Scientific Beta Factor Report: Q1 2019

by: Global X ETFs

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 (NYSEARCA: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 (NYSEARCA: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.

For Fund performance, please click on the fund ticker: SCIU, SCID, SCIX, SCIJ

Index returns are for illustrative purposes only and do not represent actual Fund performance. Past performance is no guarantee of future results. Indices are unmanaged and do not include the effect of fees, expenses or sales charges. One cannot invest directly in an index.

Carefully consider the Funds’ investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds’ summary or full prospectus, which may be obtained by calling 1-888-GX-FUND-1 (1.888.493.8631), or by visiting www.globalxfunds.com. Read the prospectus carefully before investing.

Investing involves risk, including the possible loss of principal. In addition to the normal risks associated with investing, international investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. For the Scientific Beta Japan ETF, the Japanese economy may be subject to considerable degrees of economic, political and social instability, which could have a negative impact on Japanese securities. In addition, Japan is subject to the risk of natural disasters, such as earthquakes, volcanoes, typhoons and tsunamis, which could negatively affect the Fund.

Diversification may not protect against market risk. There is no assurance the goals of the strategy discussed will be met.

Shares of ETFs are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.

EDHEC Risk Institute Asia Ltd. indexes have been licensed for use by Global X Management Company, LLC. Global X Funds are not sponsored, endorsed, issued, sold, or promoted by EDHEC Risk Institute Asia Ltd. nor does this company make any representations regarding the advisability of investing in the Global X Funds.

Global X Management Company, LLC serves as an advisor to the Global X Funds. The Funds are distributed by SEI Investments Distribution Co., which is not affiliated with Global X Management Company, LLC