Scientific Beta December 2018 smart beta index performance report

Among the highlights of the December 2018 quarterly performance report for the Scientific Beta indices:

  • Scientific Beta offers single smart factor indices providing exposure to the six well-known rewarded factors (Mid Cap, Value, High Momentum, Low Volatility, High Profitability and Low Investment) that are also well-diversified in order to reduce the specific risks. This quarter, ending December 31, 2018, the best performing SciBeta Narrow High Factor Intensity Diversified Multi-Strategy (4-Strategy) index in the Developed universe was Low Volatility with a relative return of 4.84% compared to the broad cap-weighted index, while High Momentum posted the lowest relative return (-3.11%). Half of the factors outperformed their cap-weighted benchmark this quarter, with the six indices showing an average outperformance of 0.31%.

  • Naturally, many investors choose to diversify their factor exposure so as not to be exposed to variations in the performance of a single factor. For this reason, Scientific Beta multi smart factor indices provide an allocation to well-rewarded smart factor indices. This quarter, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW index, the SciBeta Developed High Factor Intensity Diversified Multi-Beta Multi-Strategy 6-Factor 4-Strategy EW index and its Sector Neutral, Market Beta Adjusted (Overlay), and combined Sector Neutral/Market Beta Adjusted (Overlay) versions posted relative returns of 0.05%, 0.70%, -0.60%, -0.73% and -1.74% respectively compared to cap-weighted indices.

  • The Scientific Beta Multi-Beta Multi-Strategy 4-Factor EW indices, which were the first multi-factor indices to be offered by Scientific Beta, show an average live annualised outperformance across all Scientific Beta Developed regions of 1.49% over their five-year live track record and an improvement in the Sharpe Ratio of 52.36% compared to their cap-weighted benchmark (the live analysis is based on daily total returns in the period from December 20, 2013 (live date) to December 31, 2018 for all diversified multi-strategy indices that have more than three years of track record for all available developed world regions - USA, Eurozone, UK, Developed Europe, Developed Europe ex-UK, Japan, Developed Asia Pacific ex-Japan, Developed ex-UK, Developed ex-USA and Developed. The benchmark used is a cap-weighted portfolio of all stocks in the respective Scientific Beta universes).

About Scientific Beta

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up Scientific Beta. 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.

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