MSCI Barra has launched the World Minimum Volatility Index, the flagship in the MSCI Global Minimum Volatility Indices. The index tracks low volatility sectors and geographies within MSCI country and regional indices. The index is designed to serve as an underlying for investment products, including listed and OTC derivatives.
The index is unhedged and constructed from a US dollar perspective.
“With the recent increase in equity volatility, a number of ‘managed volatility’ equity strategies have emerged,” said David Brierwood, chief operating officer at MSCI Barra. “The MSCI Global Minimum Volatility Indices provide a robust and transparent performance measurement and manager evaluation tool that can be used by asset managers and asset owners alike to help them manage these strategies.”
The indices are the first benchmarks to combine MSCI Barra’s index and risk modelling expertise, the firm said in a statement issued today. Using the Barra Global Equity Model as a risk estimate input, the Global Minimum Volatility Indices can be calculated for most MSCI developed and emerging markets countries, regions and sectors, it added.
