MSCI Risk Weighted Indices
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The MSCI Risk Weighted Indices belong to the MSCI family of alternatively weighted indices and can help clients efficiently mitigate risk in a disciplined and low cost manner. |
For some time, MSCI has been pioneering alternatively weighted indices that aim to capture systematic beta or the returns of particular investment strategies. The MSCI Risk Weighted Indices aim to capture a broad equity opportunity set with lower risk attributes than comparable market cap weighted indices. They do this by applying a simple but effective and transparent process. Each MSCI Risk Weighted Index reweights all the constituents of a standard MSCI parent index so that stocks with lower volatility are given higher index weights. The risk weighting for each security is calculated using the inverse of its historical variance. Its variance is estimated based on three years of weekly return data.
MSCI Risk Weighted Indices have historically demonstrated lower realized volatility in comparison to their parent indices. In addition, by including all the securities of its respective parent index, each MSCI Risk Weighted Index avoids selection bias and maintains reasonable liquidity and capacity.
Flagship MSCI Risk Weighted Indices include:
| Developed Markets (DM) | Emerging Markets (EM) | All Country (DM+EM) |
|---|---|---|
| MSCI EAFE Risk Weighted Index | MSCI EM Risk Weighted Index | MSCI ACWI Risk Weighted Index |
| MSCI Europe Risk Weighted Index | MSCI EM IMI Risk Weighted Index | MSCI ACWI IMI Risk Weighted Index |
| MSCI Kokusai Risk Weighted Index | MSCI EM EMEA Risk Weighted Index | MSCI AC Asia ex Japan Risk Weighted Index |
| MSCI North America Risk Weighted Index | MSCI EM Latin America Risk Weighted Index | MSCI AC Asia Pacific ex Japan Risk Weighted Index |
| MSCI Pacific ex Japan Risk Weighted Index | MSCI EM Asia Risk Weighted Index | |
| MSCI Pacific Risk Weighted Index | ||
| MSCI World Risk Weighted Index | ||
| MSCI World ex Australia Risk Weighted Index | ||
| MSCI World IMI Risk Weighted Index | ||
| MSCI World ex UK Risk Weighted Index | ||
| MSCI World ex USA Risk Weighted Index | ||
| MSCI Australia Risk Weighted Index | ||
| MSCI Canada Risk Weighted Index | ||
| MSCI Japan Risk Weighted Index | ||
| MSCI UK Risk Weighted Index | ||
| MSCI USA Risk Weighted Index |