Quarterly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the June 2016 monthly performance report for the ERI
Scientific Beta indices:
* This quarter, ending June 30, 2016, the best performing index in the
Developed World universe among smart factor indices is the SciBeta Developed
Low Volatility Diversified Multi-Strategy index with a relative return of
1.42% compared to the broad cap-weighted index, while the SciBeta Developed
Mid-Cap Diversified Multi-Strategy index posts the lowest relative return (-
0.52%).
* 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 live
period ending this quarter, 19 out of the 21 Scientific Beta Multi-Beta
Multi-Strategy indices post positive relative returns over their
corresponding live periods compared to the broad cap-weighted indices of the
respective regions for the same time period with average annualised
outperformance of 3.18% for all of these indices.
* This quarter, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW
index, the SciBeta Developed Multi-Beta Multi-Strategy 6-Factor EW index and
the SciBeta Developed Multi-Beta Multi-Strategy Quality index post relative
returns of 0.44%, 0.25% and -0.18% respectively, compared to cap-weighted
indices. Year-to-date, the relative returns of the SciBeta Developed Multi-
Beta Multi-Strategy indices are positive (2.65%, 2.58% and 2.37%
respectively).
* Over the long term, all Scientific Beta Multi-Beta Multi-Strategy indices
post positive excess return compared to broad cap-weighted indices. If we
consider the 6-Factor EW allocation, the annualised excess return over the
past ten years ranges from 1.70% for the SciBeta United States Multi-Beta
Multi-Strategy 6-Factor EW index to 3.64% for the SciBeta Japan Multi-Beta
Multi-Strategy 6-Factor EW index. If we consider the 4-Factor EW allocation,
the annualised excess return over the past ten years ranges from 1.27% for
the SciBeta United States Multi-Beta Multi-Strategy 4-Factor EW index to
3.38% for the SciBeta Developed Asia Pacific ex Japan Multi-Beta Multi-
Strategy 4-Factor EW index. If we consider the Scientific Beta Multi-Beta
Multi Strategy Quality indices, the annualised excess return over the past
ten years ranges from 2.56% for the SciBeta United States Multi-Beta Multi-
Strategy Quality index to 4.27% for the SciBeta Japan Multi-Beta Multi-
Strategy Quality index.
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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 June 2016:
http://hugin.info/157174/R/2029036/754341.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#2029036]
Unternehmensinformation / Kurzprofil:
Datum: 18.07.2016 - 09:38 Uhr
Sprache: Deutsch
News-ID 483696
Anzahl Zeichen: 4942
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Town:
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