Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta; Brendan Maton, IPE
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 HFI 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.
Presented by: Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
Moderated by: Brendan Maton, IPE