Dynamic Defensive Equity in a Multi-Asset Portfolio

Presented by

Dimitris Korovilas, PhD, Investment Product Specialist, Scientific Beta | Brendan Maton

About this talk

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. VIX has been ticking near its highest level of the last 2.5 years while the U.S. equity market has tumbled year-to-date for 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 a performance of +9.6% 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: • Drawbacks of traditional defensive strategies • How to do better? • Scientific Beta Dynamic Defensive Solution • Dynamic Defensive in a multi-asset allocation Please contact webinar@scientificbeta.com if you would like to receive the presentation slides and the related research publication on the topic.
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