Among the highlights of the December 2014 monthly performance report for the ERI Scientific Beta indices:
- This month, the best performing index among smart factor indices is the SciBeta Developed Low Liquidity Diversified Multi-Strategy index, with a relative return of 1.52% compared to the broad cap-weighted index, while the SciBeta Developed High Liquidity Diversified Multi-Strategy index posts the lowest relative return (0.23%). Performance for smart factor indices exposed to risk factors known to be well rewarded over long periods remains strong with annual performance in excess of broad cap-weighted indices ranging from 1.34% to 2.79% since inception for the Developed universe.
- For 2014, 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 positive relative returns of 3.08% and 2.91%, respectively, compared to cap-weighted indices.
- The best performing smart factor index for 2014 is the SciBeta Developed Low-Volatility Diversified Multi-Strategy index with a relative return of 5.81% compared to the broad cap-weighted index, while the SciBeta Developed High Volatility Diversified Multi-Strategy index posts the lowest relative return (-1.89%), which is also the only negative relative return among all smart factor indices.
- For 2014, the Scientific Beta factor indices achieve the highest absolute performance compared to competing indices for the Mid-Cap and Value factors. If we compute the average relative returns of the four most popular rewarded factors (Size, Momentum, Low Volatility and Value) by provider, the highest result is obtained for the Scientific Beta indices (2.42%), compared with 0.86% for the MSCI indices, -0.37% for the FTSE indices and -1.65% for the Russell indices. The Scientific Beta multi-beta indices also outperform the competing multi-beta indices during the same period.
- Over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy EW index and the SciBeta Developed Multi-Beta Multi-Strategy ERC index post annual relative returns of 2.06% and 1.97%, 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 also post positive relative returns (0.94% and 0.91%, respectively), compared to cap-weighted indices.
- Over the long term, all Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. Using long-term US track records since January 1, 1974 (40 years), the EW and ERC benchmarks post respective relative returns compared to cap-weighted indices of 4.09% and 3.88%.
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.
