Quarterly ERI Scientific Beta smart beta index performance

New Post Public Reply Private Reply Replies (0) Message Board
News Desk 2018
33
Quarterly ERI Scientific Beta smart beta index performance report

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.

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.

ERI Scientific Beta, 1 George Street, #15-02, Singapore 049145. For further information, please contact: Carolyn Essid, Tel.: +33 493 187 824, E-mail: carolyn.essid@scientificbeta.com , Web: www.scientificbeta.com .

Find out more about the research conducted by EDHEC-Risk Institute on smart beta and the Scientific Beta indices by following us on Twitter ( https://twitter.com/ScientificBeta ), LinkedIn ( https://www.linkedin.com/company/scientific-beta ) and YouTube ( https://www.youtube.com/channel/UCRL91F-LvhLPc9M9OD7LQgA ).

Attachments:

http://www.globenewswire.com/NewsRoom/Attachm...a600044e21

Scroll down for more posts ▼

Top 10 Most Recent News Articles

Janitorial Wages Soar 26.7% Amid High Annual Openings

Updated Category News Views 3

Janitorial Sector Faces Wage Surge and Employment Shifts Look, if you thought the world of janitorial work was all brooms and mops without a paycheck edge, think again. From 2020 to 2025, wages for janitors and building cleaners didn't just tip-toe up the ladder—they practically sprinted, climbing 26.7%. BLS data laid this one out, with hourly pay shooting from $13.98...

Continue Reading
Celina Graves Joins Expanding GoLive Streamers Platform

Updated Category News Views 3

Celina Graves Breaks New Ground on GoLive Streamers You'd think television capture all the talent buzz, but nope. Celina Graves, known from her semifinalist run on America's Got Talent, is diving into new waters by joining GoLive Streamers. She's stirring up the scene by making her performances more personal, stretching beyond the flatness of your typical TV appearance....

Continue Reading
Beasley and Vegas Golden Knights Partner for Broadcast

Updated Category News Views 4

Strategic Moves on the Airwaves The Vegas Golden Knights are skating into a new era of broadcasting. Teaming up with Beasley Media Group, they've inked a multiyear deal that makes the media outfit their official audio partner. Dropping the puck on this relationship means folks in Southern Nevada can catch the action on Beasley's English and Spanish stations. It's a hefty...

Continue Reading
Appy Pie Secures Patent for AI Driven App Building

Updated Category News Views 3

A New Dawn in App Creation You ever think about a world where creating an app is as straightforward as chatting with an old buddy? Well, that future's knocking at the door, courtesy of Appy Pie. They're ruffling feathers with a shiny new U.S. patent promising just that—apps whipped into shape by a bit of chitchat with their AI-powered platform. It's got folks scratching...

Continue Reading
NUS Unveils eLuminator: A Leap for Robotics & Healthcare

Updated Category News Views 3

Game-Changing Electronic Skin From NUS It's not every day you come across tech that could shake up multiple industries, but that's just what the National University of Singapore has cooked up with their latest brainchild—the eLuminator. This ain't your everyday wearable tech. We're talking a skin-like device that can both detect and show touch in real-time, no fiddly...

Continue Reading
Class Action Lawsuit Hits Desert Resort Management

Updated Category News Views 4

Desert Resort Management in Labor Hot Seat Alright, here's a twist that might make your coffee spill—Desert Resort Management, Inc. is caught in a legal whirlwind in Riverside County. The heavy hitters at Blumenthal Nordrehaug Bhowmik De Blouw LLP have slapped a lawsuit right in their face, alleging some grimy labor practices. They're claiming that the company wasn't...

Continue Reading
Once Upon a Coconut Supports Breast Cancer Cause

Updated Category News Views 4

Supporting Breast Cancer Awareness When a coconut water brand shifts to pink, it's not just about changing colors—it's a signal of commitment. Every October, the world paints itself pink to stand against breast cancer, and Once Upon a Coconut is no different. This year, they're diving headfirst into Breast Cancer Awareness Month with their limited-edition pink cans, all...

Continue Reading
Klydoclock's Bold Move: Licensing International Boost

Updated Category News Views 3

Revolutionizing Timekeeping with Art There’s this clock outfit, Klydoclock, that’s flipping the script on how we see time and art melding together. You see, they’ve taken those static old tick-tock reminders of the hour and juiced 'em up with animated art, turning your wall clock into something more akin to a mini art exhibit right in your living room. Ever heard of...

Continue Reading
Claigan Webinar Tackles Prop 65 Warnings for 2028

Updated Category News Views 5

Buckle up, folks. Here comes a wake-up call for businesses playing loose with their compliance homework on California's Prop 65, thanks to Claigan's latest announcement. They're hosting a webinar on October 7, 2026, gearing up everyone who'll listen for the changes hitting the books in 2028. We’re zooming past the days of generic warnings; pretty soon, it'll be all...

Continue Reading
BLM's Wild Horse Strategy: Fertility Control's Time to Shine

Updated Category News Views 4

Wild Horse Management Gets a Shot in the Arm Amigo, when the federal government throws $30 million dollars at a problem, you'd hope they're not just throwing us a bone. The Bureau of Land Management (BLM) now has this hefty sum courtesy of the U.S. Department of Agriculture, intended to expand wild horse fertility control across the sprawling landscapes they roam. This...

Continue Reading

Top 5 Most Recently Viewed Articles

Unimarket's Workday Innovation Partnership Enhances Procurement

Updated Category News Views 157

Unimarket's Recognition as a Workday Innovation Partner Unimarket, a leading provider of tailored source-to-pay (S2P) solutions, is proud to have earned the designation of official Workday Innovation Partner. This recognition reflects Unimarket's enduring commitment to enhancing procurement processes within higher education environments, enhancing the effectiveness of...

Continue Reading
Haymaker Group Enhances Presence in Tech's Heartland

Updated Category News Views 204

Haymaker Group Expands Operations in Silicon Valley Haymaker Group, a leading public relations firm that works with some of the most well-known tech brands in the industry, has announced its significant expansion into the San Francisco and Silicon Valley markets. This strategic move is a natural progression, building upon a decade of strong relationships and effective...

Continue Reading
Peter Schiff Critiques Michael Saylor's Bitcoin Strategy

Updated Category News Views 185

Peter Schiff's Criticism of Strategy Inc. Economist Peter Schiff has recently voiced strong opinions against the investment strategy of Strategy Inc. (NASDAQ: MSTR), led by co-founder Michael Saylor. Schiff argues that the company would be in a better position had it opted for almost any other asset rather than Bitcoin. Concerns Over Bitcoin Investments In a post on...

Continue Reading
Legence Corp Reports Strong Earnings Amid Rising Data Center Demand

Updated Category News Views 178

Legence Corp Delivers Impressive Post-IPO Earnings Results Legence Corp (NASDAQ: LGN) has made a significant impression with its first set of earnings results after going public. The company recently announced revenue of approximately $708.01 million, representing a 26.2% increase from the previous year and comfortably exceeding analysts' expectations of $639.78 million....

Continue Reading
TradeUP Securities Achieves Back-to-Back Day Trading Accolades

Updated Category News Views 183

TradeUP Securities' Exciting Achievement in Day Trading TradeUP Securities, Inc. has proudly announced yet another significant achievement, as it has been honored with the title of Best Brokerage for Day Trading for the second consecutive year. This accolade reflects TradeUP's unwavering commitment to providing traders with exceptional tools and resources that facilitate...

Continue Reading