Barra Insight - Dynamic Allocation Strategies using Minimum Volatility

Aug 27, 2013

In this Barra Insight, MSCI analyzes several systematic allocation methods which aim to harness the benefits of low volatility investing. The variability in performance of minimum volatility portfolios makes them candidates for dynamic allocation strategies. We analyze volatility triggers, simple moving averages, and relative momentum as systematic methods of gaining exposure to this investment style in the most desirable time periods. The results indicate that the possibility exists for passive and active managers to add value through their ability to dynamically allocate capital. However, there are risks accompanying these strategies which must be weighed against their potential benefits.