The best performing type of smart beta in 2015 was related to the ‘momentum’ factor, according to research.
ERI Scientific Beta, which analysed smart beta returns of its own indices, said that its SciBeta Developed High Momentum Diversified Multi-Strategy index produced a return of 4.97% relative to the broader, capital-weighted market, in dollar terms.
Meanwhile, a value factor produced the lowest return. The Developed Value Diversified Multi-Strategy index underperformed the broader market by 1.10%.
Other factors’ relative returns were positive in 2015. Equal-weighted produced 2.68%; equal relative risk produced 2.25%; and quality produced 3.08%. The returns are taken from ERI’s Multi-Beta Multi-Strategy indices.
These indices associate an effective choice of weighting scheme, in terms of diversification, with an allocation to well-rewarded smart factors, to prevent indices from being too concentrated in one factor and to reduce risk, ERI says.
ERI Scientic Beta is part of the Edhec-Risk Institute, an academic body.
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