Monthly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the November 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 High Profitability Diversified
Multi-Strategy index, with a relative return of 0.84% compared to the broad
cap-weighted index, while the SciBeta Developed Low Profitability
Diversified Multi-Strategy index posts the lowest relative return (-0.49%).
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 0.85% to 3.11% 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 flagship SciBeta Developed Multi-Beta Multi-Strategy EW index posts
relative returns of 0.20% compared to cap-weighted indices. Year-to-date,
the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy EW
index are positive (2.05%).
* Looking at Multi-Beta Multi-Strategy indices for various regions, the best
performing index this month is the SciBeta Japan Multi-Beta Multi-Strategy
EW index, with a relative return of 1.32% compared to the broad cap-weighted
index, while the worst performing index is the SciBeta Asia Pacific ex Japan
Multi-Beta Multi-Strategy EW index, with a relative return of -0.14%
compared to the broad cap-weighted index.
* Year-to-date, of the flagship Multi-Beta Multi-Strategy EW indices, the best
performing is the SciBeta United Kingdom Multi-Beta Multi-Strategy EW index,
with a relative return of 6.81% compared to the broad cap-weighted index,
while the worst performing is the SciBeta United States Multi-Beta Multi-
Strategy EW index, with a relative return of 0.09% compared to the broad
cap-weighted index.
* Over the long term, all flagship 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
benchmark posts relative returns compared to the cap-weighted index of
3.95%.
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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
(https://twitter.com/ScientificBeta) and LinkedIn
(https://www.linkedin.com/company/scientific-beta).
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ERI Scientific Beta smart beta index performance report November 2015:
http://hugin.info/157174/R/1972357/721376.pdf
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originality of the information contained therein.
Source: EDHEC-Risk Institute via GlobeNewswire
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