Scientific Beta

Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta, will discuss the live performance of the Scientific Beta Multi-Beta Multi-Strategy indices across different regions and subperiods during this complimentary webinar to be held on Thursday, 16 June, 2016 at 5.00pm CET / 11.00am EST.

The "Live Performance of Scientific Beta Multi-Beta Multi-Strategy indices" webinar will be taking place on Thursday, 16 June, 2016 from 5.00-5.45pm Central European Time / 11.00-11:45am Eastern Standard Time.

The Scientific Beta multi-smart-factor indices, which allocate to four Smart Factor Indices (Mid-Cap, Value, Momentum and Low Volatility), have live annualised outperformance of 4.51% compared to their cap-weighted benchmark. (1)

Nevertheless, we are aware that it is necessary to validate live performances by examining their consistency with long term performance in order to determine if they are just a coincidence or the result of a strong academic consensus.

If most smart beta indices are marketed on the basis of outperformance, their back-tests are typically conducted over a limited time period, usually over 10 to 15 years. Assessing such back-tested performance over short periods does not allow significant conclusions to be drawn concerning the consistency of the performance of these strategies over time and the persistence of the outperformance beyond the back-test period. Therefore, this is why we think it is important to compare the performance of our smart beta equity strategies over the live period with our long term track records.

This webinar discusses the performance of Multi-Beta Multi-Strategy indices and will cover the following topics:

What is the live performance of multi (smart) factor strategies across different regions and subperiods?
Analysing consistency with Long Term Track Records
How to avoid the risks of selecting the "right" or "wrong" strategy?
Performance improvements and turnover reduction through multi factor allocation during the live period.

The webinar will be hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta.

Please note that participation in the webinar is by invitation only. To request an invitation, please contact Séverine Cibelly at severine.cibelly@scientificbeta.com or on +33 493 187 863, or visit the dedicated registration website. There is no charge for participating in the webinar.

(1) The average live outperformance across all Scientific Beta developed regions of Scientific Beta Multi-Beta Multi-Strategy (Equal Weight and Relative Equal Risk Contribution) indices is 4.51% and 4.24% respectively, while that of the Efficient Maximum Sharpe Ratio strategy in the same period is 3.50%. This live analysis is based on daily total returns in the period from December 20, 2013 (live date) to March 31, 2016, for the following developed world regions - USA, Eurozone, UK, 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.