Among the highlights of the September 2016 monthly performance report for the ERI Scientific Beta indices:
- This quarter, ending September 30, 2016, the best performing index in the Developed World universe among smart factor indices is the SciBeta Developed Value Diversified Multi-Strategy index with a relative return of 0.50% compared to the broad cap-weighted index, while the SciBeta Developed Low Volatility Diversified Multi-Strategy index posts the lowest relative return (-3.24%).
- Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices provide an allocation to well-rewarded smart factor indices. Over the live period ending this quarter, 18 out of the 21 Scientific Beta Multi-Beta Multi-Strategy indices post positive relative returns over their corresponding live periods compared to the broad cap-weighted indices of the respective regions for the same time period with average annualised outperformance of 2.50% for all of these indices.
- This quarter, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW index, the SciBeta Developed Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed Multi-Beta Multi-Strategy Quality index post relative returns of -1.52%, -1.16% and -0.37% respectively, compared to cap-weighted indices. This underperformance is due to a market environment of bullish reversal which has strongly penalised low volatility and momentum stocks. Year-to-date, the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy indices are positive (1.21%, 1.51% and 2.10% respectively).
- Over the last ten years, all Scientific Beta Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. If we consider the 6-Factor EW allocation, the annualised excess return ranges from 1.73% for the SciBeta United States Multi-Beta Multi-Strategy 6-Factor EW index to 3.49% for the SciBeta Japan Multi-Beta Multi-Strategy 6-Factor EW index.
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: Carolyn Essid, Tel.: +33 493 187 824, E-mail: carolyn.essid@scientificbeta.com, Web: www.scientificbeta.com.
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