Quarterly ERI Scientific Beta smart beta index performance report

| Source: EDHEC-Risk Institute EDHEC-Risk Institute

ERI Scientific Beta

Among the highlights of the June 2017 quarterly performance report for the ERI Scientific Beta indices:

  • Scientific Beta Multi-Beta Multi-Strategy indices provide an allocation to well-rewarded smart factor indices. Over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW (Equal Weight) index, the SciBeta Developed High Factor Exposure Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed Multi-Beta Multi-Strategy Max Factor Exposure index post strong annual relative returns of 1.54%, 3.11% and 3.21% respectively compared to cap-weighted indices.

  • This quarter, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW index, the SciBeta Developed High Factor Exposure Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed Multi-Beta Multi-Strategy Max Factor Exposure index post relative returns of 0.94%, 1.16% and 1.49% respectively compared to cap-weighted indices.

  • Looking at the live performance of Scientific Beta Multi-Beta Multi-Strategy indices, the best performance was obtained by the SciBeta Japan Multi-Beta Multi-Strategy 4-Factor EW index with a relative return of 4.91%, while the lowest performance was obtained by the United States High Factor Exposure Multi-Beta Multi-Strategy 6-Factor EW index with a relative return of 0.10%.

The Scientific Beta Multi-Beta Multi-Strategy Four-Factor Equal-Weight indices, which were the first multi-factor indices to be offered by ERI Scientific Beta, show an average live annualised outperformance across all Scientific Beta Developed regions of 2.19% over their three-year live track record and an improvement in the Sharpe Ratio of 61.25% compared to their cap-weighted benchmark1.

1The average live outperformance and improvement in Sharpe Ratio across all Scientific Beta developed regions of Scientific Beta Multi-Beta Multi-Strategy Equal Weight indices is 2.19% for the outperformance and 61.25% for the improvement in Sharpe Ratio. This live analysis is based on daily total returns in the period from December 20, 2013 (live date) to June 30, 2017 for all diversified multi-strategy indices that have more than 3 years of track record for all available developed world regions - USA, Eurozone, UK, Developed Europe, Developed Europe ex UK, Japan, Developed Asia Pacific ex Japan, Developed ex UK, Developed ex USA and Developed. The benchmark used is a cap-weighted portfolio of all stocks in the respective Scientific Beta universes.

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, #15-02, Singapore 049145. For further information, please contact: Carolyn Essid, Tel.: +33 493 187 824, E-mail: carolyn.essid@scientificbeta.com, Web: www.scientificbeta.com.
 
Find out more about the research conducted by EDHEC-Risk Institute on smart beta and the Scientific Beta indices by following us on Twitter (https://twitter.com/ScientificBeta), LinkedIn (https://www.linkedin.com/company/scientific-beta) and YouTube (https://www.youtube.com/channel/UCRL91F-LvhLPc9M9OD7LQgA).

Attachments

ERI Scientific Beta smart beta index performance report June 2017