Scientific Beta Factor Report: Q1 2020

The Global X research team updated the Scientific Beta Factor Report for Q1 2020, analyzing the performance and characteristics of factors in the US and international markets. The full Q1 Factor Report can be read here.

Factor investing in the US: Volatility Challenges Factor Returns

Recording one of the steepest falls in history, the S&P 500 Index retracted 30% in 22 trading days from its record high amid increasing fears of an economic fallout on account of COVID-19. The Fed’s and the US government’s stimulus measures helped markets recover to some extent, with the S&P 500 Index ending -19.60% lower for the quarter. All four factors underperformed the S&P 500, weighing on the Global X Scientific Beta US ETF (SCIU), which returned -23.60% over the quarter.

Multi Factor, Smart Beta ETF

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

In Europe, the Global X Scientific Beta Europe ETF (SCID) posted a -25.91% return for the quarter, underperforming the STOXX Europe 600 Index by 160 bps. The Momentum and Low Volatility factors outperformed the benchmark by an average of 146 bps while the Size and Value factors underperformed by an average of 515 bps.

In Japan, the Global X Scientific Beta Japan ETF (SCIJ) provided a negative return of -17.53% for the quarter, underperforming the MSCI Japan Index by 74 bps. However, the Momentum and Low Volatility factors outperformed the index.

Asia ex-Japan ETF (SCIX) had a -28.59% return during the quarter, underperforming the MSCI Pacific ex-Japan Index by 99 bps. Low Volatility and Momentum outperformed the index.

For Fund performance, please click on the fund ticker: SCIUSCIDSCIXSCIJ. The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.

Fund performance referenced above is based on market price returns.