Among the highlights of the March 2014 monthly performance report for the ERI Scientific Beta indices:
- Over the latest one-year period, the best performing index was the SciBeta Eurozone HLiq Value Maximum Decorrelation (Country Neutral) Index, with a relative return of 30.17% compared to the broad Eurozone cap-weighted index.
- Over the long term, all diversified multi-strategy 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 1.45% to 2.95% since inception for the Developed universe.
- This month, the best performing index among smart factor indices is the High Dividend Yield index with a relative return of 0.84% compared to broad cap-weighted indices, closely followed by the Low Momentum index with a relative return of 0.72%, while the Low Dividend Yield index and the High Volatility index post the lowest relative return (-1.22% and -1.04%, respectively). However, over the latest one year period, these two indices, namely the High Volatility index and the Low Dividend Yield index, were the two best performing indices among smart factor indices, with relative returns of 7.13% and 4.06% respectively compared to broad cap-weighted indices.
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.
