Quarterly ERI Scientific Beta smart beta index performance report
Among the highlights of the June 2018 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 June 30, 2018, the best performing index in the Developed universe among
those smart factor indices is the SciBeta Developed Narrow High Factor Intensity High Profitability Diversified Multi-Strategy (4-Strategy) index with a relative return of 1.37% compared to the
broad cap-weighted index, while the SciBeta Developed Narrow High Factor Intensity Low Volatility Diversified Multi-Strategy (4-Strategy) index posts the lowest relative return
(-1.38%).
- 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 Intensity Diversified Multi-Beta Multi-Strategy 6-Factor 4-Strategy EW index, the SciBeta Developed High Factor Intensity Diversified Multi-Beta
Multi-Strategy 6-Factor 4-Strategy EW Market Beta Adjusted (Leverage) index and the SciBeta Developed High Factor Intensity Diversified Multi-Beta Multi-Strategy 6-Factor 4-Strategy EW Sector
Neutral index post relative returns of -0.92%, -0.54%, -0.48% and -0.05% respectively compared to cap-weighted indices. Since the beginning of the year, factor strategies have clearly not been
performing well as the implicit sector bets proposed by the factors have a considerable impact on short-term performance. Moreover, it can be observed that the sector neutral versions of the multi
smart factor indices are the ones that are resisting best to this under-performance of factors.
- The Scientific Beta Multi-Beta Multi-Strategy 4-Factor EW 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 2.18% over their four-year live track record and an improvement in the Sharpe Ratio of 55.21% compared to their
cap-weighted benchmark1.
1The average live outperformance and improvement in Sharpe Ratio across all Scientific Beta developed regions of Scientific Beta Multi-Beta Multi-Strategy 4-Factor Equal-Weight indices is 2.18% for the outperformance and 55.21% 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 March 31, 2018 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.
Lesen Sie auch
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