversely affected by a crowding effect.

Key Points: 
  • In a new white paper entitled "Crowding Risk in Smart Beta Strategies," Scientific Beta's researchers have failed to find evidence that smart beta strategies have been adversely affected by a crowding effect.
  • As smart beta strategies gain in popularity, there are concerns that flows into these strategies will ultimately cancel out their benefits.
  • Moreover, precautions against crowding risks can be taken by proper implementation of factor investing and smart beta indices.
  • The Scientific Beta white paper can be accessed through the link below:
    Crowding Risk in Smart Beta Strategies, April 2020, Scientific Beta Publication
    As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up Scientific Beta.

EDHEC-Scientific Beta Research Chair Publication Questions the Existence of a "Green" Factor

Retrieved on: 
Tuesday, January 21, 2020

A new publication from the EDHEC-Scientific Beta "Advanced Factor & ESG Investing" research chair, entitled " The DeCarbonisation Factor: A New Academic Fiction?

Key Points: 
  • A new publication from the EDHEC-Scientific Beta "Advanced Factor & ESG Investing" research chair, entitled " The DeCarbonisation Factor: A New Academic Fiction?
  • ", by Abraham Lioui, Professor of Finance at EDHEC Business School and member of the EDHEC-Scientific Beta Research Chair, examines two recent papers, Cheema-Fox et al.
  • The EDHEC-Scientific Beta research chair publication argues that these studies do not in fact shed enough light on the issue to draw any conclusions and suffer from strong methodological limitations.
  • Commenting on the publication, Professor Nol Amenc, CEO of Scientific Beta, said, "What is at stake with climate change goes beyond the existence or otherwise of a factor.

Scientific Beta study shows that conclusions in Robeco researchers' paper are erroneous

Retrieved on: 
Tuesday, November 26, 2019

A new white paper from Scientific Beta, entitled " Do We Need Active Management to Tackle Capacity Issues in Factor Investing?

Key Points: 
  • A new white paper from Scientific Beta, entitled " Do We Need Active Management to Tackle Capacity Issues in Factor Investing?
  • Empirical analysis of Scientific Beta factor indices shows that they avoid capacity problems, and price impact around rebalancing is zero (see the study " Do Factor Indices Suffer from Price Effects around Index Rebalancing?
  • The Scientific Beta white paper can be accessed through the link below:
    Do We Need Active Management to Tackle Capacity Issues in Factor Investing?
  • Exposing Flaws in the Analysis of Blitz and Marchesini (2019), Scientific Beta Publication, November 2019
    As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up Scientific Beta.

Scientific Beta publication tackles the poor recent performance of factor strategies

Retrieved on: 
Tuesday, November 5, 2019

A new white paper from Scientific Beta, entitled What Really Explains the Poor Performance of Factor Strategies over the Last 3 Years?

Key Points: 
  • A new white paper from Scientific Beta, entitled What Really Explains the Poor Performance of Factor Strategies over the Last 3 Years?
  • It is this poor market conditionality rather than the variations in factor returns that explains the disappointing performance of long-only factor offerings over this period.
  • The Scientific Beta white paper can be accessed through the link below:
    What Really Explains the Poor Performance of Factor Strategies over the Last 3 Years?
  • Scientific Beta Publication, September 2019
    As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up Scientific Beta.