Investor interest in defensive equity strategies has grown tremendously in the wake of the global financial crisis and against the backdrop of renewed academic interest in the Low Volatility risk premium. However, investors often confound defensive strategies, which are designed to provide downside protection in bear markets (Efficient Minimum Volatility), with defensive strategies designed to harvest the reward from the Low Volatility risk factor. This confusion arises from the rampant marketing of defensive strategies as factor harvesting strategies (and vice versa), as well as from the shared risk characteristics of the two approaches. Yet, it is necessary to clearly distinguish between these two approaches in order to design improved forms of defensive strategies. Nevertheless, even improved forms of traditional defensive strategies will be subject to two limitations; being overly concentrated in only one risk factor and prolonged periods of underperformance relative to market cap-weighted indices in bull markets. These concerns can be addressed through the design of a defensive multi-factor strategy that adapts to varying market conditions. This webinar will address ERI Scientific Beta's improved forms of traditional defensive strategies and an Adaptive Defensive Solution through the use of smart factor indices.
Overview
Investor interest in defensive equity strategies has grown tremendously in the wake of the global financial crisis and against the backdrop of renewed academic interest in the Low Volatility risk premium.
However, investors often confound defensive strategies, which are designed to provide downside protection in bear markets (Efficient Minimum Volatility), with defensive strategies designed to harvest the reward from the Low Volatility risk factor. This confusion arises from the rampant marketing of defensive strategies as factor harvesting strategies (and vice versa), as well as from the shared risk characteristics of the two approaches. Yet, it is necessary to clearly distinguish between these two approaches in order to design improved forms of defensive strategies.
Nevertheless, even improved forms of traditional defensive strategies will be subject to two limitations; being overly concentrated in only one risk factor and prolonged periods of underperformance relative to market cap-weighted indices in bull markets. These concerns can be addressed through the design of a defensive multi-factor strategy that adapts to varying market conditions.
This webinar addressed ERI Scientific Beta's improved forms of traditional defensive strategies and an Adaptive Defensive Solution through the use of smart factor indices.
Topics covered include:
Slides
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Host
The webinar was hosted by Eric Shirbini, Global Product Specialist at ERI Scientific Beta. Prior to joining EDHEC-Risk Institute, Eric Shirbini was a quantitative analyst at UBS, BNP Paribas and Nomura International. During this time he worked on a diverse range of topics including multi-factor models, fundamental stock valuation, equity market indices, portfolio construction and portfolio trading. At BNP Paribas Eric managed a team of analysts who were responsible for the Global Equity Research Database. Mr. Shirbini holds a BSc and PhD from University College London and an MBA from CASS Business School.
Date/Time
19 July, 2016 at 5.00pm CET / 11.00am EST.