@article {Cardinalijii.2021.1.103, author = {John A. Cardinali and Richard Yasenchak}, title = {How a New Benchmark Adds to the Evaluation of a Defensive Equity Strategy}, elocation-id = {jii.2021.1.103}, year = {2021}, doi = {10.3905/jii.2021.1.103}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Defensive equity strategies represent a useful addition to an equity allocation, but evaluating them in a typical relative risk{\textendash}return framework can be awkward. In some cases, changing from a cap-weighted benchmark or supplementing it with a defensive equity index can simplify and enhance the evaluation of managers and their performance. MSCI{\textquoteright}s Minimum Volatility Indexes are one such option, but design constraints need to be understood before incorporation. An active strategy using a Minimum Volatility Index as a benchmark can help by keeping the benefits of defensive equity{\textemdash}downside protection and lower overall volatility{\textemdash}while adding an alpha component you can more easily measure and explain.TOPICS: Security analysis and valuation, portfolio construction, performance measurement, risk managementKey Findings▪ Defensive equity strategies represent a useful addition to an equity allocation, but evaluating them in a typical relative risk{\textendash}return framework can be awkward. ▪ In some cases, changing from a cap-weighted benchmark or supplementing it with a defensive equity index can simplify and enhance evaluation of managers and their performance. MSCI{\textquoteright}s Minimum Volatility Indexes are one such option, but design constraints need to be understood before incorporation. ▪ An active strategy using a Minimum Volatility Index as a benchmark can help by keeping the benefits of defensive equity{\textemdash}downside protection and lower overall volatility{\textemdash}while adding an alpha component you can more easily measure and explain.}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/early/2021/04/16/jii.2021.1.103}, eprint = {https://jii.pm-research.com/content/early/2021/04/16/jii.2021.1.103.full.pdf}, journal = {The Journal of Beta Investment Strategies} }