Bringing you live news and features since 2006 

upwards trending arrow

ERI Scientific Beta indices report strong performance in August

RELATED TOPICS​

According to the August 2014 monthly performance report for the ERI Scientific Beta indices, the best performing strategy year-to-date for the developed equity universe is the Efficient Minimum Volatility strategy.

That is both in absolute (9.03 per cent) and relative terms (2.01 per cent), while the worst, but still positively, performing strategy is the Maximum Deconcentration strategy, both in absolute (7.77 per cent) and relative (0.74 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 1.30 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 25.9 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 1.39 per cent to 2.80 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 Low Dividend Yield index with a relative return of 0.97 per cent compared to a broad cap-weighted index, while the Value index posted the lowest relative return (-0.09 per cent).

Latest News

US ETF issuers of active ETFs are facing an increase in fees from the big custodian firms, such as Charles..
ETF data consultant ETFGI reports that assets invested in the global ETF industry reached a new record of USD12.71 trillion..
Calastone has published an ETF white paper which examines several of the processes that take place across the lifecycle of..
Adapting product lines to fit into changing methodologies and meet shifting demand is essential to remaining relevant in the industry..

Related Articles

Taylor Krystkowiak, Themes ETFs
Themes ETFs opened its doors in December 2023, with an introductory suite of 11 ETFs – seven thematic and four...
Konrad Sippel, Solactive
At the end of March, financial index specialist, Solactive, published its 2024 annual report on future trends.  ...
Lorraine Sereyjol-Garros, BNP Paribas
Following changes to the French Monetary and Financial Code and of the French market authority AMF’s General Regulation, it is...
Ed Rosenberg, Texas Capital
Texas Capital Bank first opened its doors back in December 1998 and nowadays offers wealth-management services, as well as commercial,...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by