MSCI risk weighted indexes

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MSCI Risk Weighted Indexes

MSCI risk weighted indexes

The MSCI Risk Weighted Indexes are part of the MSCI Factor Indexes, which represent the return of factors (common stock characteristics) that have historically earned a persistent premium over long periods of time.

The MSCI Risk Weighted Indexes aim to capture a broad equity opportunity set with lower risk attributes than comparable market cap weighted indexes. To achieve this, 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 Indexes have historically demonstrated lower realized volatility in comparison to their parent indexes.
 


PERFORMANCE, FACTSHEETS AND METHODOLOGIES

Foundations of Factor Investing

Foundations of Factor Investing

In this paper we lay out the rationale for factor investing and how indexation can capture factors in cost-effective and transparent ways.

MSCI Canada Risk Weighted Index

MSCI Canada Risk Weighted Index

An Approach to Combining Low Risk and Size Exposure.
The MSCI Risk Weighted Indexes are uniquely designed to reflect the low volatility and the smaller size effect.

Deploying Multi-Factor Index Allocations

Deploying Multi-Factor Index Allocations

Factor investing has become a widely discussed part of today’s investment canon. This paper is the second in a three-paper series focusing on factor investing.

Regulation