Scientific Beta

Scientific Beta is pleased to announce that its latest December 2023 special issue of the Research for Institutional Money Management supplement to Pensions & Investments has been published. Topics include sustainability alpha in the real world, the divergence of ESG scores, green dilution, the challenges of aligning net zero benchmarks and how they are addressed by the Scientific Beta CIC indices, targeting macroeconomic exposures in equity portfolios, measuring firm-level exposure to trade policy shifts, the importance of diversification for investors, effective factor investing in emerging markets, and how rewarded factors are continuing to drive risk and return.

Scientific Beta is pleased to announce that its latest December 2023 special issue of the Research for Institutional Money Management supplement to Pensions & Investments has been published.

In this edition, a first article uses exchange-traded funds to assess ESG investing, finding that it did not yield higher returns than standard index funds over the past decade. The supplement also examines the inconsistency of ESG scores among providers, with limited predictive power for future financial risks. It then quantifies the trade-off faced by "green" equity investors aiming to reduce carbon intensity and improve ESG scores. Additionally, it discusses conflicts between climate indexes meeting PAB requirements and guidelines from NZAOA and IIGCC. In further articles, it introduces firm-level measures of exposures to macroeconomic risks that allow portfolios with reliable out-of-sample exposures to be created, proposes a multi-dimensional risk exposure measure at the firm-level using information on the intensity of trade in its industry, corporate risk disclosures, and stock returns, looks at the recent outperformance of the largest US stocks, delves into a four-step investment process for factor portfolios in emerging markets and shows that rewarded factors are still a key driver of the risk and return dispersion of equity portfolios. 

The full list of articles may be found below:

• Sustainability Alpha in the Real World
• Can We Make ESG Scores Great Again?
• Green Dilution: How ESG Scores Conflict with Climate Investing
• The Letter and Spirit of Net Zero Benchmarks
• Targeting Macroeconomic Exposures in Equity Portfolios
• Globalization Risk in Equity Portfolios: Measuring Firm-Level Exposures to Enable Risk Management
• Why Diversification Still Matters for Investors
• Robustly Harvesting Factor Premia in the Emerging Markets
• Rewarded Factors are Still a Key Driver of the Risk and Return Dispersion of Equity Portfolios