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SciBeta Developed High Volatility Diversified Multi-Strategy index returns 0.99% in Feb

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The best performing ERI Scientific smart factor index in February was the SciBeta Developed High Volatility Diversified Multi-Strategy index, with a relative return of 0.99% compared to the broad cap-weighted index.

The SciBeta Developed Low Volatility Diversified Multi-Strategy index posted the lowest relative return (-1.79%). 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 1.41% to 2.63% since inception for the Developed universe.

Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices associate an effective choice of weighting scheme, in terms of diversification, with the choice of smart factor, to prevent indices from being too concentrated and to reduce their specific risks. Over the past ten years, the SciBeta Developed Multi-Beta Multi-Strategy EW (Equal Weights) index and the SciBeta Developed Multi-Beta Multi-Strategy ERC (Equal Risk Contribution) index post strong annual relative returns of 1.94% and 1.84%, respectively, compared to cap-weighted indices.

Looking at Scientific Beta Multi-Beta Multi-Strategy indices for various regions, the best performing indices in February were the SciBeta Developed Asia Pacific ex Japan Multi-Strategy indices, with a relative return of -0.19% for the EW scheme and -0.23% for the ERC scheme compared to the broad cap-weighted index. However, year-to-date, all Multi-Beta Multi-Strategy indices, except the SciBeta Developed Asia Pacific ex Japan Multi-Strategy indices, posted positive relative returns compared to cap-weighted indices. 

Over the long term, all Scientific Beta Multi-Beta Multi-Strategy indices posted 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%

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