Among the highlights of the October 2015 monthly performance report for the ERI Scientific Beta indices:
- It was a difficult month for all smart factors but year-to-date, multi-smart-factor indices maintain strong outperformance compared to market indices.
- This month, the best performing index in the Developed World universe among smart factor indices is the SciBeta Developed Large Cap Diversified Multi-Strategy index, with a relative return of -0.64% compared to the broad cap-weighted index, while the SciBeta Developed Low Liquidity Diversified Multi-Strategy index posts the lowest relative return (-1.83%). 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 0.89% to 3.06% since inception for the Developed universe.
- Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices associate an effective choice of weighting scheme, in terms of diversification, with an allocation to well-rewarded smart factors, to prevent indices from being too concentrated in one factor and to reduce their specific risks. This month, the flagship SciBeta Developed Multi-Beta Multi-Strategy EW index posts relative returns of -1.62% compared to cap-weighted indices. Year-to-date, the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy EW index are positive (1.86%).
- Looking at Multi-Beta Multi-Strategy indices for various regions, the best performing index this month is the SciBeta Developed Asia Pacific ex Japan Multi-Beta Multi-Strategy EW index, with a relative return of -0.53% compared to the broad cap-weighted index, while the worst performing index is the SciBeta United States Multi-Beta Multi-Strategy EW index, with a relative return of -2.24% compared to the broad cap-weighted index.
- Year-to-date, of the flagship Multi-Beta Multi-Strategy EW indices, the best performing is the SciBeta United Kingdom Multi-Beta Multi-Strategy EW index, with a relative return of 6.32% compared to the broad cap-weighted index, while the worst performing is the SciBeta United States Multi-Beta Multi-Strategy EW index, with a relative return of 0.09% compared to the broad cap-weighted index.
- Over the long term, all flagship Scientific Beta Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. Using long-term US track records since January 1, 1975 (40 years), the EW benchmark posts relative returns compared to the cap-weighted index of 3.95%.
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.
Find out more about the research conducted by EDHEC-Risk Institute on smart beta and the Scientific Beta indices by following us on Twitter (https://twitter.com/ScientificBeta) and LinkedIn (https://www.linkedin.com/company/scientific-beta).
