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The MSCI Minimum Volatility Indexes: 10 Years On

categories: Indexes, Americas, EMEAI, Factor and Risk Modeling, Investing (Investment Management), Performance Analysis, Portfolio Construction and Optimization, Asia Pacific, Asset Owners, Hedge Funds, Equities, Australia, Research Paper, Asset Managers (Quant or Fundamental), Banks, ALIGHANBARI Mehdi, SHARMA Shubhangi, general

2018 marked the 10-year anniversary of the MSCI Minimum Volatility Indexes. Launching just prior to the global financial crisis, which caused sharp equity market falls, and the indexes’ behavior “out-of-sample” since launch have led to adoption by a large number of asset owners and the indexes’ serving as the basis for a wide range of ETFs that have gathered significant assets. Here, we contrast 10 years of live data with the previous 10 years of backtesting, investigating changes in the indexes’ behavior before and after launch across regions. Finally, we answer some of the most common questions clients have asked.

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