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Harvesting Risk Premia with Strategy Indices

A webinar hosted by Dimitris Melas, PhD, CFA, Executive Director and Global Head of New Product Research and also by Roger Urwin*, Advisory Director for MSCI.

During the webinar, we will discuss the results of our extensive study on the role of equity risk premia as drivers of long-term portfolio performance. We provide a rigorous analytical framework for understanding the growing array of risk premia-based strategy indices—sometimes referred to as alternatively weighted indices—and open up fresh lines of inquiry into their potential investment applications.

We examine the performance of various risk premia strategy indices—such as value weighted, risk weighted, equal weighted and minimum volatility—from a uniquely long-term global perspective using over 20 years of data. We show that these strategy indices can be combined for potential diversification benefits at the portfolio level. We also suggest that strategy indices may prove to have a transformational role in the institutional asset allocation process.

* Roger Urwin presents for MSCI at this event. He is also the Global Head of Investment Content at Towers Watson and a Board Member of the CFA Institute.


Agenda Topics Include:
  • Risk and return characteristics of a broad range of risk premia strategy indices
  • Combining risk premia strategies for diversification
  • Roles of risk premia strategies in the asset allocation process

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