Among the highlights of the February 2015 monthly performance report for the ERI Scientific Beta indices:
- This month, the best performing smart factor index is the SciBeta Developed High Volatility Diversified Multi-Strategy index, with a relative return of 0.99% compared to the broad cap-weighted index, while the SciBeta Developed Low Volatility Diversified Multi-Strategy index posts the lowest relative return (-1.79%). Performance for smart factor indices exposed to risk factors known to be well rewarded over long periods remains strong with annual performance in excess of broad cap-weighted indices ranging from 1.41% to 2.63% since inception for the Developed universe.
- Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices associate an effective choice of weighting scheme, in terms of diversification, with the choice of smart factor, to prevent indices from being too concentrated and to reduce their specific risks. Over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy EW (Equal Weights) index and the SciBeta Developed Multi-Beta Multi-Strategy ERC (Equal Risk Contribution) index post strong annual relative returns of 1.94% and 1.84%, respectively, compared to cap-weighted indices.
- Looking at Scientific Beta Multi-Beta Multi-Strategy indices for various regions, we note that this month the best performing indices are the SciBeta Developed Asia Pacific ex Japan Multi-Strategy indices, with a relative return of -0.19% for the EW scheme and -0.23% for the ERC scheme compared to the broad cap-weighted index. However, year-to-date, all Multi-Beta Multi-Strategy indices, except the SciBeta Developed Asia Pacific ex Japan Multi-Strategy indices, post positive relative returns compared to cap-weighted indices.
- Over the long term, all Scientific Beta Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. Using long-term US track records since January 1, 1974 (40 years), the EW and ERC benchmarks post respective relative returns compared to cap-weighted indices of 4.09% and 3.88%.
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.
