Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the January 2015 monthly performance report for the ERI
Scientific Beta indices:
* The best performing of the smart factor indices for the month are the
SciBeta Developed Low Volatility Diversified Multi-Strategy index and the
SciBeta Developed High Momentum Diversified Multi-Strategy index, both with
a relative return of 1.66% compared to broad cap-weighted indices, while the
SciBeta Developed High Volatility Diversified Multi-Strategy index posts the
lowest relative return (0.08%). 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
1.34% to 2.84% since inception for the Developed universe.
* Over the past month, the Scientific Beta factor indices and the Scientific
Beta multifactor index post positive relative returns compared to MSCI
World, while some competing indices did not (the Russell Developed Small Cap
index, the FTSE Developed Momentum Factor index, the MSCI World Value
Weighted index and the Russell High Efficiency Large Cap Developed Value
index). The Scientific Beta factor indices achieve the highest relative
performance compared to competing indices for two factors out of four
(momentum and value). If we compute the average of the four factor relative
returns by provider, the best result is obtained for the Scientific Beta
indices (1.47%), compared with 1.35% for the MSCI indices, 0.51% for the
Russell indices and 0.33% for the FTSE indices.
* Over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy EW
index and the SciBeta Developed Multi-Beta Multi-Strategy ERC index post
annual relative returns of 2.09% 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 both post positive relative returns of 1.22% compared to cap-weighted
indices.
* Over the long term, all SciBeta 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 January 2015:
http://hugin.info/157174/R/1894015/671320.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#1894015]
Unternehmensinformation / Kurzprofil:
Datum: 12.02.2015 - 11:30 Uhr
Sprache: Deutsch
News-ID 371141
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