Among the highlights of the December 2015 monthly performance report for the ERI Scientific Beta indices, which also reflects performance for the year 2015:
- In 2015, all but one of the smart factor indices outperformed the broad cap-weighted indices. The best performing index in the Developed World universe among the smart factor indices is the SciBeta Developed High Momentum Diversified Multi-Strategy index, with a relative return of 4.97% compared to the broad cap-weighted index, while the SciBeta Developed Value Diversified Multi-Strategy index posts the lowest relative return (-1.10%). 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 2.36% to 3.12% 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. For 2015, the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy indices are positive (2.68%, 2.25% and 3.08% respectively for the SciBeta Developed Multi-Beta Multi-Strategy EW (Equal Weights) index, the SciBeta Developed Multi-Beta Multi-Strategy ERC (Equal Relative Risk Contribution) index and the SciBeta Developed Multi-Beta Multi-Strategy Quality 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, ERC and Quality benchmarks post respective relative returns compared to the cap-weighted index of 3.95%, 3.76% and 3.65%.
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).
