Quarterly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the June 2017 quarterly performance report for the ERI
Scientific Beta indices:
* Scientific Beta Multi-Beta Multi-Strategy 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 High Factor Exposure Multi-Beta Multi-Strategy 6-Factor EW
index and the SciBeta Developed Multi-Beta Multi-Strategy Max Factor
Exposure index post strong annual relative returns of 1.54%, 3.11% and
3.21% respectively compared to cap-weighted indices.
* This quarter, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW
index, the SciBeta Developed High Factor Exposure Multi-Beta Multi-Strategy
6-Factor EW index and the SciBeta Developed Multi-Beta Multi-Strategy Max
Factor Exposure index post relative returns of 0.94%, 1.16% and 1.49%
respectively compared to cap-weighted indices.
* Looking at the live performance of Scientific Beta Multi-Beta Multi-Strategy
indices, the best performance was obtained by the SciBeta Japan Multi-Beta
Multi-Strategy 4-Factor EW index with a relative return of 4.91%, while the
lowest performance was obtained by the United States High Factor Exposure
Multi-Beta Multi-Strategy 6-Factor EW index with a relative return of 0.10%.
The Scientific Beta Multi-Beta Multi-Strategy Four-Factor Equal-Weight indices,
which were the first multi-factor indices to be offered by ERI Scientific Beta,
show an average live annualised outperformance across all Scientific Beta
Developed regions of 2.19% over their three-year live track record and an
improvement in the Sharpe Ratio of 61.25% compared to their cap-weighted
benchmark(1).
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(1)The average live outperformance and improvement in Sharpe Ratio across all
Scientific Beta developed regions of Scientific Beta Multi-Beta Multi-Strategy
Equal Weight indices is 2.19% for the outperformance and 61.25% for the
improvement in Sharpe Ratio. This live analysis is based on daily total returns
in the period from December 20, 2013 (live date) to June 30, 2017 for all
diversified multi-strategy indices that have more than 3 years of track record
for all available developed world regions - USA, Eurozone, UK, Developed Europe,
Developed Europe ex UK, Japan, Developed Asia Pacific ex Japan, Developed ex UK,
Developed ex USA and Developed. The benchmark used is a cap-weighted portfolio
of all stocks in the respective Scientific Beta universes.
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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, #15-02, 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 June 2017:
http://hugin.info/157174/R/2121047/808184.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: 18.07.2017 - 11:23 Uhr
Sprache: Deutsch
News-ID 552705
Anzahl Zeichen: 4805
contact information:
Town:
Nice
Kategorie:
Business News
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