Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
All sixteen smart factor indices post positive performance over cap-weighted
Among the highlights of the August 2015 monthly performance report for the ERI
Scientific Beta indices:
* This month, the best performing index in the Developed World universe among
smart factor indices is the SciBeta Developed Mid Cap Diversified Multi-
Strategy index, with a relative return of 1.86% compared to the broad cap-
weighted index, while the SciBeta Developed Large Cap Diversified Multi-
Strategy index posts the lowest relative return (0.40%). All sixteen smart
factor indices post positive relative returns compared to the broad-cap
weighted index this month. Year-to-date, the best-performing smart factor
index in the Developed World universe is the SciBeta Developed Low Dividend
Yield Diversified Multi-Strategy index, with a return of 4.45%, while the
worst-performing index is the SciBeta Developed High Dividend Yield
Diversified Multi-Strategy (-0.84%). 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 0.96% to 3.15% 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. 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
1.42% and 1.38% respectively, compared to cap-weighted indices. Year-to-
date, the relative returns of the SciBeta Developed Multi-Beta Multi-
Strategy indices are positive (2.23% and 2.03%, respectively).
* Looking at Multi-Beta Multi-Strategy indices for various regions, we note
that this month the best performing indices are the SciBeta Developed Asia
Pacific ex Japan Multi-Beta Multi-Strategy indices, with a relative return
of 2.45% for the EW scheme and 2.46% for the ERC scheme compared to the
broad cap-weighted index, while the worst performing indices are the SciBeta
United States Multi-Beta Multi-Strategy indices, with a relative return of
1.23% for the EW scheme and 1.22% for the ERC scheme compared to the broad
cap-weighted index.
* Year-to-date, the best-performing Multi-Beta Multi-Strategy indices are the
SciBeta United Kingdom Multi-Beta Multi-Strategy indices, with a relative
return of 6.00% for the EW scheme and 5.52% for the ERC scheme compared to
the broad cap-weighted index, while the worst performing indices are the
SciBeta United States Multi-Beta Multi-Strategy indices, with a relative
return of 1.62% for the EW scheme and 1.43% 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%.
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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.
Find out more about the research conducted by EDHEC-Risk Institute on smart beta
and the Scientific Beta indices by following us on Twitter and LinkedIn.
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ERI Scientific Beta smart beta index performance report August 2015:
http://hugin.info/157174/R/1950582/709224.pdf
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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#1950582]
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Datum: 08.09.2015 - 17:25 Uhr
Sprache: Deutsch
News-ID 418613
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