Monthly ERI Scientific Beta smart beta index performance report


Monthly ERI Scientific Beta smart beta index performance report

Scientific Beta, an EDHEC-Risk Institute Venture, has published the August 2015 Smart Beta Performance Report. Among the highlights of this month's report:

• This month, the best performing index in the Developed World universe among smart factor indices is the SciBeta Developed Mid Cap Diversified Multi-Strategy index, with a relative return of 1.86% compared to the broad cap-weighted index, while the SciBeta Developed Large Cap Diversified Multi-Strategy index posts the lowest relative return (0.40%). All sixteen smart factor indices post positive relative returns compared to the broad-cap weighted index this month. Year-to-date, the best-performing smart factor index in the Developed World universe is the SciBeta Developed Low Dividend Yield Diversified Multi-Strategy index, with a return of 4.45%, while the worst-performing index is the SciBeta Developed High Dividend Yield Diversified Multi-Strategy (-0.84%). Performance for smart factor indices exposed to risk factors known to be well rewarded over long periods remains strong, with annual performance in excess of broad cap-weighted indices ranging from 0.96% to 3.15% since inception for the Developed universe.

• Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices associate an effective choice of weighting scheme, in terms of diversification, with an allocation to well-rewarded smart factors, to prevent indices from being too concentrated in one factor and to reduce their specific risks. This month, the SciBeta Developed Multi-Beta Multi-Strategy EW index and the SciBeta Developed Multi-Beta Multi-Strategy ERC index post relative returns of 1.42% and 1.38% respectively, compared to cap-weighted indices. Year-to-date, the relative returns of the SciBeta Developed Multi-Beta Multi-Strategy indices are positive (2.23% and 2.03%, respectively).

• Looking at Multi-Beta Multi-Strategy indices for various regions, we note that this month the best performing indices are the SciBeta Developed Asia Pacific ex Japan Multi-Beta Multi-Strategy indices, with a relative return of 2.45% for the EW scheme and 2.46% for the ERC scheme compared to the broad cap-weighted index, while the worst performing indices are the SciBeta United States Multi-Beta Multi-Strategy indices, with a relative return of 1.23% for the EW scheme and 1.22% for the ERC scheme compared to the broad cap-weighted index.

• Year-to-date, the best-performing Multi-Beta Multi-Strategy indices are the SciBeta United Kingdom Multi-Beta Multi-Strategy indices, with a relative return of 6.00% for the EW scheme and 5.52% for the ERC scheme compared to the broad cap-weighted index, while the worst performing indices are the SciBeta United States Multi-Beta Multi-Strategy indices, with a relative return of 1.62% for the EW scheme and 1.43% for the ERC scheme compared to the broad cap-weighted index.

• Over the long term, all Scientific Beta Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. Using long-term US track records since January 1, 1975 (40 years), the EW and ERC benchmarks post respective relative returns compared to cap-weighted indices of 3.95% and 3.76%.

 

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