After leaving the Ballets Russes, Rubinstein formed her own dance company. She had inherited money, and she used it to commission several lavish productions. In 1911 she performed in "Le Martyre de Saint Sebastien". The creative team was Fokine (choreography); Bakst (design); and score by Debussy. This was a triumph for its stylized modernism, and a scandal. The Archbishop of Paris prohibited Catholics from attending because St. Sebastian was being played by a woman and a Jew.