The MSCI Minimum Volatility Indexes: 10 Years on - Insight from 10 Years of Live Indexes
Authors: Mehdi Alighanbari, Executive Director, Factor Strategist, Core Equity Research, MSCI
Shubhangi Sharma, Associate, Core Equity Research, MSCI
2018 marked the 10-year anniversary of the MSCI Minimum Volatility Indexes. The timing of the launch, just prior to the global financial crisis that led to sharp equity market falls, and the indexes’ behavior “out-of-sample” since launch, have driven wide adoption by a large number of asset owners as part of their “defensive equity” allocation strategies. The indexes have also been the basis for a wide range of exchange traded funds (ETFs), which have gathered very significant assets in recent years.
In this Paper, MSCI’s Mehdi Alighanbari and Shubhangi Sharma 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 and answer some of the most common questions clients have asked.