Assets tracking Scientific Beta indices top $25bn

Feb 21st, 2018 | By | Category: Equities

Smart beta index provider ERI Scientific Beta has announced that assets tracking its indices reached $25 billion at the end of December 2017, up substantially from 30 June 2017 when assets under replication amounted to $16bn.

Professor Noël Amenc, CEO of Scientific Beta

Professor Noël Amenc, CEO of Scientific Beta

Professor Noël Amenc, CEO of Scientific Beta, said, “These inflows are a reward for the choice that we made not to change the construction approach for our smart beta indices. Whatever the versions of the indices, they remain based on the double diversification of factor and specific risks, and do not sacrifice the latter in favour of a concentrated portfolio optimised in-sample.”

The Scientific Beta indices employ various smart beta strategies, such as alternative weighting methods and multi-factor overlays, to achieve targeted risk and reward objectives.

An important driver of the growth in assets replicating Scientific Beta indices has been a favourable performance track record. The Scientific Beta Multi-Beta Multi-Strategy Four-Factor EW indices, created in 2013, were the first multi-factor indices to be offered by ERI Scientific Beta. Since inception, the indices show an average annualised outperformance of 2.11% over their cap-weighted benchmark, which is comprised of all the stocks in the selection universe for the multi-factor indices.

The indices have also delivered a 46% improvement in the Sharpe Ratio (a measure of risk-adjusted returns) over their benchmark.

The largest ETF to track a Scientific Beta index is the Amundi ETF Global Equity Multi Smart Allocation Scientific Beta UCITS ETF (SMRT), which is listed across most European stock exchanges. The fund tracks the Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index.

The ETF currently has €518.4 million in assets under management and a total expense ratio of 0.40%.

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