First set of global benchmarks for managed volatility investment strategies
The MSCI Global Minimum Volatility Indices are designed to serve as a transparent and relevant benchmark for managed volatility equity strategies. The indices aim to reflect the performance characteristics of a minimum-variance or managed volatility equity strategy, focused on absolute return and volatility with the lowest absolute risk. MSCI combined its index and risk analytics expertise to construct the indices by performing total risk minimizing optimization using MSCI parent indices and the Barra Global Equity Model (GEM2) as the risk estimate input. The indices are rebalanced semi-annually based on the composition of the MSCI parent indices and suitable optimization constraints employed to ensure replicability and investability, while achieving the lowest volatility for a given set of constraints.
MSCI currently calculates six MSCI Minimum Volatility Indices on the following regions:
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Additional MSCI Minimum Volatility Indices based on other regions or countries may be developed in the future based on client demand.
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.
