Mon, 07/07/2014 - 16:07
The Efficient Minimum Volatility strategy was the best performing strategy for the developed equity universe in June, both in absolute (8.54 per cent) and relative terms (2.20 per cent), according to ERI Scientific Beta.
The worst, but still positively, performing strategy was the Maximum Deconcentration strategy, both in absolute (7.54 per cent) and relative (1.20 per cent) terms.
The Diversified Multi-strategy index allows extremes to be avoided by diversifying across five weighting schemes and posts year-to-date relative return of 1.60 per cent.
Since inception in 2002, the Diversified Multi-strategy index for the Developed Equity Universe also has the lowest turnover. It appears that investing in the Diversified Multi-strategy index cancels out some of the transactions occurring in the single strategies. The turnover is only 26.5 per cent per year. The low maximum relative drawdown of the Diversified Multi-strategy index since inception (4.07 per cent) shows that combining several strategies leads to more robust performance over the long term.
Since 1 January 1974 (40 years), all diversified multi-strategy indices exhibit a positive relative return compared to cap-weighted indices, with values ranging from 1.11 per cent to 4.75 per cent for the US universe. Performance for multi-strategy smart beta indices exposed to risk factors known to be well rewarded over long periods remains strong with excess annual performance over broad cap-weighted indices ranging from 1.41 per cent to 2.84 per cent since inception for the developed universe.
This month, the best performing index among smart factor indices for the developed equity universe is the High Volatility index with a relative return of 0.89 per cent compared to a broad cap-weighted index, while the Low Volatility index posted the lowest relative return (-0.09 per cent).
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Mon, 31 Aug 2015 00:00:00 GMTPh. D / Quantitative Researcher - NYC
Mon, 31 Aug 2015 00:00:00 GMTInvestment Banking Restructuring Analyst/Associate
Mon, 31 Aug 2015 00:00:00 GMT