Also known as: MXWOUVOU Index (Bloomberg) · 701713 (MSCI code)
At a glance
- Weighting schemeOptimized
- Review frequencyQuarterly
- Single cap1.5
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 15 fields | |||
| Short selling rule | No | The optimization is performed from a base currency3 perspective and does not allow short selling of securities.Open p.5 ↗ |
The optimization does not allow short selling of securities. |
| Index name | MSCI World ex USA Minimum Volatility | MSCI Minimum Volatility Indexes MethodologyOpen p.1 ↗ |
The official index name is MSCI World ex USA Minimum Volatility. |
| Index short name | MXWOUVOU | — (not found verbatim in the PDF) |
The index short name or ticker is MXWOUVOU. |
| Index code | 701713 | — (not found verbatim in the PDF) |
The MSCI index code is 701713. |
| Vendor codes | Bloomberg: BBG003LR3CF4 | — (not found verbatim in the PDF) |
The Bloomberg identifier for the index is BBG003LR3CF4. |
| Administrator | MSCI | MSCI has developed a minimum volatility index that can serve as a transparent and relevant benchmark for managed volatility equity strategies.Open p.3 ↗ |
MSCI is the index provider and administrator of the methodology. |
| Index family | MSCI Minimum Volatility Indexes | This methodology book describes a generic methodology that can be applied to create Minimum Volatility Indexes (herein, “Indexes”) from any of the existing MSCI equity indexesOpen p.3 ↗ |
The indexes belong to the MSCI Minimum Volatility Indexes family. |
| Parent index | MSCI World ex USA Index | This methodology book describes a generic methodology that can be applied to create Minimum Volatility Indexes (herein, “Indexes”) from any of the existing MSCI equity indexes (herein, “Parent Indexes”).Open p.3 ↗ |
The index is constructed from the MSCI World ex USA Parent Index. |
| Objective | The indexes are designed to have the lowest absolute volatility for a given set of constraints by optimizing a parent MSCI Index using an estimated security covariance matrix. | The MSCI Minimum Volatility Indexes2 are calculated by optimizing a parent MSCI Index by using an estimated security co-variance matrix to produce an index that has the lowest absolute volatility for a given set of constraints.Open p.3 ↗ |
The indexes aim to produce the lowest absolute volatility under specified constraints by optimizing a parent MSCI index. |
| Intended use | Benchmark, Managed volatility equity strategies | MSCI has developed a minimum volatility index that can serve as a transparent and relevant benchmark for managed volatility equity strategies.Open p.3 ↗ |
The index is intended to serve as a transparent and relevant benchmark for managed volatility equity strategies. |
| Market classification | Developed | The Indexes historically demonstrate the following characteristics across markets: Low Beta relative to the Parent Index Lower Volatility than the Parent Index Lower cap bias Bias towards stocks with low idiosyncratic riskOpen p.4 ↗ |
The index covers developed-market countries worldwide excluding the USA. |
| Size segment | Custom | Some of the optimization constraints applied to determine the MSCI Minimum Volatility Index may vary based on the Parent Index on which the optimization is performed.Open p.3 ↗ |
The size segment is inherited from the selected Parent Index rather than fixed for the generic family. |
| Index family type | Factor | The Indexes historically demonstrate the following characteristics across markets: Low Beta relative to the Parent Index Lower Volatility than the Parent IndexOpen p.4 ↗ |
The family is a low-volatility factor strategy index family. |
| Factor exposures | Low volatility | The Indexes historically demonstrate the following characteristics across markets: Low Beta relative to the Parent Index Lower Volatility than the Parent Index Lower cap bias Bias towards stocks with low idiosyncratic riskOpen p.4 ↗ |
The indexes exhibit low beta, lower volatility, lower-cap bias, and bias toward stocks with low idiosyncratic risk. |
| Limitations | The methodology depends on an estimated security covariance matrix and relevant Barra multifactor equity model., Some optimization constraints vary by Parent Index. | The starting universe to determine a Minimum Volatility Index is an MSCI Equity Index and the estimated security co-variance matrix is based on the relevant Barra multifactor equity model.Open p.3 ↗ |
Index construction depends on estimated covariance inputs, and optimization constraints can vary by Parent Index. |
| M2 Universe · 4 fields | |||
| Eligible universe | Parent MSCI Equity Index | The starting universe to determine a Minimum Volatility Index is an MSCI Equity Index and the estimated security co-variance matrix is based on the relevant Barra multifactor equity model.Open p.3 ↗ |
