Intech's CEO and CIO, Adrian Banner, PhD, and President, International Division, David Schofield, presented an IPE-moderated webinar discussing beta dislocations in March 2020.
Equity investors found few places to hide in this year’s drawdown. Even low volatility strategies underperformed in their first real test since the global financial crisis. Intech identified an anomalous shift in stock betas as the culprit, but why did so many low volatility strategies have trouble circumventing this dislocation? The answer to this question is an opportunity for plan sponsors to learn the important distinctions between defensive equity implementations.
In the webcast, Dr. Banner and Mr. Schofield demonstrated how simple differences in implementation can lead to a wide range of outcomes. They explored:
Further Reading
Papers:
March Mayhem: Was Your Portfolio Betrayed by Beta?
Making Sense of Defensive Equity Indexes
Blogs:
When Equity Beta Correlations Collapse
3 Ways to Improve on Defensive Equity Indexes