Quarterly ERI Scientific Beta smart beta index performance report

Among the highlights of the March 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 March 31, 2018, the best performing index in the Developed universe among those smart factor indices is the SciBeta Developed Narrow High Factor Intensity High Momentum Diversified Multi-Strategy index with a relative return of 2.03% compared to the broad cap-weighted index, while the SciBeta Developed Narrow High Factor Intensity Low Volatility Diversified Multi-Strategy index posts the lowest relative return (-0.25%).
  
  
• 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 Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed High Factor Intensity Multi-Beta Multi-Strategy 6-Factor EW Market Beta Adjusted (Leverage) index post positive relative returns of 0.80%, 0.25% and 0.10% respectively compared to cap-weighted indices.
  
  
• The Scientific Beta Multi-Beta Multi-Strategy Four-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 2.11% over their four-year live track record and an improvement in the Sharpe Ratio of 46.16% 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 Equal-Weight indices is 2.11% for the outperformance and 46.16% 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 December 31, 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.

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: [email protected], 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).

Attachment

• ERI Scientific Beta smart beta index performance report March 2018.pdf