This webinar details Scientific Beta's robust dynamic defensive solution that addresses the drawbacks of traditional defensive strategies and notably provides a reduction in market beta and volatility in distressed times, i.e. it is defensive when needed most. This new solution allows volatility to be smoothed through time and consequently improves average and extreme risks as well as risk-adjusted returns.
Overview
Defensive equity solutions are popular strategies because they provide better downside protection while also delivering good risk-adjusted returns, since they are exposed to the Low Volatility risk premium.
However, traditional defensive solutions suffer from some clearly identifiable drawbacks, notably negative exposures to other rewarded factors, a lack of diversification and are not truly defensive in periods of high market volatility, at a time when lower risk is needed most. Furthermore, traditional defensive strategies suffer from high carbon exposure compared to a cap-weighted index, which in turn exposes these types of strategies to climate risk.
In this webinar, Daniel Aguet, Index Director, and Eric Shirbini, Global Research and Investment Solutions Director at Scientific Beta detail the Scientific Beta robust dynamic defensive solution. This offering addresses the drawbacks of traditional defensive strategies and notably provides a reduction in market beta and volatility in distressed times, i.e. it is defensive when needed most. This new solution allows volatility to be smoothed through time and consequently improves average and extreme risks as well as risk-adjusted returns. This strategy notably allowed the maximum loss observed in the first quarter of 2020 following the Covid-19 crisis to be reduced by 32% compared to the reference cap-weighted index.
Daniel Aguet and Eric Shirbini also detail the decarbonised version offered for investors who care about climate change.
Topics covered include:
Hosts
The webinar was hosted by:
Daniel Aguet, Index Director at Scientific Beta. Daniel previously worked at BCV, a Swiss bank based in Lausanne, as a Quantitative Investment Manager for more than 10 years. His work was mainly focused on quantitative research and fund management in the equity space. He has been involved in the development and the management of smart beta portfolios both in a long-only and a long/short framework, as well as in research on the quantitative implementation of socially responsible investment. Daniel is a Chartered Alternative Investment Analyst (CAIA) and holds a Master’s degree in Finance with a specialisation in Financial Engineering and Risk Management from HEC Lausanne.
Eric Shirbini, Global Research and Investment Solutions Director at Scientific Beta. Prior to joining EDHEC-Risk Institute in 2011, Eric worked for close to twenty years as a quantitative analyst for investment banks including 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 Nomura International, he served as Director of Quantitative Research and at BNP Paribas, he managed a team of analysts who were responsible for the Global Equity Research Database. He holds a B.Sc. and a Ph.D. from University College London and an MBA from CASS Business School.
Date/Time
Thursday 4 June, 2020 at 4.00pm CET.