MSCI Global Minimum Volatility Indices
First set of global benchmarks for managed volatility investment strategies
The MSCI Global Minimum Volatility Indices are designed to reflect the performance characteristics of the opportunity set for a minimum-variance or managed volatility equity strategy that focuses on absolute return and volatility with the lowest absolute risk. The MSCI Global Minimum Volatility Index Methodology uses the Barra Global Equity Model (GEM) as the risk estimate input. The indices aim to be investable and replicable and are constructed from MSCI parent indices. They are rebalanced semi-annually based on the composition of the parent indices and the application of the volatility constraints and other requirements of the index methodology.
By combining the knowledge and skills of MSCI experts in index design and maintenance and Barra experts in portfolio risk and performance analytics, the MSCI Global Minimum Volatility Indices offer institutional investors a unique tool matched to their investment process. The MSCI Global Minimum Volatility Indices are subject to the same rigorous data quality and delivery standards applied across MSCI Barra's widely used and well-known products.
The MSCI Global Minimum Volatility Indices can be calculated for most MSCI Developed and Emerging Markets countries, regions and sectors. The indices are constructed from various MSCI Country and Regional Indices that are calculated according to the MSCI Global Investable Market Indices Methodology. The flagship index at launch is the MSCI World Minimum Volatility Index.
The MSCI Global Minimum Volatility Indices can be used to:
- Measure performance and carry out manager evaluation specific to a managed volatility or minimized variance strategy
- Provide a benchmark that more accurately reflects the investment process used when following a managed volatility strategy
- Construct and issue index-linked products such as listed and OTC derivatives, exchange traded funds (ETFs), exchange traded notes (ETNs), and institutional and retail funds
To find out more about the MSCI Global Minimum Volatility Indices, please contact us.
