ERI Scientific Beat has published the monthly performance report for January 2015 for the ERI Scientific smart beta indices.
The best performing of the smart factor indices for the month are the SciBeta Developed Low Volatility Diversified Multi-Strategy index and the SciBeta Developed High Momentum Diversified Multi-Strategy index, both with a relative return of 1.66% compared to broad cap-weighted indices, while the SciBeta Developed High Volatility Diversified Multi-Strategy index posts the lowest relative return (0.08%).
Performance for smart factor indices exposed to risk factors known to be well rewarded over long periods remains strong with annual performance in excess of broad cap-weighted indices ranging from 1.34% to 2.84% since inception for the Developed universe.
Over the past month, the Scientific Beta factor indices and the Scientific Beta multifactor index post positive relative returns compared to MSCI World, while some competing indices did not (the Russell Developed Small Cap index, the FTSE Developed Momentum Factor index, the MSCI World Value Weighted index and the Russell High Efficiency Large Cap Developed Value index). The Scientific Beta factor indices achieve the highest relative performance compared to competing indices for two factors out of four (momentum and value). If we compute the average of the four factor relative returns by provider, the best result is obtained for the Scientific Beta indices (1.47%), compared with 1.35% for the MSCI indices, 0.51% for the Russell indices and 0.33% for the FTSE indices.
Over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy EW index and the SciBeta Developed Multi-Beta Multi-Strategy ERC index post annual relative returns of 2.09% and 1.99%, respectively, compared to cap-weighted indices. This month, the SciBeta Developed Multi-Beta Multi-Strategy EW index and the SciBeta Developed Multi-Beta Multi-Strategy ERC index both post positive relative returns of 1.22% compared to cap-weighted indices.
Over the long term, all SciBeta Multi-Beta Multi-Strategy indices post positive excess return compared to broad cap-weighted indices. Using long-term US track records since 1 January, 1974 (40 years), the EW and ERC benchmarks post respective relative returns compared to cap-weighted indices of 4.09% and 3.88%.
