Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the April 2015 monthly performance report for the ERI
Scientific Beta indices:
* This month, the best performing index among those smart factor indices is
the SciBeta Developed High Volatility Diversified Multi-Strategy index, with
a relative return of 0.66% compared to the broad cap-weighted index, while
the SciBeta Developed Low Volatility Diversified Multi-Strategy index posts
the lowest relative return (-1.10%). While only four strategies among
sixteen post positive relative returns compared to the broad-cap weighted
index, all smart factor strategies achieve strongly positive absolute
returns ranging from 1.47% to 3.23%. 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 1.03% to 3.04% since inception for the Developed universe.
* 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 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
1.86% and 1.76%, 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 relative returns
of -0.61% and -0.57%, respectively, compared to cap-weighted indices. This
underperformance is due to the strong rise in the equity markets in a large
number of regions which is favourable to cap-weighted indices. Overall, the
Multi-Beta Multi-Strategy indices, which are very well diversified, cannot
take advantage of extreme bull periods that are excessive compared to normal
market conditions, since one of the characteristics of the Multi-Beta Multi-
Strategy indices, like all diversified indices, is that they are not
concentrated in a tiny number of stocks that are representative of this
"abnormal" appreciation. However, year-to-date the relative returns of the
SciBeta Developed Multi-Beta Multi-Strategy indices are positive (0.37% and
0.35%, respectively).
* Over the long term, all Scientific Beta Multi-Beta Multi-Strategy indices
post positive excess return compared to broad cap-weighted indices. Using
long-term US track records since January 1, 1975 (40 years), the EW and ERC
benchmarks post respective relative returns compared to cap-weighted indices
of 3.95% and 3.76%.
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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 April 2015:
http://hugin.info/157174/R/1922130/688996.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#1922130]
Unternehmensinformation / Kurzprofil:
Datum: 18.05.2015 - 14:39 Uhr
Sprache: Deutsch
News-ID 393987
Anzahl Zeichen: 4853
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Town:
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Kategorie:
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