Scientific Beta

Scientific Beta Factor Analytics Services (SB FAS) is a new, innovative service offered to asset owners who wish to improve the diversification of their equity allocation. SB FAS is part of a new factor investing process, which, instead of ignoring the existing portfolio investments and considering each new investment as a standalone, offers a completeness or portfolio overlay approach. Before investing with or even replacing a manager, investors can check their existing factor exposures and evaluate whether they are obtaining a proper reward for their capital in line with the risks taken.

Before investing with or even replacing a manager, investors can check their existing factor exposures and evaluate whether they are obtaining a proper reward for their capital in line with the risks taken.

As a complement to a performance and risk analysis, SB FAS also offers an analysis of the robustness of the investor's current portfolio. This robustness protocol covers six important dimensions of robustness assessment namely:

Factor exposure with particular attention to the portfolio’s factor exposure quality, i.e. the combination of factor strength and factor diversification;
Conditional performance;
Extreme risk assessment;
Stability of performance;
Robust inference for risk-adjusted return differences; and
Out-of-sample testing.

It gives investors the opportunity to measure the robustness of their investment strategy directly using appropriate tools and metrics in order to cross-check whether its behaviour is consistent with its stated objective.