Monthly ERI Scientific Beta smart beta index performance report


ERI Scientific Beta

Among the highlights of the January 2014 monthly performance report for the ERI Scientific Beta indices:

  • Over the latest one-year period, the best performing index was the SciBeta United Kingdom High-Momentum Maximum Decorrelation Index, with a relative return of +23.85% compared to the broad UK cap-weighted index.

  • Over the long term, all diversified multistrategy indices exhibit a positive relative return compared to cap-weighted indices. Performance for multistrategy smart beta indices exposed to risk factors known to be well rewarded over long periods remains strong with annual excess performance over broad cap-weighted indices ranging from 1.56% to 2.92% since inception for the Developed universe. In addition, the Value strategy provides the three best-performing indices over the long term.

  • This month, the best performing index among smart factor indices is the Low Dividend Yield index with a relative return of 1.99%, closely followed by the Small-Cap index with a relative return of 1.94%, while the High Dividend Yield index and the Large-Cap index post the lowest relative returns (0.51% and 0.60% respectively), compared to a broad cap-weighted index; the smart factor Value (book-to-market) index has returned 1.33%; the smart factor Low Volatility index has returned 1.27%; and the smart factor High Momentum index has returned 1.21%.


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.


Attachments

ERI Scientific Beta smart beta index performance report January 2014