Among the highlights of the August 2014 monthly performance report for the ERI Scientific Beta indices:
- Year-to-date, the best performing strategy for the Developed Equity Universe is the Efficient Minimum Volatility strategy, both in absolute (9.03%) and relative terms (2.01%), while the worst, but still positively, performing strategy is the Maximum Deconcentration strategy, both in absolute (7.77%) and relative (0.74%) terms.
- The Diversified Multi-strategy index allows extremes to be avoided by diversifying across five weighting schemes and posts year-to-date relative return of 1.30%. Since inception in 2002, the Diversified Multi-strategy index for the Developed Equity Universe also has the lowest turnover. It appears that investing in the Diversified Multi-strategy index cancels out some of the transactions occurring in the single strategies. The turnover is only 25.9% per year. The low maximum relative drawdown of the Diversified Multi-strategy index since inception (4.07%) shows that combining several strategies leads to more robust performance over the long term.
- Since January 1, 1974 (40 years), all diversified multi-strategy indices exhibit a positive relative return compared to cap-weighted indices, with values ranging from 1.11% to 4.75% for the US universe. Performance for multi-strategy smart beta indices exposed to risk factors known to be well rewarded over long periods remains strong with excess annual performance over broad cap-weighted indices ranging from 1.39% to 2.80% since inception for the Developed universe.
- This month, the best performing index among smart factor indices for the Developed Equity Universe is the Low Dividend Yield index with a relative return of 0.97% compared to a broad cap-weighted index, while the Value index posted the lowest relative return (-0.09%).
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.
