ERI Scientific Beta launches multi-strategy smart factor indices
As part of its Smart Beta 2.0 approach, which is based on the research conducted by EDHEC-Risk Institute, ERI Scientific Beta has launched a series of multi-strategy smart factor indices.
The indices are available for all developed world geographical regions (USA, UK, Eurozone, Developed Europe ex UK, Japan, Developed Asia Pacific ex Japan, Developed ex USA, Developed ex UK and Developed) and allow investors to gain exposure to desired risk factors while at the same time benefitting from the index diversification possible through the combination of smart weighting schemes available on the Scientific Beta platform.
These multi-strategy smart factor indices maximise the diversification of strategy-specific risks and as such provide performance that is on average 68 per cent better than that of traditional factor indices
All Scientific Beta multi-strategy smart factor indices show positive excess returns in the long term compared to cap-weighted indices, notably High Value, with an annualised relative return of 4.70 per cent, Mid Cap (4.45 per cent), Mid Liquidity (4.25 per cent), High Momentum (3.56 per cent) and Low Volatility (2.90 per cent).
These factor exposures correspond to risk factors that are considered in the financial literature to be well rewarded, and as such are often favoured by investors in the construction of their long-term equity allocation.
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