Assets tracking smart beta indices reach US$34bn
Assets that track smart beta indices had reached US$34 billion as at 30 June 2018, according to smart beta index provider ERI Scientific Beta.
This translated into an increase of 36 per cent (US$9 billion) compared to 31 December 2017, with the growth coming mostly from the success of multi-factor offerings.
The Scientific Beta Multi-Beta Multi-Strategy Four-Factor EW indices showed an average live annualised outperformance across all Scientific Beta Developed regions of 1.9 per cent over their four-and-a-half-year live track record and an improvement in Sharpe ratio of 52.7 per cent compared to their cap-weighted benchmark.
ERI Scientific Beta’s chief executive officer, Noel Amenc, said that at a time when many investors were questioning factor investing, the real focus should be on the interaction between factor and non-factor risk, which was a key driver of the performance of multi-factor offerings.
“From that perspective, the risk-control options proposed by Scientific Beta are unique and puts us in a favourable position to respond to investors’ fiduciary choices,” he said.
“We have been very pleased with the progression in our assets under replication in the first half of the year, because extreme bull markets are not necessarily favourable for factor strategies.”
The Scientific Beta Global HFI Multi-Beta 6-Factor 4-Strategy indices outperformed their cap-weighted counterpart every year for ten years, with average annual outperformance of almost four per cent.
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