The SciBeta Developed Low Liquidity Diversified Multi-Strategy index, with a relative return of 1.10 per cent compared to the broad cap-weighted index, was the top performing ERI Scientific Beta smart beta index in March.
The SciBeta Developed High Liquidity Diversified Multi-Strategy index posted the lowest relative return (0.03 per cent).
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 1.03 per cent to 3.11 per cent 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 an allocation to well-rewarded smart factors, to prevent indices from being too concentrated in one factor 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 have posted strong annual relative returns of 1.93 per cent and 1.82 per cent, respectively, compared to cap-weighted indices.
Looking at Scientific Beta Multi-Beta Multi-Strategy (MBMS) indices for various regions, March’s best performing indices are the SciBeta Developed United States Multi-Beta Multi-Strategy indices, with a relative return of 1.22 per cent for the EW scheme and 1.19 per cent for the ERC scheme compared to the broad cap-weighted index.
Over the long term, all Scientific Beta Multi-Beta Multi-Strategy indices have posted positive excess returns compared to broad cap-weighted indices. Using long-term US track records since 1 January, 1974 (40 years), the EW and ERC benchmarks posted respective relative returns compared to cap-weighted indices of 4.09 per cent and 3.88 per cent.