Scientific Beta

Traditional multi-asset portfolios resort to cap-weighted benchmarks to gain exposure to the equity asset class. However, this exposes the portfolio to the drawbacks of equity market volatility, including extreme events and tail risks. This webinar will introduce the Scientific Beta Dynamic Defensive index which provides an interesting solution to improve the performance of a multi-asset portfolio by allowing for shifts in equity component allocation to boost returns without increasing the overall portfolio risk profile. 

Dimitris Korovilas, PhD, Investment Product Specialist at Scientific Beta, is hosting an IPE webcast entitled "Dynamic Defensive Equity in a Multi-Asset Allocation" on 15 November, 2022 at 2.00 pm GMT / 3.00 pm CET.

Traditional multi-asset portfolios resort to cap-weighted benchmarks to gain exposure to the equity asset class. However, this exposes the portfolio to the drawbacks of equity market volatility, including extreme events and tail risks. 

The VIX has been ticking at its highest level of the last 2.5 years while the U.S. equity market has tumbled year-to-date with an absolute performance of -24.5%. Fixed-income markets are also suffering with the U.S. Treasury bond portfolio dropping by -13.1% year-to-date. In this environment, the Scientific Beta Dynamic Defensive equity index has delivered performance of +9.5% relative to the equity cap-weighted benchmark index. 

The Scientific Beta Dynamic Defensive index provides an interesting solution to improve the performance of a multi-asset portfolio by allowing for shifts in equity component allocation to boost returns without increasing the overall portfolio risk profile; the dissymmetry of market betas in low and high volatility market regimes enables downside risks such as maximum drawdown and worst 5% one- or three-year rolling returns to be reduced, but also provides a strong average volatility reduction and Sharpe ratio improvement compared to the cap-weighted index. 

This webinar, hosted by Dimitris Korovilas, PhD, Investment Product Specialist at Scientific Beta, will present Scientific Beta's dynamic defensive solution in a multi-asset context. 

Topics covered include: 

The webcast will be moderated by Brendan Maton of IPE. 

Dimitris Korovilas, PhD, is an Investment Specialist in the Business Development Division of Scientific Beta. Prior to joining Scientific Beta in 2019, he held a Vice President position in the Investment Strategies division of investment bank Citigroup. He has worked on a range of topics including equity factor indices, multi-asset risk premia, portfolio construction and volatility-based strategies. He holds a PhD in finance from the ICMA Centre, Henley Business School in the UK and a Master’s degree from the same school. His doctoral research has appeared in international academic journals.