Assets replicating Scientific Beta's multi-factor indices break through the USD 12bn barrier

Scientific Beta's Multi-Beta Multi-Strategy (MBMS) Low Carbon offering now exceeds USD 2 billion in assets under replication

ERI Scientific Beta, the smart beta index provider offshoot of EDHEC Risk Institute, has announced that assets tracking its smart beta indices had reached USD 12.3bn as of December 31, 2016. In terms of geographical distribution, these assets come from North America (60%), Europe (35%) and Asia-Pacific (5%).

Compared to December 31, 2015, this amount of assets under replication represents growth of 45%.

Among the drivers of this growth we can cite the success of the launch in 2016 of an offering reconciling a low carbon objective and multi-smart-factor portfolio construction, since this new series of multi-beta multi-strategy low carbon indices now represents more than USD 2 billion in assets under replication.

Another driver of the growth in assets replicating Scientific Beta indices is their performance. The Scientific Beta multi-smart-factor indices have a live track record that shows annualised outperformance of over 2% compared to their cap-weighted benchmark.¹

Commenting on the announcement that assets tracking Scientific Beta indices had broken through the USD 12bn mark, Noël Amenc, CEO of ERI Scientific Beta, said, "Scientific Beta's success over the past four years is due in no small part to the fact that its investment philosophy has proven attractive to major institutional investors throughout the world. This investment philosophy is based on three major principles: the importance of controlling the risks of the investment, because the alternative choice to the cap-weighted index means that one takes different risks, and these risks must be controlled; the essential diversification of the specific risks of the benchmark to produce robust risk-adjusted performance and avoid good long-term investment ideas being called into question by poor short-term performance due to poor diversification; and the concern for robustness, which implies that the design of an index must rely on academic consensus and not on innovations drawn from optimising the returns or the in-sample characteristics of the strategy proposed."

¹The average live outperformance across all Scientific Beta developed regions of Scientific Beta Multi-Beta Multi-Strategy (Equal Weight and Relative Equal Risk Contribution) indices is 2.06% and 2.20% respectively. This live analysis is based on daily total returns in the period from December 20, 2013 (live date) to December 31, 2016, for the following developed world regions - USA, Eurozone, UK, Developed Europe ex UK, Japan, Developed Asia Pacific ex Japan, Developed ex UK, Developed ex USA and Developed. The benchmark used is a cap-weighted portfolio of all stocks in the respective Scientific Beta universes.

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.
ERI Scientific Beta, 1 George Street, #07-02, Singapore 049145. For further information, please contact: [email protected], Web: www.scientificbeta.com.

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