Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the May 2015 monthly performance report for the ERI
Scientific Beta indices:
* This month, the best performing index among the smart factor indices is the
SciBeta Developed High Profitability Diversified Multi-Strategy index, with
a relative return of 0.52% compared to the broad cap-weighted index, while
the SciBeta Developed Low Momentum Diversified Multi-Strategy index posts
the lowest relative return (-0.68%). Ten of sixteen smart factor indices
post positive relative returns compared to the broad-cap weighted index this
month and thirteen smart factor strategies achieve positive absolute returns
ranging from 0.19% to 0.76%. 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
0.99% to 3.07% 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
1.85% and 1.75%, 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 0.19% and 0.22%, respectively, compared to cap-weighted indices. Year-to-
date, the relative returns of the SciBeta Developed Multi-Beta Multi-
Strategy indices remain positive (0.57% and 0.58%, 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 May 2015:
http://hugin.info/157174/R/1929264/692977.pdf
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Source: EDHEC-Risk Institute via GlobeNewswire
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