Scientific Beta Factor Report: Q1 2019
The Global X research team updated the Scientific Beta Factor Report for Q1 2019, analyzing the performance and characteristics of factors in the US and international markets. The full Q1 Factor Report can be read here.
United States: V-Shaped Recovery
In Q1, both the S&P 500 and Global X Scientific Beta US ETF (SCIU) exhibited double digit returns. SCIU underperformed its benchmark by 7 bps, mostly attributed to the underperformance of the Value factor, which returned 11.97% during the period. Low Vol was slightly off by 64 bps, while Momentum and Size factors outperformed the benchmark by 80 bps, and 141 bps, respectively.
SCIU achieved lower volatility (11.62%) relative to the S&P 500 (13.51%), largely attributable to its diversified weighting scheme approach that seeks to mitigate idiosyncratic risks.
Value index represented by the Scientific Beta United States Value Diversified Multi-Strategy Index. Momentum represented by the Scientific Beta United States High-Momentum Diversified Multi-Strategy Index. Size Index represented by the Scientific Beta United States Mid-Cap Diversified Multi-Strategy Index. Low Volatility represented by the Scientific Beta United States Low-Volatility Diversified Multi-Strategy Index.
Factor Investing in Europe, Asia, and Asia Ex-Japan
Asia ex-Japan (SCIX) also exhibited double digit returns during the quarter, outperforming its benchmark, the MSCI Pacific Ex-Japan Index, by 2 bps.
Accessing Europe, SCID had a 9.62% return, underperforming the STOXX Europe 600 Index by 139 bps, as all four factors underperformed the benchmark.
In Japan, SCIJ returned 4.79% during the quarter, underperforming its benchmark, the MSCI Japan Index, by 187 bps. All factors contributed to underperformance.