NICE, France, Oct. 11, 2016 (GLOBE NEWSWIRE) --
- This quarter, ending September 30, 2016, the best performing index in the Developed World universe among smart factor indices is the SciBeta Developed Value Diversified Multi-Strategy index with a relative return of 0.50% compared to the broad cap-weighted index, while the SciBeta Developed Low Volatility Diversified Multi-Strategy index posts the lowest relative return (-3.24%).
- Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices provide an allocation to well-rewarded smart factor indices. Over the live period ending this quarter, 18 out of the 21 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 2.50% for all of these indices.
- This quarter, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW index, the SciBeta Developed Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed Multi-Beta Multi-Strategy Quality index post relative returns of -1.52%, -1.16% and -0.37% respectively, compared to cap-weighted indices. This underperformance is due to a market environment of bullish reversal which has strongly penalised low volatility and momentum stocks. Year-to-date, the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy indices are positive (1.21%, 1.51% and 2.10% respectively).
- Over the last ten years, all Scientific Beta Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. If we consider the 6-Factor EW allocation, the annualised excess return ranges from 1.73% for the SciBeta United States Multi-Beta Multi-Strategy 6-Factor EW index to 3.49% for the SciBeta Japan Multi-Beta Multi-Strategy 6-Factor EW index.
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), LinkedIn (https://www.linkedin.com/company/scientific-beta) and YouTube (https://www.youtube.com/channel/UCRL91F-LvhLPc9M9OD7LQgA).
ERI Scientific Beta smart beta index performance report September 2016 http://hugin.info/157174/R/2048193/765744.pdf
Source:EDHEC-Risk Institute