Scientific Beta

The IPE webcast entitled "A New Defensive Solution That Is Really Low Volatility" will be hosted by Eric Shirbini, PhD, Global Research and Investment Solutions Director at Scientific Beta on Monday 9 March, 2020 at 3.00pm GMT / 16:00 CET. Moderated by Brendan Maton from IPE, the webinar will present Scientific Beta's new defensive offering, the High-Factor-Intensity Low Volatility Maximum Volatility Protection index.

The IPE webcast entitled "A New Defensive Solution That Is Really Low Volatility" will be hosted by Eric Shirbini, PhD, Global Research and Investment Solutions Director at Scientific Beta on Monday 9 March, 2020 at 3.00pm GMT / 16:00 CET.

In new research, Scientific Beta shows that the vast majority of defensive offerings based on minimum volatility or low volatility strategies are unfortunately not truly defensive in periods of strong market volatility, i.e. at the time when their low volatility would be appreciated the most. In fact, these strategies paradoxically present a strong risk of volatility that is not reflected in the average volatility that they display over the long term. To cope with this volatility risk, Scientific Beta provides a highly defensive strategy when needed, with a reduction in the index's market beta in difficult times and very strong protection of the capital. Based on dynamic allocation that allows Scientific Beta's low volatility indices to be protected against periods of strong volatility, the High-Factor-Intensity Low Volatility Maximum Volatility Protection index guarantees the investor that the low average volatility of the low volatility index is representative of the risks of the proposed strategy, and notably that in periods of crisis there is no increase in the risk of the investment.

The analysis runs from 15-Jun-2007 to 30-Jun-2019. The rolling volatility is based on 1-Year daily total returns with a 1-week step size and is annualised. The index used is the SciBeta Developed High-Factor-Intensity Low Volatility Diversified Multi-Strategy Maximum Volatility Protection. We use three different competitor defensive strategies to get an average 1-Year rolling volatility: MSCI World Minimum Volatility, FTSE Developed Minimum Variance and Robeco QI Institutional Global Developed Conservative Equities. Scientific Beta and Bloomberg.

Eric Shirbini, PhD, is Global Research and Investment Solutions Director with Scientific Beta. Prior to joining Scientific Beta 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 has also served for over twenty years on index management committees. He holds a B.Sc. and a Ph.D. from University College London and an MBA from CASS Business School.