Scientific Beta
Among the highlights of the September 2017 quarterly performance report for the ERI Scientific Beta indices, this quarter, ending September 30, 2017, the best performing index in the Developed universe among the single smart factor indices is the SciBeta Developed Narrow High Factor Exposure High Momentum Diversified Multi-Strategy index with a relative return of 1.62% compared to the broad cap-weighted index.
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 September 2017 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 September 30, 2017, the best performing index in the Developed universe among those smart factor indices is the SciBeta Developed Narrow High Factor Exposure High Momentum Diversified Multi-Strategy index with a relative return of 1.62% compared to the broad cap-weighted index, while the SciBeta Developed Narrow High Factor Exposure Mid-Cap Diversified Multi-Strategy index posts the lowest relative return (-2.75%).
- 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 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 -0.65%, -1.23% and -0.46% respectively compared to cap-weighted indices. Year-to-date, the indices post relative returns of -0.05 %, -0.45% and 1.06% respectively compared to cap-weighted indices.
- The Scientific Beta Multi-Beta Multi-Strategy Four-Factor Equal-Weight 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 2.07% over their three-year live track record and an improvement in the Sharpe Ratio of 49.48% compared to their cap-weighted benchmark (1).
(1) The 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 2.07% for the outperformance and 49.48% 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 September 30, 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.