Scientific Beta Factor Report: Q2 2019

The Global X research team updated the Scientific Beta Factor Report for Q2 2019, analyzing the performance and characteristics of factors in the US and international markets. The full Q2 Factor Report can be read here.

Factor Investing in the US: Low Volatility Boost

The second quarter exhibited continuation of positive performance across the board. The Global X Scientific Beta US ETF (SCIU) outperformed the S&P 500 Index (bps), with much of the attribution coming from the Low Volatility factor which outpaced the S&P 500’s 4.30% return during Q2 by 100 bps. Performance was further helped by the Momentum factor, which exceeded the S&P 500 by 33 bps. Value underperformed by 39 bps and Size lagged by 62 bps.

SCIU continues to underweight the Information Technology and Communication Services sectors relative to the S&P 500, achieving lower (measured by standard deviation)of 10.51% vs. 11.52% for the benchmark.

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) had a 2.83% return for the quarter, underperforming the STOXX Europe 600 Index. The Low Volatility factor outperformed the benchmark by 17 bps, yet all other factors underperformed by an average of 180 bps.

Accessing Japan, the Global X Scientific Beta Japan ETF (SCIJ) underperformed the MSCI Japan Index by 322 bps, as all four factors underperformed the benchmark.

The Global X Scientific Beta Asia ex-Japan ETF (SCIX) had a 3.11% return during the quarter, underperforming the MSCI Pacific ex-Japan Index by 205 bps. The Low Volatility Factor outperformed the Index by 17 bps, while all other factors where detractors to performance.

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.


Standard Deviation: measure of dispersion of returns relative to its mean that is calculated as the square root of the variance.