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2015-09-08

EDHEC-Risk Institute: Monthly ERI Scientific Beta smart beta index performance report

All sixteen smart factor indices post positive performance over cap-weighted

Among the highlights of the August 2015 monthly performance report for the ERI
Scientific Beta indices:

* This month, the best performing index in the Developed World universe among
smart factor indices is the SciBeta Developed Mid Cap Diversified
Multi-Strategy index, with a relative return of 1.86% compared to the broad
cap-weighted index, while the SciBeta Developed Large Cap Diversified
Multi-Strategy index posts the lowest relative return (0.40%). All sixteen
smart factor indices post positive relative returns compared to the
broad-cap weighted index this month. Year-to-date, the best-performing
smart factor index in the Developed World universe is the SciBeta Developed
Low Dividend Yield Diversified Multi-Strategy index, with a return of
4.45%, while the worst-performing index is the SciBeta Developed High
Dividend Yield Diversified Multi-Strategy (-0.84%). Performance for smart
factor indices exposed to risk factors known to be well rewarded over long
periods remains strong, with annual performance in excess of broad
cap-weighted indices ranging from 0.96% to 3.15% since inception for the
Developed universe.
* Scientific Beta Multi-Beta Multi-Strategy (MBMS) 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 their specific risks. This
month, the SciBeta Developed Multi-Beta Multi-Strategy EW index and the
SciBeta Developed Multi-Beta Multi-Strategy ERC index post relative returns
of 1.42% and 1.38% respectively, compared to cap-weighted indices.
Year-to-date, the relative returns of the SciBeta Developed Multi-Beta
Multi-Strategy indices are positive (2.23% and 2.03%, respectively).
* Looking at Multi-Beta Multi-Strategy indices for various regions, we note
that this month the best performing indices are the SciBeta Developed Asia
Pacific ex Japan Multi-Beta Multi-Strategy indices, with a relative return
of 2.45% for the EW scheme and 2.46% for the ERC scheme compared to the
broad cap-weighted index, while the worst performing indices are the
SciBeta United States Multi-Beta Multi-Strategy indices, with a relative
return of 1.23% for the EW scheme and 1.22% for the ERC scheme compared to
the broad cap-weighted index.
* Year-to-date, the best-performing Multi-Beta Multi-Strategy indices are the
SciBeta United Kingdom Multi-Beta Multi-Strategy indices, with a relative
return of 6.00% for the EW scheme and 5.52% for the ERC scheme compared to
the broad cap-weighted index, while the worst performing indices are the
SciBeta United States Multi-Beta Multi-Strategy indices, with a relative
return of 1.62% for the EW scheme and 1.43% for the ERC scheme compared to
the broad cap-weighted index.
* Over the long term, all Scientific Beta Multi-Beta Multi-Strategy indices
post positive excess return compared to broad cap-weighted indices. Using
long-term US track records since January 1, 1975 (40 years), the EW and ERC
benchmarks post respective relative returns compared to cap-weighted
indices of 3.95% and 3.76%.

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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: Carolyn Essid, Tel.: +33 493 187 824,
E-mail:carolyn.essid@scientificbeta.com, Web:www.scientificbeta.com.

Find out more about the research conducted by EDHEC-Risk Institute on smart
beta and the Scientific Beta indices by following us onTwitterandLinkedIn.
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ERI Scientific Beta smart beta index performance report August 2015
http://hugin.info/157174/R/1950582/709224.pdf

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This announcement is distributed by NASDAQ OMX Corporate Solutions on behalf of NASDAQ OMX Corporate Solutions clients.
The issuer of this announcement warrants that they are solely responsible for the content, accuracy and originality of the information contained therein.
Source: EDHEC-Risk Institute via Globenewswire

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