Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the October 2014 monthly performance report for the ERI
Scientific Beta indices:
* This month, the best performing index among smart factor indices is the
SciBeta Developed Low Volatility Diversified Multi-Strategy index, with a
relative return of 1.78% compared to broad cap-weighted indices, closely
followed by the SciBeta Developed Low Liquidity Diversified Multi-Strategy
index, with a relative return of 1.73%, while the SciBeta Developed High
Volatility Diversified Multi-Strategy index posts the lowest negative return
(-1.15%). 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 1.33% to 2.72% 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 3.89%.
* 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
2.09% and 2.01%, 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 positive relative returns
(0.75% and 0.61%, respectively), compared to cap-weighted indices.
* Over the long term, all Multi-Beta Multi-Strategy indices post positive
excess return compared to broad cap-weighted indices. Using long-term US
track records since January 1, 1974 (40 years), the EW and ERC benchmarks
post respective relative returns compared to cap-weighted indices of 4.09%
and 3.88%.
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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 October 2014:
http://hugin.info/157174/R/1869297/657237.pdf
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Source: EDHEC-Risk Institute via GlobeNewswire
[HUG#1869297]
Unternehmensinformation / Kurzprofil:
Datum: 06.11.2014 - 12:00 Uhr
Sprache: Deutsch
News-ID 350432
Anzahl Zeichen: 3970
contact information:
Town:
Nice
Kategorie:
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