ERI Scientific Beta is pleased to announce the release of a new family of multi smart factor indices that has been added to the www.scientificbeta.com platform as of 12 November, 2015: Quality Multi-Beta Indices. This release is part of a new version of the platform, further extending ERI Scientific Beta's offering in the area of smart beta indices.
The new multi smart factor indices are an equal-weighted combination of the two factors attributed to "Quality" - Low Investment and High Profitability - and are available in both regular and highly-liquid versions and with or without sector and geographical neutrality. The High Profitability and Low Investment risk factors have been identified in the academic literature as not only providing high risk premia in the long run based on empirical evidence but also having simple and straightforward economic explanations for the existence of their premia, providing reassurance on the robustness and persistence of the factors. Scientific Beta's smart factor approach to gaining exposure to High Profitability and Low Investment factors provides a well-diversified way to seek the factor risk premia. The Scientific Beta Multi-Beta Multi-Strategy indices, like all the flagship Scientific Beta indices, benefit both from exposure to a rewarded factor and from very good, robust diversification of specific risk. It is this diversification, guaranteed by a multi-strategy weighting scheme, that enables smart factors to outperform traditional factors.
Analysis over the past 10 years (December 31, 2004 to December 31, 2014) shows the benefits of combining the High Profitability and Low Investment factors, with the Quality multi-factor index outperforming MSCI World by 3.14% on an annual basis while displaying lower volatility (15.31% vs. 17.49%) and a lower maximum drawdown (49.98% vs. 57.46%) than the reference index.
A copy of "The Dimensions of Quality Investing: High Profitability and Low Investment Smart Factor Indices" can be downloaded via the following link:
ERI Scientific Beta White Paper Dimensions of Quality Investing
ERI Scientific Beta, 1 George Street, #07-02, Singapore 049145. For further information, please contact: Séverine Cibelly, Tel.: +33 493 187 863, E-mail: contact@scientificbeta.com, Web: www.scientificbeta.com.
