Quarterly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the September 2016 monthly performance report for the
ERI Scientific Beta indices:
* This quarter, ending September 30, 2016, the best performing index in the
Developed World universe among smart factor indices is the SciBeta Developed
Value Diversified Multi-Strategy index with a relative return of 0.50%
compared to the broad cap-weighted index, while the SciBeta Developed Low
Volatility Diversified Multi-Strategy index posts the lowest relative return
(-3.24%).
* Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices provide an
allocation to well-rewarded smart factor indices. Over the live period
ending this quarter, 18 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
2.50% 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 -1.52%, -1.16% and -0.37% respectively, compared to cap-weighted
indices. This underperformance is due to a market environment of bullish
reversal which has strongly penalised low volatility and momentum stocks.
Year-to-date, the relative returns of the SciBeta Developed Multi-Beta
Multi-Strategy indices are positive (1.21%, 1.51% and 2.10% respectively).
* Over the last ten years, 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
ranges from 1.73% for the SciBeta United States Multi-Beta Multi-Strategy 6-
Factor EW index to 3.49% for the SciBeta Japan Multi-Beta Multi-Strategy 6-
Factor EW index.
--------------------------------------------------------------------------------
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), LinkedIn
(https://www.linkedin.com/company/scientific-beta) and YouTube
(https://www.youtube.com/channel/UCRL91F-LvhLPc9M9OD7LQgA).
--------------------------------------------------------------------------------
ERI Scientific Beta smart beta index performance report September 2016:
http://hugin.info/157174/R/2048193/765744.pdf
This announcement is distributed by Nasdaq Corporate Solutions on behalf of Nasdaq Corporate Solutions clients.
The issuer of this announcement warrants that they are solely responsible for the content, accuracy and originality of the information contained therein.
Source: EDHEC-Risk Institute via GlobeNewswire
Unternehmensinformation / Kurzprofil:
Datum: 11.10.2016 - 10:51 Uhr
Sprache: Deutsch
News-ID 499679
Anzahl Zeichen: 4180
contact information:
Town:
Nice
Kategorie:
Business News
Diese Pressemitteilung wurde bisher 243 mal aufgerufen.
Die Pressemitteilung mit dem Titel:
"Quarterly 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).
