ERI Scientific Beta rolls out multi-strategy smart beta indices

Feb 12th, 2014 | By | Category: ETF and Index News

ERI Scientific Beta, the indexing venture launched by Paris-based academic institution EDHEC-Risk Institute, has unveiled a series of “multi-strategy smart factor indices”.

ERI Scientific Beta rolls out multi-strategy smart beta indices

Professor Noël Amenc, Director of EDHEC-Risk Institute and CEO of ERI Scientific Beta.

The smart beta indices allow investors to gain exposure to desired risk factors while at the same time benefitting from index diversification.

Underpinned by research conducted by the highly acclaimed EDHEC-Risk Institute, the indices are available for all developed world geographical regions including USA, UK, Eurozone, Developed Europe ex UK, Japan, Developed Asia Pacific ex Japan, Developed ex USA, Developed ex UK and Developed.

The indices maximise the diversification of strategy-specific risks and as such provide performance that is on average 68% better than that of traditional factor indices, based on an historical comparison of Sharpe Ratios for US large-cap portfolios.

In addition to superior risk-adjusted performance, all of the indices show positive excess returns in the long term compared to cap-weighted indices. Indices which stand out include the High Value strategy, with an annualised relative return of 4.70%, the Mid Cap strategy (4.45%), the Mid Liquidity strategy (4.25%), the High Momentum strategy (3.56%) and the Low Volatility strategy (2.90%). These factor exposures correspond to risk factors that are considered in the financial literature to be well rewarded, and as such are often favoured by investors in the construction of their long-term equity allocation.

The launch comes just over a week after the venture announced that all 2,958 smart beta indices available on its platform would available with full transparency. This transparency ensures the indices are fully compliant with ESMA’s recommendations on the transparency of financial indices.

Noël Amenc, Director of EDHEC-Risk Institute and CEO of ERI Scientific Beta, said: “EDHEC-Risk Institute has been calling for many years for free access for investors to data relating to reference indices. We believe that making information available, not only on returns but also on the weighting of the stocks in the indices and their historical composition, is essential for investors to be able to carry out their due diligence on those indices with full independence. To our knowledge, ERI Scientific Beta is the only provider to offer this full transparency.”

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