Scientific Beta Factor Report: Q4 2019
The Global X research team updated the Scientific Beta Factor Report for Q4 2019, analyzing the performance and characteristics of factors in the US and international markets. The full Q4 Factor Report can be read here.
Factor Investing in the US: Solid performance across the board
In Q4, the Global X Scientific Beta US ETF (SCIU) exhibited positive performance across all four factors with the Value factor performing the best at 7.45%. Nevertheless, SCIU underperformed the S&P 500 Index by 361 basis points. For the full year, SCIU ended up 28.38%.
Most of the underperformance of SCIU ETF to S&P 500 Index in Q4 was attributable to underweighting the Technology sector by around 7% and Communication Services by 6%, two sectors with strong performance in Q4.
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) provided a return of 9.24% for the quarter, nearly matching the STOXX Europe 600 Index performance of 9.26%. Value and Size outperformed the broad Index, while Low Vol and Momentum underperformed. For year end, SCID finished up 21.83%.
In Japan, the Global X Scientific Beta Japan ETF (SCIJ) provided a return of 5.98% for the quarter but underperformed the MSCI Japan Index by 166 bps, as all the factors underperformed the Index. SCIJ ended the year up 11.44%.
Asia ex-Japan ETF (SCIX) provided a return of 5.53% during the quarter, underperforming the MSCI Pacific ex-Japan Index by 25 bps. All the factors except High Momentum Factor underperformed the Index. For the full year, SCIX ended up 15.77%.
For Fund performance, please click on the fund ticker: SCIU, SCID, SCIX, SCIJ. 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.