Scientific Beta

This rulebook covers the Market Beta Adjustment, Historical Volatility Adjustment, and Maximum Volatility Protection risk control options that act as an additional layer in the construction methodology of the strategy index.

Scientific Beta offers risk control options that act as an additional layer in the construction methodology of the strategy index. They aim to manage specific investment risk resulting from the choice of stock selection and weighting schemes in the construction of smart beta strategies.

Market Beta Adjustment enables investors to correct for the market beta bias of an underlying index by adjusting the market beta of the index to one.

Historical Volatility Adjustment aims to mitigate volatility fluctuations and seeks to maintain the index’s volatility near its long-term level.

Maximum Volatility Protection prevents the index volatility from exceeding a ceiling based on its long-term level.

For the calculation of the indices herein, this document comes in conjunction with the Scientific Beta Index Calculation Rules in particular the rules describing adjustments for corporate actions.