Among the highlights of the September 2014 monthly performance report for the ERI Scientific Beta indices:
- 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 2.06% and 1.99%, 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 negative relative returns (-0.65% and -0.68%, respectively), compared to cap-weighted indices. However, year-to-date the relative performance of the two indices remains positive, with a relative return of around 1.00% for both.
- This month, all smart factor indices post negative returns from both relative and absolute perspectives, with the exception of the SciBeta Developed Large Cap Diversified Multi-Strategy index, which posts a relative return of 0.08% compared to the broad cap-weighted index. The worst performing index is the SciBeta Developed Mid Cap Diversified Multi-Strategy index, with a relative return of -1.23%. However, year-to-date, the relative performance of all smart beta indices, except one (SciBeta Developed High Volatility Diversified Multi-Strategy index) remain positive compared to cap-weighted indices.
- 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 1.37% to 2.66% since inception for the Developed universe.
- Looking at year-to-date relative returns, we observe that all strategies, except one (high volatility), post positive return relative to cap-weighted. The best performing index among smart factor indices is the SciBeta Developed Low-Volatility Diversified Multi-Strategy index with a relative return of 1.98%, followed by the SciBeta Developed Low-Div-Yield Diversified Multi-Strategy index with a relative return of 1.38%.
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.
