Monthly ERI Scientific Beta smart beta index performance report

Among the highlights of the August 2014 monthly performance report for the ERI Scientific Beta indices: * Year-to-date, the best performing strategy for the Developed Equity Universe is the Efficient Minimum Volatility strategy, both in absolute (9.03%) and relative terms (2.01%), while the worst, but still positively, performing strategy is the Maximum Deconcentration strategy, both in absolute (7.77%) and relative (0.74%) terms...

Among the highlights of the August 2014 monthly performance report for the ERI Scientific Beta indices:

• Year-to-date, the best performing strategy for the Developed Equity Universe is the Efficient Minimum Volatility strategy, both in absolute (9.03%) and relative terms (2.01%), while the worst, but still positively, performing strategy is the Maximum Deconcentration strategy, both in absolute (7.77%) and relative (0.74%) terms.
  
  
• The Diversified Multi-strategy index allows extremes to be avoided by diversifying across five weighting schemes and posts year-to-date relative return of 1.30%. Since inception in 2002, the Diversified Multi-strategy index for the Developed Equity Universe also has the lowest turnover. It appears that investing in the Diversified Multi-strategy index cancels out some of the transactions occurring in the single strategies. The turnover is only 25.9% per year. The low maximum relative drawdown of the Diversified Multi-strategy index since inception (4.07%) shows that combining several strategies leads to more robust performance over the long term.
  
  
• Since January 1, 1974 (40 years), all diversified multi-strategy indices exhibit a positive relative return compared to cap-weighted indices, with values ranging from 1.11% to 4.75% 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 1.39% to 2.80% since inception for the Developed universe.
  
  
• This month, the best performing index among smart factor indices for the Developed Equity Universe is the Low Dividend Yield index with a relative return of 0.97% compared to a broad cap-weighted index, while the Value index posted the lowest relative return (-0.09%).
  
  

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