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ERI Scientific Beta extends the analytics capabilities of its smart beta index platform
ERI Scientific Beta has announced an expansion of the Scientific Beta platform's analytics capabilities, available with immediate effect from February 2017. Notably, within the context of ERI Scientific Beta's environmental initiatives, the carbon metrics, including both "Carbon Footprint" and "Carbon Intensity", have been extended to all indices built on the Developed and Extended Developed Europe universes and are available to platform users free of charge.
On this occasion, Professor Noël Amenc, CEO of ERI Scientific Beta, said, "This initiative is part of our contribution towards the fight against the effects of human activities on climate change. When we signed the United Nations-supported Principles for Responsible Investment (PRI) on September 27, 2016, we clearly expressed our desire to be one of the leaders in introducing environmental constraints into the investment industry. In December 2015, on the occasion of the Paris climate conference, we announced the launch of indices reconciling an objective of strongly reducing the carbon exposure of the investment while generating superior risk-adjusted return through a multi-factor approach. Today, we have almost USD 3 million in assets committed to this type of approach. By allowing all investors to assess the carbon intensity and carbon footprint of their smart beta investment, we hope that they will easily be able to integrate environmental constraints into their investment policy."
The analytics platform has also been enhanced to allow investors to avail of new functionality to analyse the Scientific Beta indices:
- The "Risk Factor Exposure" analytic, which shows the risk factor exposure to the cap-weighted market risk factor and the equal-weighted variants of the six common factors (size, value, momentum, volatility, investment and profitability), now also reports the "Factor Intensity," which is a measure of aggregate factor exposure to the rewarded risk factors.
- The "Fundamentals" attributes now additionally report "Gross Profitability", defined as the weighted average of the Gross Profitability of the constituents, and "Total Asset Growth" metrics, defined as the weighted average of the Total Asset Growth of the constituents.
- Finally, a new analytic, the "Score Factor Exposure", allows investors to avail of analytics dedicated to the factor score, consistent with the scoring used in the various construction phases of the Scientific Beta indices. The analytic displays the six relative factor scores and relative score intensity for the strategy index, its beta cap-weighted reference (where applicable) and its broad cap-weighted reference.
Scientific Beta Analytics enable users to analyse the performance and risks of ERI Scientific Beta's wide range of indices. The functionalities enable the performance and risks to be measured in both absolute and relative terms and also allow the user to qualify the risk-adjusted performance. The analytics provide numerous features enabling the geographic and sector exposures and the origin of the performance (performance attribution) to be identified. They also enable the factor exposure, as well as the fundamental metrics associated with each index, to be analysed.
As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.
ERI Scientific Beta, 1 George Street, #07-02, Singapore 049145. For further information, please contact: [email protected], Web: www.scientificbeta.com.
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