MSCI Risk Weighted Indexes
The MSCI Risk Weighted Indexes are part of the MSCI Factor Indexes (Risk Premia) family, 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.
Risk weighted indexes (select your index by choosing the appropriate Index Family in the drop down menu)
MSCI Risk Weighted Indexes Methodology
- MSCI USA Risk Weighted Top 150 Index
- MSCI USA Risk Weighted Top 150 Index Hedged to CAD
- MSCI World Risk Weighted Top 200 Index
- MSCI World Risk Weighted Top 200 Index Hedged to CAD
- MSCI Europe Risk Weighted Top 100 Index
- MSCI Europe Risk Weighted Top 100 Index Hedged to CAD