Scientific Beta
The Scientific Beta Days Europe conference took place on 14 & 15 November, 2023 in Amsterdam, bringing together the investment community and Scientific Beta's team of researchers to discuss important topics in the fields of factor and climate investing. In a series of short videos from the event, Scientific Beta's researchers comment on their respective presentations.
The Scientific Beta Days Europe conference took place on 14 & 15 November, 2023 in Amsterdam, bringing together the investment community and Scientific Beta's team of researchers to discuss important topics in the fields of factor and climate investing. In a series of short videos from the event, Scientific Beta's researchers comment on their respective presentations.
Giovanni Bruno, PhD, Senior Quantitative Analyst at Scientific Beta, presented Scientific Beta's recent research on sustainability alpha in the real-world which finds that over the past decade, sustainable investing did not deliver higher returns than standard index funds and that widely commented periods of outperformance like 2020 can be explained in large part by industry effects.
Felix Goltz, PhD, Research Director at Scientific Beta, discusses factor investing innovation, one of the key topics that was addressed at the conference. He notably focuses on two aspects of innovation in factor investing, "fake" factors and risk management, together with the related issues.
He also presented new research on the construction of climate portfolios in the session on "green dilution" where he addressed the conflict that could arise for investors when adding ESG objectives to carbon reduction objectives in equity portfolios.
Ben Luyten, Senior Research Analyst at Scientific Beta, speaks about one of the challenges that investors are confronted with when constructing traditional risk factors, namely the use of composite factor scores that can lead to disappointing live performance, together with the issues involved, notably the risk of data snooping and an increased factor overlap.
Daniel Aguet, Deputy CEO and Index Director at Scientific Beta, presented a new methodology to manage sector risks in factor portfolios which is more robust than traditional sector neutrality approaches and relies on the use of industry risk factors such as supply chain and global demand to reduce relative risks and to preserve the factor characteristics of the portfolio.
Erik Christiansen, ESG and Low Carbon Specialist at Scientific Beta, explains the main points addressed during his presentation on climate transition risk in multi-factor portfolios which looked at how to measure the climate transition risks of companies but also their opportunities.