Scientific Beta

Business Day: "This week, CoreShares will convert its Equally Weighted Top 40 ETF into the Scientific Beta Multi-Factor Index Fund. (...) The new fund will track a multifactor index constructed by an indexation business attached to leading French business school EDHEC, says Chris Rule, head of product at CoreShares. The EDHEC Risk Institute’s multifactor index includes exposure to six factors: value, momentum, small cap, low volatility and two measures of quality — high profitability and low investment."

Business Day 09/07/2019

"(...) This week, CoreShares will convert its Equally Weighted Top 40 ETF into the Scientific Beta Multi-Factor Index Fund. Its top 40 fund attempted to harness market-beating returns that can be delivered by mid- and smaller-cap shares by down-weighting exposure in the top 40 index to the largest shares in the index. The equally weighted fund assigned each of the 40 shares in the index 2.5% of the fund. The fund has, however, underperformed other top 40 ETFs over the past seven years, with the latest etfSA survey to the end of June showing its return over this period as just 6.74% a year, relative to the top 40’s 11.91%. The new fund will track a multifactor index constructed by an indexation business attached to leading French business school EDHEC, says Chris Rule, head of product at CoreShares. The EDHEC Risk Institute’s multifactor index includes exposure to six factors: value, momentum, small cap, low volatility and two measures of quality — high profitability and low investment. In balloting its investors to change the mandate of the fund, CoreShares said investing in more than one factor will give investors more consistent returns and expose them to less timing risk than investing in a single “factor” or “style” strategy. (...)"