×

Quarterly ERI Scientific Beta smart beta index performance report

NICE, France, April 14, 2016 (GLOBE NEWSWIRE) --

Among the highlights of the March 2016 quarterly performance report for the ERI Scientific Beta indices:

  • This quarter, ending March 31, 2016, the best performing index in the Developed World universe among smart factor indices is the SciBeta Developed Low Volatility Diversified Multi-Strategy index, with a relative return of 3.61% compared to the broad cap-weighted index, while the SciBeta Developed Value Diversified Multi-Strategy index posts the lowest relative return (0.83%).
  • 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. Over the live period ending this quarter, 25 out of the 27 Scientific Beta Multi-Beta Multi-Strategy indices post positive relative returns over their corresponding live periods compared to the broad cap-weighted indices of the respective regions for the same time-period, with average annualised outperformance of 4.38% for all of these indices.
  • This quarter, the SciBeta Developed Multi-Beta Multi-Strategy EW (Equal Weight) index, the SciBeta Developed Multi-Beta Multi-Strategy ERC (Equal Relative Risk Contribution) index and the SciBeta Developed Multi-Beta Multi-Strategy Quality index post relative returns of 2.18%, 2.04% and 2.53% respectively, compared to cap-weighted indices. Year-to-date, the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy indices are positive (2.18%, 2.04% and 2.53% respectively).
  • 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 December 31, 1972 (43 years), the Scientific Beta Multi-Beta Multi-Strategy EW, ERC and Quality benchmarks post respective relative returns compared to the cap-weighted index of 3.67%, 3.48% and 3.31%.


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).


Smart_Beta_Indices_Performance_Report http://hugin.info/157174/R/2003658/739622.pdf

HUG#2003658

Source:EDHEC-Risk Institute