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Among the highlights of the December 2016 monthly performance report for the ERI Scientific Beta indices:
- Scientific Beta Multi-Beta Multi-Strategy (MBMS) 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 Multi-Beta Multi-Strategy 6-Factor EW (Equal Weight) index and the SciBeta Developed Multi-Beta Multi-Strategy Quality index post strong annual relative returns of 1.43%, 1.90% and 2.86% respectively, compared to cap-weighted indices.
- Year-to-date, which in this quarter is also the 2016 full year performance, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW index, the SciBeta Developed Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed Multi-Beta Multi-Strategy Quality index post relative returns of -0.81%, -0.45% and 0.39% respectively, compared to cap-weighted indices.
- The year 2016 was marked by a rare event in the investment world where, in the end, four out of the six traditional rewarded factors underperformed the CW reference. This situation, which cannot allow factor diversification to play its role, has been analysed over a long-term period within the framework of the design of the Scientific Beta indices and its probability of occurrence is less than 10%.
- Over the last ten years, all Scientific Beta Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. If we consider the 6-Factor EW allocation, the annualised excess return over the past ten years ranges from 1.53% for the SciBeta United Kingdom Multi-Beta Multi-Strategy 6-Factor EW index to 3.50% for the SciBeta Japan Multi-Beta Multi-Strategy 6-Factor EW index.
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, #07-02, 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).
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