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MSCI Risk Weighted Indexes hero image
MSCI Risk Weighted Indexes
MSCI risk weighted indexes
The MSCI Risk Weighted Indexes are part of the MSCI Factor Indexes, 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.
PERFORMANCE, FACTSHEETS AND METHODOLOGIES
Risk weighted indexes (select your index by choosing the appropriate Indexes in the drop down menu)
MSCI Risk Weighted Indexes Methodology
Methodology
MSCI Canada Risk Weighted Index
Performance | Factsheet
MSCI USA Risk Weighted Top 150 Index
Performance | Factsheet
MSCI USA Risk Weighted Top 150 Index Hedged to CAD
Performance | Factsheet
MSCI World Risk Weighted Top 200 Index
Performance | Factsheet
MSCI World Risk Weighted Top 200 Index Hedged to CAD
Performance | Factsheet
MSCI Europe Risk Weighted Top 100 Index
Performance | Factsheet
MSCI Europe Risk Weighted Top 100 Index Hedged to CAD
Performance | Factsheet
MSCI EAFE Risk Weighted Top 175 Index (CAD)
Performance | Factsheet
MSCI EAFE Risk Weighted Top 175 Index Hedged to CAD
Performance | Factsheet
Additional Insights and Research
- 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
Research Papers
Foundations of Factor Investing
Foundations of Factor Investing
In this paper we lay out the rationale for factor investing and how indexation can capture factors in cost-effective and transparent ways.
MSCI Canada Risk Weighted Index
MSCI Canada Risk Weighted Index
An Approach to Combining Low Risk and Size Exposure.
The MSCI Risk Weighted Indexes are uniquely designed to reflect the low volatility and the smaller size
effect.
Deploying Multi-Factor Index Allocations
Deploying Multi-Factor Index Allocations
Factor investing has become a widely discussed part of today’s investment canon. This paper is the second in a three-paper series focusing on factor investing.