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    MSCI World Select Countries Yield Low Volatility 60 Price Return Index

    Performance & Volatility

    Intraday 1m 3m ytd 1y 3y 5y
    Accumulated performance -0.16% 0.46% 0.48% 2.76% -24.20% n/a n/a
    Volatility n/a 9.03% 8.42% 8.23% 26.43% n/a n/a
    Accumulated performance Volatility
    Intraday -0.16% n/a
    1m 0.46% 9.03%
    3m 0.48% 8.42%
    ytd 2.76% 8.23%
    1y -24.20% 26.43%
    3y n/a n/a
    5y n/a n/a

    Last valuation date : 21-01-2019

    Risk / Return from24-02-2021

    Annualized return Volatility Information ratio Max
    -7.69% 19.00% -0.40 -39.87%
    Annualized return -7.69%
    Volatility 19.00%
    Information ratio -0.40
    Max Drawdown -39.87%
    Export

    All information for an index prior to its Inception Date is back-tested, based on the methodology that was in effect on the Inception Date. Back-tested performance, which is hypothetical and not actual performance, is subject to inherent limitations because it reflects application of an Index methodology and selection of index constituents in hindsight. No theoretical approach can take into account all of the factors in the markets in general and the impact of decisions that might have been made during the actual operation of an index. Actual returns may differ from, and be lower than, back-tested returns.

    The key elements of the index methodology are available upon demand.


    Main Characteristics

    Index level

    1,476.90

    Category

    Smart Beta

    Asset Class

    Equity

    Geographical Area

    World

    Currency

    EUR

    Bloomberg Ticker

    ME720575

    Weighting Method

    Volatility & Dividend Yield

    Return

    Price Return

    Inception

    30/05/2018

    Sponsor

    Calculation Agent

    Overview

    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.

    Index rationale

    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.
    Service #1

    NXS Indices

    Consult
    Service #2

    E-Maps

    Consult

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