Scientific Beta

UCITS funds from two of ERI Scientific Beta's partners, Amundi and Morgan Stanley, have received a five-star Morningstar Rating™ based on risk-adjusted returns over a three-year period: The Amundi ETF Global Equity Multi Smart Allocation Scientific Beta UCITS ETF EUR fund and the FundLogic Alternatives plc MS Scientific Beta Global Equity Factors UCITS ETF USD fund. 

UCITS funds from two of ERI Scientific Beta's partners, Amundi and Morgan Stanley, have received a five-star Morningstar Rating™ based on risk-adjusted returns over a three-year period: 

The Morningstar Rating™ is a measure of a fund's risk-adjusted return relative to its peers, in this case in the Global Large-Cap Blend Equity category, on a scale of one to five stars, with the best performing funds receiving five stars. 

Launched on 27 May 2014, the Amundi ETF Global Equity Multi Smart Allocation Scientific Beta UCITS ETF EUR fund, which tracks the performance of the Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index, seeks to generate a higher return than the universe of large-cap and mid-cap developed European market stocks (global universe), weighted by market capitalisation. 

The index is exposed to four equity factors: Size, Value, Momentum and Low Volatility. Five weighting methods are applied to each of these four sub-indices: Maximum Deconcentration, Maximum Decorrelation, Efficient Minimum Volatility, Efficient Maximum Sharpe Ratio and Diversified Risk Weighted. The weighting of securities in each of the four sub-indices is obtained by taking for each security the average weight obtained using the five weighting methods. These four sub-indices are then weighted in accordance with the "Equal Risk Contribution" method where each sub-index contributes equally to the relative risk, measured using the tracking error compared to the benchmark universe weighted by market capitalisation. 

Launched on 30 May 2014, the FundLogic Alternatives plc MS Scientific Beta Global Equity Factors UCITS ETF USD fund, based on the Scientific Beta Developed  Multi-Beta Multi-Strategy Four-Factor Equal-Weight Index, offers broad, global equity exposure and aims to  outperform traditional cap-weighted  benchmarks, on an absolute and risk-adjusted basis, by emphasising factor exposures and a diversified weighting methodology. 

The index is exposed to four equity factors: Size, Value, Momentum and Low Volatility. A diversified multi-strategy weighting approach is applied for each respective factor portfolio. This is comprised of an equally-weighted allocation across five weighting schemes: Maximum Deconcentration, Maximum Decorrelation, Efficient Minimum Volatility, Efficient Maximum Sharpe Ratio and Diversified Risk Weighted. Such a portfolio construction methodology is designed to limit model risks in the diversification process as it does not favour any one of the available diversification methodologies. The index is then comprised of an equally-weighted allocation among the four factor portfolios.