Performance & Volatility
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Risk / Return from
The MSCI® World Select Countries Yield Low Volatility 60 Price Return Index by MSCI® was launched on the 30th of May 2018. The index consists of the 60 highest yielding and least volatile stocks from three developed markets: North America, Europe and Asia Pacific. The companies comprised in the index are weighted according to a score combining equally the volatility and the dividend yield of the stock, while maintaining a 6% maximum weight for each stock in the index to mitigate concentration risk. The index embeds a mechanism of turnover control to avoid too frequent rebalancing and high transaction costs.
The MSCI® World Select Countries Yield Low Volatility 60 Price Return Index follows a dynamic strategy exposed to a combination of two equity risk premia strategies: carry and low volatility. The aim of the Index is to benefit from market inefficiencies in order to capture the return beyond traditional sources of beta.
The strategy seeks to take advantage of two persistent anomalies observed on the equity markets:
- High Yielding Companies: High yielding companies tend to outperform historically their benchmark, even in rising rate environments. Companies that regularly pay high dividends are generally in sound financial health.
- Least Volatile Companies: The least volatile stocks tend to deliver better performances than the most volatile stocks over the long term. This anomaly is due to behavioural biases such as investor risk aversion during periods when markets are stressed or the irrational search for outperformance.