Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the September 2014 monthly performance report for the
ERI Scientific Beta indices:
* Over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy EW
(Equal Weights) index and the SciBeta Developed Multi-Beta Multi-Strategy
ERC (Equal Risk Contribution) index post strong annual relative returns of
2.06% and 1.99%, respectively, compared to cap-weighted indices. This month,
the SciBeta Developed Multi-Beta Multi-Strategy EW index and the SciBeta
Developed Multi-Beta Multi-Strategy ERC index post negative relative returns
(-0.65% and -0.68%, respectively), compared to cap-weighted indices.
However, year-to-date the relative performance of the two indices remains
positive, with a relative return of around 1.00% for both.
* This month, all smart factor indices post negative returns from both
relative and absolute perspectives, with the exception of the SciBeta
Developed Large Cap Diversified Multi-Strategy index, which posts a relative
return of 0.08% compared to the broad cap-weighted index. The worst
performing index is the SciBeta Developed Mid Cap Diversified Multi-Strategy
index, with a relative return of -1.23%. However, year-to-date, the relative
performance of all smart beta indices, except one (SciBeta Developed High
Volatility Diversified Multi-Strategy index) remain positive compared to
cap-weighted indices.
* Since January 1, 1974 (40 years), all diversified multi-strategy indices
exhibit a positive relative return compared to cap-weighted indices, with
values ranging from 1.11% to 4.75% for the US universe. Performance for
multi-strategy smart beta indices exposed to risk factors known to be well
rewarded over long periods remains strong with excess annual performance
over broad cap-weighted indices ranging from 1.37% to 2.66% since inception
for the Developed universe.
* Looking at year-to-date relative returns, we observe that all strategies,
except one (high volatility), post positive return relative to cap-weighted.
The best performing index among smart factor indices is the SciBeta
Developed Low-Volatility Diversified Multi-Strategy index with a relative
return of 1.98%, followed by the SciBeta Developed Low-Div-Yield Diversified
Multi-Strategy index with a relative return of 1.38%.
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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(at)scientificbeta.com, Web: www.scientificbeta.com.
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ERI Scientific Beta smart beta index performance report September 2014:
http://hugin.info/157174/R/1861471/652744.pdf
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(ii) they are solely responsible for the content, accuracy and
originality of the information contained therein.
Source: EDHEC-Risk Institute via GlobeNewswire
[HUG#1861471]
Unternehmensinformation / Kurzprofil:
Datum: 08.10.2014 - 10:34 Uhr
Sprache: Deutsch
News-ID 342840
Anzahl Zeichen: 4326
contact information:
Town:
Roubaix
Kategorie:
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