Among the highlights of the November 2013 monthly performance report for the ERI Scientific Beta indices:
- The relative return of the Diversified Multistrategy Index for all stocks compared to the cap-weighted reference index using long-term US data (more than 40 years) is +2.31% annually.
- None of the Diversified Multistrategy Indices, which represent the most diversified versions of smart factor indices, for the Developed universe outperformed the cap-weighted reference index over the past month, with the best performer being the Low Dividend Yield index, which had a relative return of -0.14%.
- Since the beginning of the year, High Volatility has been outperforming, with the High Volatility Diversified Multistrategy Index for the Developed universe returning +5.28% year-to-date relative to the cap-weighted reference index.
- The best performing index over the past year is SciBeta Japan High-Volatility Maximum Deconcentration (5% TE/CW) with a relative return of +14.44%.
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.
For further information, please contact:
Carolyn Essid
ERI Scientific Beta
Tel.: +33 493 187 824
E-mail: carolyn.essid@scientificbeta.com
Web: www.scientificbeta.com
Carolyn Essid
ERI Scientific Beta
Tel.: +33 493 187 824
E-mail: carolyn.essid@scientificbeta.com
Web: www.scientificbeta.com
