MSCI Global Minimum Volatility Indices
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The MSCI Global Minimum Volatility Indices are designed to serve as transparent and relevant benchmarks for managed volatility equity strategies. The indices aim to reflect the performance characteristics of a minimum-variance, 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 a MSCI parent index and the Barra Global Equity Model (GEM2) as the risk estimate input. Each MSCI Minimum Volatility Index is rebalanced (or re-optimized) semi-annually based on the composition of its MSCI parent index and optimization constraints designed to ensure replicability and investability, while achieving the lowest volatility for a given set of constraints.
MSCI currently calculates MSCI Minimum Volatility Indices for 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.
