Scientific Beta

ETF Strategy: "ERI Scientific Beta, the smart beta indexing initiative spun out of EDHEC-Risk Institute, has announced the release of a new suite of multi-factor smart beta indices based around fundamental measures of quality, namely high profitability and low investment. The combination of these factors has culminated in the firm’s Quality Multi-Beta Indices, a rules-based investable index which could form the basis of exchange-traded funds."

ETF Strategy 01/12/2015

"(...) ERI Scientific Beta, the smart beta indexing initiative spun out of EDHEC-Risk Institute, has announced the release of a new suite of multi-factor smart beta indices based around fundamental measures of quality, namely high profitability and low investment. The combination of these factors has culminated in the firm’s Quality Multi-Beta Indices, a rules-based investable index which could form the basis of exchange-traded funds. (...) Analysis over the past 10 years (31 December 2004 to 31 December 2014) shows the benefits of combining the high profitability and low investment factors, with the index outperforming MSCI World by 3.14% on an annual basis while displaying lower volatility (15.31% vs. 17.49%) and a lower maximum drawdown (49.98% vs. 57.46%). The indices are constructed based on a variety of regions and are available in both regular and highly-liquid versions with or without sector and geographical neutrality. (...)"