Quarterly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the December 2016 monthly performance report for the ERI
Scientific Beta indices:
* Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices provide an
allocation to well-rewarded smart factor indices. Over the past ten years,
the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW (Equal Weight)
index, the SciBeta Developed Multi-Beta Multi-Strategy 6-Factor EW (Equal
Weight) index and the SciBeta Developed Multi-Beta Multi-Strategy Quality
index post strong annual relative returns of 1.43%, 1.90% and 2.86%
respectively, compared to cap-weighted indices.
* Year-to-date, which in this quarter is also the 2016 full year performance,
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 -0.81%, -0.45% and 0.39% respectively, compared to cap-weighted
indices.
* The year 2016 was marked by a rare event in the investment world where, in
the end, four out of the six traditional rewarded factors underperformed the
CW reference. This situation, which cannot allow factor diversification to
play its role, has been analysed over a long-term period within the
framework of the design of the Scientific Beta indices and its probability
of occurrence is less than 10%.
* 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 over
the past ten years ranges from 1.53% for the SciBeta United Kingdom Multi-
Beta Multi-Strategy 6-Factor EW index to 3.50% for the SciBeta Japan Multi-
Beta Multi-Strategy 6-Factor EW 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), LinkedIn
(https://www.linkedin.com/company/scientific-beta) and YouTube
(https://www.youtube.com/channel/UCRL91F-LvhLPc9M9OD7LQgA).
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ERI Scientific Beta smart beta index performance report December 2016:
https://hugin.info/157174/R/2073149/779193.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: 24.01.2017 - 15:44 Uhr
Sprache: Deutsch
News-ID 519578
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contact information:
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