ERI Scientific Beta names best performing indexes
The best performing index in the March quarter in the developed universe among those smart factor indices was the SciBeta Developed Narrow High Factor Intensity High Momentum Diversified Multi-Strategy index with a relative return of 2.03 per cent compared to the broad cap-weighted index, according to the smart beta indices platform provider ERI Scientific Beta.
At the same time, the SciBeta Developed Narrow High Factor Intensity Low Volatility Diversified Multi-Strategy index posted the lowest relative return (-0.25 per cent).
ERI also said that performance for smart factor indices exposed to risk factors known to be rewarded over long periods remained strong in the March quarter, with annual performance in excess of broad cap-weighted indices ranging from 2.97 per cent to 3.55 per cent since base date for the developed universe.
However, over shorter periods, the strategies are exposed to fluctuations depending on variations in market conditions, the firm said.
As far as the multi smart factor indices were concerned, the SciBeta Developed Multi-Beta Multi-Strategy 4-Fcator EW index, the SciBeta Developed High Factor Intensity Multi-Beta Multi-Strategy 6-Factor EW index and the SciBeta Developed High Factor Intensity Multi-Beta Multi-Strategy 6-Factor EW Market Beta Adjusted (Leverage) index all posted positive relative returns of 0.80 per cent, 0.25 per cent and 0.10 per cent, respectively compared to cap-weighted indices.
Following this, the Scientific Beta Multi-Beta Multi-Strategy four-factor EW indices showed an average live annualised outperformance across all Scientific Beta Developed regions of 2.11 per cent over their four-year live track record and an improvement in the sharpe ratio of 46.16 per cent compared to their cap-weighted benchmark.
ERI said that multi-beta multi-strategy indices were its flagship indices and corresponded to a multi-factor index allocation that used Scientific Beta Diversified Multi-Strategy Factor Indices, with intensity to a particular factor as building blocks.
AUTHOR
Oksana Patron
Recommended for you
Selfwealth has provided an update on the status of its scheme implementation deed with Bell Financial Group as well as whether rival bidder Svava remains in the picture.
Magellan Financial Group has reported its first half FY25 results while appointing a new chief financial officer and promoting Sophia Rahmani to chief executive.
Schroders Australia has launched two active ETFs and plans to further expand its listed range over the year ahead.
Platform Netwealth has reported its financial results for the first half of FY25, reporting an 80 per cent increase in net flows, with its CEO viewing a “huge opportunity” from private assets.
