Scientific Beta releases narrow factor index series

Jun 20th, 2017 | By | Category: ETF and Index News

ERI Scientific Beta has announced the launch of a new series of indices that target narrow exposure to a range of single factors. The narrow high factor exposure index family consists of 90 separate indices, each covering one of 15 regions and one of six factors.

Scientific Beta releases narrow factor index series

Noël Amenc, CEO of ERI Scientific Beta.

The single factors on offer are low volatility, mid-cap, value, high momentum, high profitability and low investment. The regions represented include the US, developed and emerging Asia Pacific, Europe, Japan, the UK and global.

The indices also feature a High Factor Exposure filter, which, while maintaining the single factor tilt, seeks to eliminate stocks that have poor exposures to the other factors.

Professor Noel Amenc, CEO, ERI Scientific Beta, commented: “These indices, which we have been using since December 2016 for dedicated factor allocation solutions, correspond to two main usages in the factor overlay framework. They either allow the value of a tactical bet on a factor to be maximised or the factor biases of a pre-existing allocation to be corrected in a highly efficient way.”

As of December 31, 2016, Scientific Beta had $12.3 billion in assets benchmarked to its indices. Investors looking for an ETF that tracks a Scientific Beta index could try the Amundi ETF Global Equity Multi Smart Allocation Scientific Beta UCITS ETF (Euronext: SMRT) which has assets under management of €513 million with an ongoing charge of 0.40%.

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