Scientific Beta Factor Report: Q3 2019

The Global X research team updated the Scientific Beta Factor Report for Q3 2019, analyzing the performance and characteristics of factors in the US and international markets. The full Q3 Factor Report can be read here.

Factor Investing in the US: Continued Low Volatility Boost

The third quarter exhibited positive performance across the board and the Global X Scientific Beta US ETF (SCIU) outperformed the S&P 500 Index. Three out of four factors outperformed the S&P 500, with much of the attribution coming from the Low Volatility factor which outpaced the S&P 500’s 1.70% return during Q3 by 205 bps. Further contribution came from the Momentum factor and Value factors, which exceeded the S&P 500 by 115 bps and 81 bps, respectively. The only factor that underperformed was Size by 47 bps.

SCIU continues to underweight the Information Technology and Communication Services sectors relative to the S&P 500, lowering the risk (measured by standard deviation) to 13.41% vs. 14.91% 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

Accessing Europe, the Global X Scientific Beta Europe ETF (SCID) had a negative 1.07% return for the quarter, but outperformed the STOXX Europe 600 Index by 69 bps as all the four factors outperformed the benchmark by an average of 87bps.

In Japan, the Global X Scientific Beta Japan ETF (SCIJ) provided a return of 2.60% for the quarter but underperformed the MSCI Japan Index by 53 bps, as the Value factor underperformed.

The Global X Scientific Beta Asia ex-Japan ETF (SCIX) had a negative 5.23% return during the quarter, underperforming the MSCI Pacific ex-Japan Index by 11 bps. All factors except the Value Factor 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.


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