Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the June 2015 monthly performance report for the ERI
Scientific Beta indices:
* This month, the best performing index in the Developed World universe among
the smart factor indices is the SciBeta Developed Low Dividend Yield
Diversified Multi-Strategy index, with a relative return of 0.40% compared
to the broad cap-weighted index, while the SciBeta Developed High Dividend
Yield Diversified Multi-Strategy index posts the lowest relative return (-
0.43%). Nine of sixteen smart factor indices post positive relative returns
compared to the broad-cap weighted index this month. 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 0.95% to 3.06% 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
1.66% and 1.56%, 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 0.03% and 0.02%, respectively, compared to cap-weighted indices. Year-to-
date, the relative returns of the SciBeta Developed Multi-Beta Multi-
Strategy indices remain positive (0.59% and 0.55%, respectively).
* Looking at MBMS indices for various regions including the sector and country
neutral indices, we note that this month the best performing indices are the
SciBeta Japan Multi-Beta Multi-Strategy indices, with a relative return of
2.03% for the EW scheme and 1.94% for the ERC scheme compared to the broad
cap-weighted index, while the worst performing indices are the SciBeta
Developed Asia Pacific ex Japan Multi-Strategy Sector Neutral indices, with
a relative return of -2.69% for the EW scheme and -2.41% for the ERC scheme
compared to the broad cap-weighted index.
* Year-to-date, of all the MBMS indices, including the sector and country
neutral indices, the best performing are the SciBeta United Kingdom Multi-
Beta Multi-Strategy indices, with a relative return of 3.17% for the EW
scheme and 2.90% for the ERC scheme compared to the broad cap-weighted
index, while the worst performing indices are the SciBeta Developed Europe
ex UK Multi-Strategy indices, with a relative return of 0.07% for the EW
scheme and 0.05% for the ERC scheme compared to the broad cap-weighted
index.
* 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%.
--------------------------------------------------------------------------------
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.
--------------------------------------------------------------------------------
ERI Scientific Beta smart beta index performance report June 2015:
http://hugin.info/157174/R/1939580/699898.pdf
This announcement is distributed by GlobeNewswire on behalf of
GlobeNewswire clients. The owner of this announcement warrants that:
(i) the releases contained herein are protected by copyright and
other applicable laws; and
(ii) they are solely responsible for the content, accuracy and
originality of the information contained therein.
Source: EDHEC-Risk Institute via GlobeNewswire
[HUG#1939580]
Unternehmensinformation / Kurzprofil:
Datum: 17.07.2015 - 10:49 Uhr
Sprache: Deutsch
News-ID 407541
Anzahl Zeichen: 5418
contact information:
Town:
Nice
Kategorie:
Business News
Diese Pressemitteilung wurde bisher 166 mal aufgerufen.
Die Pressemitteilung mit dem Titel:
"Monthly ERI Scientific Beta smart beta index performance report"
steht unter der journalistisch-redaktionellen Verantwortung von
EDHEC-Risk Institute (Nachricht senden)
Beachten Sie bitte die weiteren Informationen zum Haftungsauschluß (gemäß TMG - TeleMedianGesetz) und dem Datenschutz (gemäß der DSGVO).
