ERI Scientific Beta dynamic defensive solution adopted by major North American asset owner
(Thomson Reuters ONE) -
ERI Scientific Beta dynamic defensive solution adopted by major North American
asset owner
OPTrust, which invests and manages one of Canada's largest pension funds,
invests in the Scientific Beta solution
OPTrust is investing in an equity portfolio that is benchmarked to the
Scientific Beta Developed Multi-Beta Multi-Strategy Relative Volatility (90%)
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. Therefore, 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. Moreover, these new strategies have a variable defensive bias,
which corresponds to dynamic allocation between smart factor indices based on
market volatility. It involves ramping up the defensive profile of the strategy
when high market volatility makes it necessary. This new approach to defensive
smart beta provides not only excess return but also a significant reduction in
volatility over the long term compared with cap-weighted benchmarks, while at
the same time outperforming in bull markets.
The benefits of dynamic allocation are even more evident in extreme bull markets
relative to low volatility strategies, with higher probabilities of
outperformance in the short- and medium-terms and a lower maximum relative
drawdown.
Noël Amenc, CEO of ERI Scientific Beta, said, "The beauty of ERI Scientific
Beta's dynamic defensive solution is that it is defensive when needed. This is
reflected in the dynamic nature of the approach. Unlike most defensive
approaches on the market, our approach does not focus on a low volatility/low
beta factor, but is a diversification approach based on the flagship Scientific
Beta Multi-Beta Multi-Strategy indices."
James Davis, CIO of OPTrust, said, "We worked closely with the ERI Scientific
Beta team to evaluate different smart beta strategies that aligned with our
Member Driven Investing investment objectives. The Multi-Beta, Multi-Strategy
solution we chose provides for downside risk mitigation. By employing a dynamic
strategy that reduces volatility in times of market stress, we can be more
comfortable with our overall equity exposure."
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As part of its policy of transferring know-how to the industry, EDHEC-Risk
Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original
initiative which aims to favour the adoption of the latest advances in smart
beta design and implementation by the whole investment industry. Its academic
origin provides the foundation for its strategy: offer, in the best economic
conditions possible, the smart beta solutions that are most proven
scientifically with full transparency of both the methods and the associated
risks.
ERI Scientific Beta, 1 George Street, #07-02, Singapore 049145. For further
information, please contact: contact(at)scientificbeta.com, Web:
www.scientificbeta.com.
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Press_release_OPTrust_institutional_mandate:
http://hugin.info/157174/R/2027627/753586.pdf
This announcement is distributed by GlobeNewswire on behalf of
GlobeNewswire clients. The owner of this announcement warrants that:
(i) the releases contained herein are protected by copyright and
other applicable laws; and
(ii) they are solely responsible for the content, accuracy and
originality of the information contained therein.
Source: EDHEC-Risk Institute via GlobeNewswire
[HUG#2027627]
Unternehmensinformation / Kurzprofil:
Datum: 11.07.2016 - 10:34 Uhr
Sprache: Deutsch
News-ID 482400
Anzahl Zeichen: 4615
contact information:
Town:
Nice
Kategorie:
Business News
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"ERI Scientific Beta dynamic defensive solution adopted by major North American asset owner"
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