Monthly ERI Scientific Beta smart beta index performance report

Among the highlights of the April 2015 monthly performance report for the ERI Scientific Beta indices:

• This month, the best performing index among those smart factor indices is the SciBeta Developed High Volatility Diversified Multi-Strategy index, with a relative return of 0.66% compared to the broad cap-weighted index, while the SciBeta Developed Low Volatility Diversified Multi-Strategy index posts the lowest relative return (-1.10%). While only four strategies among sixteen post positive relative returns compared to the broad-cap weighted index, all smart factor strategies achieve strongly positive absolute returns ranging from 1.47% to 3.23%. 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 1.03% to 3.04% 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 an allocation to well-rewarded smart factors, to prevent indices from being too concentrated in one factor 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 1.86% and 1.76%, respectively, compared to cap-weighted indices.
  
  
• This month, the SciBeta Developed Multi-Beta Multi-Strategy EW index and the SciBeta Developed Multi-Beta Multi-Strategy ERC index post relative returns of -0.61% and -0.57%, respectively, compared to cap-weighted indices. This underperformance is due to the strong rise in the equity markets in a large number of regions which is favourable to cap-weighted indices. Overall, the Multi-Beta Multi-Strategy indices, which are very well diversified, cannot take advantage of extreme bull periods that are excessive compared to normal market conditions, since one of the characteristics of the Multi-Beta Multi-Strategy indices, like all diversified indices, is that they are not concentrated in a tiny number of stocks that are representative of this "abnormal" appreciation. However, year-to-date the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy indices are positive (0.37% and 0.35%, respectively).
  
  
• 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, 1975 (40 years), the EW and ERC benchmarks post respective relative returns compared to cap-weighted indices of 3.95% and 3.76%.