Quarterly ERI Scientific Beta smart beta index performance report
(Thomson Reuters ONE) -
Among the highlights of the September 2017 quarterly performance report for the
ERI Scientific Beta indices:
* ERI Scientific Beta offers smart factor indices providing exposure to the
six well-known rewarded factors (Mid Cap, Value, High Momentum, Low
Volatility, High Profitability and Low Investment) that are also well-
diversified in order to reduce the specific risks. This quarter, ending
September 30, 2017, the best performing index in the Developed universe
among those smart factor indices is the SciBeta Developed Narrow High Factor
Exposure High Momentum Diversified Multi-Strategy index with a relative
return of 1.62% compared to the broad cap-weighted index, while the SciBeta
Developed Narrow High Factor Exposure Mid-Cap Diversified Multi-Strategy
index posts the lowest relative return (-2.75%).
* Based on its single smart factor indices, ERI Scientific Beta also offers
multi smart factor 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
-0.65%, -1.23% and -0.46% respectively compared to cap-weighted indices.
Year-to-date, the indices post relative returns of -0.05 %, -0.45% and
1.06% respectively compared to cap-weighted indices.
* 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 2.07% over their three-year live track
record and an improvement in the Sharpe Ratio of 49.48% 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 2.07% for the outperformance and 49.48% 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 September 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 September 2017:
http://hugin.info/157174/R/2142979/821077.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: 19.10.2017 - 10:19 Uhr
Sprache: Deutsch
News-ID 564326
Anzahl Zeichen: 4910
contact information:
Town:
Nice
Kategorie:
Business News
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