ERI Scientific Beta names best performing indexes
The best performing index in the March quarter in the developed universe among those smart factor indices was the SciBeta Developed Narrow High Factor Intensity High Momentum Diversified Multi-Strategy index with a relative return of 2.03 per cent compared to the broad cap-weighted index, according to the smart beta indices platform provider ERI Scientific Beta.
At the same time, the SciBeta Developed Narrow High Factor Intensity Low Volatility Diversified Multi-Strategy index posted the lowest relative return (-0.25 per cent).
ERI also said that performance for smart factor indices exposed to risk factors known to be rewarded over long periods remained strong in the March quarter, with annual performance in excess of broad cap-weighted indices ranging from 2.97 per cent to 3.55 per cent since base date for the developed universe.
However, over shorter periods, the strategies are exposed to fluctuations depending on variations in market conditions, the firm said.
As far as the multi smart factor indices were concerned, the SciBeta Developed Multi-Beta Multi-Strategy 4-Fcator EW index, the SciBeta Developed High Factor Intensity Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed High Factor Intensity Multi-Beta Multi-Strategy 6-Factor EW Market Beta Adjusted (Leverage) index all posted positive relative returns of 0.80 per cent, 0.25 per cent and 0.10 per cent, respectively compared to cap-weighted indices.
Following this, the Scientific Beta Multi-Beta Multi-Strategy four-factor EW indices showed an average live annualised outperformance across all Scientific Beta Developed regions of 2.11 per cent over their four-year live track record and an improvement in the sharpe ratio of 46.16 per cent compared to their cap-weighted benchmark.
ERI said that multi-beta multi-strategy indices were its flagship indices and corresponded to a multi-factor index allocation that used Scientific Beta Diversified Multi-Strategy Factor Indices, with intensity to a particular factor as building blocks.
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