Indices Represent Combined Performance of Quality, Value and Low Volatility Strategies…
Sign up for our weekly Newsletter and receive the latest ETF and ETC news. Click here to register for your free copy
MSCI Inc. (NYSE: MSCI), has launched the MSCI Quality Mix Indices, which combine the MSCI Quality, MSCI Value Weighted and MSCI Minimum Volatility Indices in to one diversified risk premia index.
“We are delighted to bring to the market a set of new indices designed to reflect the beta represented by combining quality with value and low volatility strategies,” said Baer Pettit, Managing Director and Global Head of the MSCI Index Business.
“The new MSCI Quality Mix Indices are another example of our ability to deliver innovative index tools to meet the increasingly sophisticated needs of our clients.” Many active strategies emphasize quality, value and low volatility as important factors in their security selection and portfolio construction. Whilst these active strategies typically go beyond passive exposure to quality, value and low volatility securit ies to include active stock selection and the use of leverage,
their beta component could be represented by the quality, value and low volatility risk premia. Recent empirical academic research has shown that stocks with high quality, value and low volatility characteristics have historically provided higher long – term risk – adjusted return (for example, see the analysis between 1976 – 2011 in a study by Frazzini, Kabiller and Pedersen, published in 2012, titled ‘Buffett’s Alpha’).
The MSCI Quality Mix Indices aim to represent the performance of quality, value and low volatility risk premia strategies across global markets in a single composite index. Between 1988 and 2013 , based on simulated historical index data , the MSCI World Quality Mix Index delivered an annualized total return of 9.8% versus 7.3% for the MSCI World Index , with a total risk 1 of 13.2% versus 15.4% for the MSCI World Index, resul ting in a better long – term risk – adjusted return for the MSCI World Quality Mix Index during this time period.
The following MSCI Quality Mix Indices are now available:
1. MSCI ACWI Quality Mix Index
2. MSCI World ex USA Quality Mix Index
3. MSCI Emerging Markets Quality Mix Index
4. MSCI Europe Quality Mix Index
5. MSCI World Quality Mix Index
6. MSCI USA Quality Mix Index
7. MSCI AC Asia ex Japan Quality Mix Index
8. MSCI UK Quality Mix Index
9. MSCI Japan Quality Mix Index
The MSCI Quality Mix Indices are constructed according to a transparent index methodology which equally weights the three component indices :
the MSCI Quality Index, the MSCI Value Weighted Index and the MSCI Minimum Volatility Index. They
may be licensed for use as benchmarks or as the basis for financial products such as exchange traded funds and structured products.
1 as measured by the annualized standard deviation of monthly returns-
Source: ETFWorld – MSCI
Lascia un commento