ERI Scientific Beta has launched Multi-Beta Multi-Strategy (MBMS) indices, which are now available on the www.scientificbeta.com platform.
Scientific Beta Multi-Beta Multi-Strategy indices address the two main limitations of cap-weighted indices, namely ill-suited exposures to systematic risk factors and excessive concentration in a small number of stocks.
Multi-Beta Multi-Strategy indices provide allocations to a selection of equity market risk factors (value, momentum, size and low volatility) that are very well rewarded over the long term. Within each factor tilt, ERI Scientific Beta applies smart weighting methodologies to selected stocks so that the indices are not only exposed to the relevant factor, but also well diversified.
The Multi-Beta Multi-Strategy offering also benefits from the lack of correlation between the premia associated with these factors, because they correspond to different economic cycles.
Over the long run, the Multi-Beta Multi-Strategy approach enables the benefits of smart beta to be doubled, with excess performance compared to the cap-weighted index of almost four per cent per year and a gain in Sharpe ratio of 115 per cent.
Noël Amenc, CEO of ERI Scientific Beta, says: “Multi-beta multi-strategy indices allow equity investors to expand their opportunity set beyond the standard equity premium. These indices of indices are effective entry points for asset owners who wish to dispose of a robust and proven asset allocation solution.”