Scientific Beta

Institutional Asset Manager: "OPTrust, which invests and manages one of Canada’s largest pension funds, is investing in an equity portfolio that is benchmarked to the Scientific Beta Developed Multi-Beta Multi-Strategy Relative Volatility (90 per cent) Solution. (...) The Scientific Beta Multi-Beta Multi-Strategy relative volatility solution indices are no longer exposed to low volatility factors alone but obtain a significant reduction in portfolio volatility through factor diversification. The new strategies have a variable defensive bias, which corresponds to dynamic allocation between smart factor indices based on market volatility.

Institutional Asset Manager 12/07/2016

"(...) OPTrust, which invests and manages one of Canada’s largest pension funds, is investing in an equity portfolio that is benchmarked to the Scientific Beta Developed Multi-Beta Multi-Strategy Relative Volatility (90 per cent) Solution. One of the characteristics of traditional defensive strategies such as minimum or low volatility is that they are concentrated in low volatility or low beta stocks. While over a very long period these defensive strategies outperform cap-weighted indices, over the short term, in a bull market, they could seriously underperform. It is in this context that researchers from EDHEC-Risk Institute and ERI Scientific Beta have developed a new approach in terms of multi-factor dynamic defensive strategies. The Scientific Beta Multi-Beta Multi-Strategy relative volatility solution indices are no longer exposed to low volatility factors alone but obtain a significant reduction in portfolio volatility through factor diversification. The new strategies have a variable defensive bias, which corresponds to dynamic allocation between smart factor indices based on market volatility. (...)"