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2015-10-13

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

Among the highlights of the September 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 Low Volatility Diversified
Multi-Strategy index, with a relative return of 2.03% compared to the broad
cap-weighted index, while the SciBeta Developed High Volatility Diversified
Multi-Strategy index posts the lowest relative return (-1.57%). We note
that twelve out of sixteen smart factor indices post positive relative
returns compared to the broad-cap weighted index this month. 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 0.99% to 3.17% 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, our flagship SciBeta Developed Multi-Beta Multi-Strategy EW index
posts relative returns of 1.03% compared to the cap-weighted index.
Year-to-date, the relative returns of the SciBeta Developed Multi-Beta
Multi-Strategy EW index are positive (3.19%).
* Looking at Multi-Beta Multi-Strategy indices for various regions, we note
that this month the best performing flagship index is the SciBeta Developed
Asia Pacific ex Japan Multi-Beta Multi-Strategy EW index, with a relative
return of 2.31% compared to the broad cap-weighted index, while the worst
performing is the SciBeta United States Multi-Beta Multi-Strategy EW index,
with a relative return of 0.52% compared to the broad cap-weighted index.
* Year-to-date, of the flagship Multi-Beta Multi-Strategy EW indices, which
all outperformed the cap-weighted index, the best performing is the SciBeta
United Kingdom Multi-Beta Multi-Strategy index, with a relative return of
7.17% compared to the broad cap-weighted index, while the worst performing
flagship index is the SciBeta United States Multi-Beta Multi-Strategy EW
index, with a relative return of 2.09% compared to the broad cap-weighted
index.
* Over the long term, all flagship 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
benchmark posts relative returns compared to the cap-weighted index of
3.95%.

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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 on Twitter
(https://twitter.com/ScientificBeta) and LinkedIn
(https://www.linkedin.com/company/scientific-beta).
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ERI Scientific Beta smart beta index performance report September 2015
http://hugin.info/157174/R/1958466/713686.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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