Scientific Beta

Among the highlights of the March 2017 quarterly performance report for the ERI Scientific Beta indices, over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy 4-Factor EW (Equal Weight) 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 strong annual relative returns of 1.21%, 2.80% and 2.94% respectively compared to cap-weighted indices.

ERI Scientific Beta offers smart factor indices that provide 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. These indices are available in a wide range of versions, notably enabling broad and narrow indices to be distinguished that correspond to more or less pronounced choices of factor exposure. Furthermore, these single smart factor indices can be used in multi-factor allocations by taking into account the interactions between the indices in order to guarantee very high factor intensity. In this report, we have chosen to present the smart factors represented by the Scientific Beta Narrow High Factor Exposure Diversified Multi-Strategy indices. 

Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices provide an allocation to well-rewarded smart factor indices. Here again, Scientific Beta proposes a wide range of Multi-Beta Multi-Strategy indices based on its investment philosophy. This report presents those that enable the diversification of factor and specific risks to be reconciled. Among these indices, we have chosen to present some of the more popular ones, namely the strategy with the longest live track record – the Scientific Beta Multi-Beta Multi-Strategy Four-Factor Equal-Weight index, together with other strategies created more recently which take into account the interactions between single-factor indices in order to provide the highest factor intensity at a multi-factor level – represented by the Scientific Beta Multi-Beta Multi-Strategy High Factor Exposure Six-Factor Equal-Weight index and the Scientific Beta Multi-Beta Multi-Strategy Diversified Max Factor Exposure Solution.

Among the highlights of the March 2017 quarterly performance report for the ERI Scientific Beta indices:

• Scientific Beta Multi-Beta Multi-Strategy 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 High Factor Exposure Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed Multi-Beta Multi-Strategy Max Factor Exposure index post strong annual relative returns of 1.21%, 2.80% and 2.94% respectively compared to cap-weighted 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 -0.34%, -0.34% and -0.08% respectively compared to cap-weighted indices.
  
  
• Looking at the live performance of Scientific Beta Multi-Beta Multi-Strategy indices, the best performance was obtained by the SciBeta Japan Multi-Beta Multi-Strategy 4-Factor EW index with a relative return of 4.83%, while the lowest performance was obtained by the Developed Asia Pacific ex Japan High Factor Exposure Multi-Beta Multi-Strategy 6-Factor EW index with a relative return of -1.77%.