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ERI Scientific Beta smart beta indices underperform cap-weighted indices in September


The SciBeta Developed Multi-Beta Multi-Strategy EW index and the SciBeta Developed Multi-Beta Multi-Strategy ERC index posted negative relative returns in September of -0.65 per cent and -0.68 per cent, respectively, compared to cap-weighted indices.

However, year-to-date the relative performance of the two indices remains positive, with a relative return of around 1.00 per cent for both, while both have also, over the past ten years, recorded strong annual relative returns of 2.06 per cent and 1.99 per cent, respectively, compared to cap-weighted indices.
This month, all smart factor indices post negative returns from both relative and absolute perspectives, with the exception of the SciBeta Developed Large Cap Diversified Multi-Strategy index, which posts a relative return of 0.08 per cent compared to the broad cap-weighted index.
The worst performing index is the SciBeta Developed Mid Cap Diversified Multi-Strategy index, with a relative return of -1.23 per cent. However, year-to-date, the relative performance of all smart beta indices, except one (SciBeta Developed High Volatility Diversified Multi-Strategy index) remain positive compared to cap-weighted indices.
Since 1 January 1974, 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 1.37 per cent to 2.66 per cent since inception for the Developed universe.
Looking at year-to-date relative returns, all strategies except one (high volatility), post positive return relative to cap-weighted. The best performing index among smart factor indices is the SciBeta Developed Low-Volatility Diversified Multi-Strategy index with a relative return of 1.98 per cent, followed by the SciBeta Developed Low-Div-Yield Diversified Multi-Strategy index with a relative return of 1.38 per cent.

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