Scientific Beta multi-factor indices post impressive three-year live track record
(Thomson Reuters ONE) -
Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices outperform cap-weighted
indices over a three-year live period by over 2% on average
The Scientific Beta Multi-Beta Multi-Strategy Equal Weight (EW) and Equal Risk
Contribution (ERC) flagship indices in all regions have posted positive live
performance in comparison with their cap-weighted counterparts, with an average
annualised outperformance of 2.13% over the period since the indices went live
on December 20, 2013 to the end of December 2016.
Over the three-year live period, the 18 indices that correspond to the initial
flagship offering (i.e. the Scientific Beta Multi-Beta Multi-Strategy EW and ERC
indices for nine regions: Developed, Developed ex US, Developed ex UK, Developed
Europe ex UK, US, UK, Eurozone, Asia-Pacific ex Japan and Japan) all
outperformed, with an average annualised excess return of 2.13%%. The Developed
World indices for the EW and ERC indices produced excess returns of 1.61% and
1.65% respectively.
In terms of risk, the average reduction in volatility for the 18 flagship
Scientific Beta indices was 9.40%. On average, we were able to measure an
improvement in risk-adjusted performance, expressed by the Sharpe ratio, of
41.35% compared to the broad cap-weighted index. The Developed World indices for
the EW and ERC indices produced improvements in Sharpe ratios of 45.19% and
44.34% respectively.
The Scientific Beta Multi-Beta Multi-Strategy flagship offering aims to offer
very robust performance of smart beta indices in relation to their cap-weighted
counterparts in all market conditions.
This robustness is due to a double layer of factor and specific risk
diversification, which enables each of the smart factor indices that make up the
Multi-Beta Multi-Strategy benchmark to benefit over the long term not only from
diversified exposure to the rewarded risk factors that they represent (Value,
Size, Momentum, Low Volatility) but also a strong reduction in non-rewarded
idiosyncratic volatility that is often very significant in traditional factor
indices, which tend to be highly concentrated and poorly diversified.
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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: contact(at)scientificbeta.com, Web:
www.scientificbeta.com.
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Press_release_live_performance_indices:
http://hugin.info/157174/R/2069150/777227.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: 05.01.2017 - 09:51 Uhr
Sprache: Deutsch
News-ID 515943
Anzahl Zeichen: 3825
contact information:
Town:
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Kategorie:
Business News
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