NICE, France, April 21, 2015 (GLOBE NEWSWIRE) -- ERI Scientific Beta, the smart beta index provider set up in 2013 by EDHEC-Risk Institute, has announced the addition of two families of smart "quality-type" factor indices: High Profitability and Low Investment, allowing investors to benefit from well-documented additional risk premia. These new smart factor indices have been available on the www.scientificbeta.com platform since March 20, 2015.
The role of these separate factors relating to firm characteristics has been documented in recent empirical studies. ERI Scientific Beta's High Profitability and Low Investment factors rely on straightforward and parsimonious indicators, and provide more robust performance benefits than ad-hoc stock picking indicators of "quality" currently used in the industry.
By proposing not one but two smart factor quality indices, ERI Scientific Beta is allowing investors to gain exposure to two very different, and therefore highly decorrelated, factors that represent two dimensions of the quality approach.
This dissociation is in contrast with grey indices constructed through multi-criteria approaches that are not consistent with academic research in the area of quality.
The performance of factor-tilted indices is improved by the use of the diversified multi-strategy scheme offered by Scientific Beta.
Over the very long term (1974-2014), these smart factors have outperformed their corresponding cap-weighted indices by an average annual rate of 3.61% for the US market1.
More information on these indices can be found in the following white paper:
This paper discusses Scientific Beta's smart factor approach to gaining exposure to High Profitability and Low Investment factors, which provides a well-diversified way of seeking the factor risk premia.
1 Based on long-term track records from December 1974 to December 2014 (40 years) for the SciBeta Long-Term United States High-Profitability Diversified Multi-Strategy and SciBeta Long-Term United States Low-Investment Diversified Multi-Strategy indices.
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: Séverine Cibelly, Tel.: +33 493 187 863, E-mail: firstname.lastname@example.org, Web: www.scientificbeta.com.
Press release - ERI Scientific Beta quality factors http://hugin.info/157174/R/1912426/682576.pdf