The starting universe for a Minimum Volatility Index is an MSCI Equity Index selected as the Parent Index. |
| Optimization inputs | factor exposures for all Parent Index securities, factor covariance matrix of the relevant Barra Equity Model | The optimization relies on the factor exposures for all the securities in the Parent Index and the factor co-variance matrix of the relevant Barra Equity Model.Open p.5 ↗ |
The optimization uses factor exposures for Parent Index securities and the factor covariance matrix of the relevant Barra Equity Model. |
| Security types | Common | This methodology book describes a generic methodology that can be applied to create Minimum Volatility Indexes (herein, “Indexes”) from any of the existing MSCI equity indexesOpen p.3 ↗ |
The generic methodology applies to equity securities within existing MSCI equity indexes, though specific security types are not enumerated in the provided sections. |
| Parent universe index | MSCI World ex USA Index | The optimization uses the Parent Index as the universe of eligible securities and the specified optimization objective and constraints to determine the optimal MSCI Minimum Volatility Index.Open p.6 ↗ |
The eligible securities are constituents of the MSCI World ex USA Parent Index. |
| M3 Eligibility screens · 1 field | |||
| Parent index eligibility basis | Eligibility is defined by membership in the selected Parent Index. | The Parent Indexes serve as the universe of eligible securities for optimization.Open p.5 ↗ |
Securities are eligible for optimization when they are constituents of the selected Parent Index. |
| M4 Selection and constituent count · 10 fields | |||
| Eligible universe | Parent Index constituents | “Trade Universe” is set to be the index constituents of the Parent Index.Open p.10 ↗ |
The optimizer's trade universe and eligible security universe are the constituents of the Parent Index. |
| Optimizer and risk model | Barra Open Optimizer with the relevant Barra Equity Model | The Indexes are constructed using the Barra Open Optimizer in combination with the relevant Barra Equity Model.Open p.6 ↗ |
The index is constructed using the Barra Open Optimizer together with the relevant Barra Equity Model. |
| Risk inputs | Most recent monthly Barra factor exposures, common-factor covariances, and specific covariances | The factor exposures for all the securities in the Trade universe are set using the most recent monthly release of factor exposure data of the relevant Barra Equity Model.Open p.10 ↗ |
The optimizer uses the most recent monthly Barra factor exposure, factor covariance, and specific covariance data. |
| Risk aversion parameters | Common factor risk aversion: 0.0075; Specific risk aversion: 0.075 | Common factor risk aversion = 0.0075 Specific risk aversion = 0.075Open p.10 ↗ |
The optimization uses common-factor risk aversion of 0.0075 and specific risk aversion of 0.075. |
| One way turnover constraint | 5% | The one way turnover of the MSCI Minimum Volatility Index is constrained to a maximum of 5%.Open p.6 ↗ |
At index reviews, one-way turnover is constrained to a maximum of 5%. |
| Risk factor exposure constraints | Unconstrained factors: Beta, Residual Volatility; Other factor band standard deviations: 0.25 | No constraint will be applied on the exposure of the MSCI Minimum Volatility Index to the Beta and Residual Volatility risk index factors. Exposure to all other risk index factors will be restricted to +/-0.25 standard deviations relative to the Parent Index.Open p.6 ↗ |
Beta and Residual Volatility exposures are unconstrained, while all other risk-index factor exposures are limited to ±0.25 standard deviations relative to the Parent Index. |
| Infeasible optimization relaxation | Turnover and minimum-weight constraints are alternately relaxed; if still infeasible, the index is not rebalanced. | Relax the turnover constraint in steps of 2.5%, up to a maximum of 15% Relax the minimum weight constraint in steps of 0.01% up to a minimum of 0.01%.Open p.12 ↗ |
If no feasible optimum exists, turnover is relaxed in 2.5% steps to 15% and minimum weight in 0.01% steps to 0.01%; if still infeasible, no rebalance occurs. |
| Selection method | Optimization | The optimization uses the Parent Index as the universe of eligible securities and the specified optimization objective and constraints to determine the optimal MSCI Minimum Volatility Index.Open p.6 ↗ |
The index is determined by an optimizer using the Parent Index as the eligible security universe, the minimum-volatility objective, and specified constraints. |
| Ranking metrics | Name: Total risk; Direction: Minimize; Step order: 1 | The optimization objective is to find a pro forma Minimum Volatility Index that minimizes the total risk of Parent Index, as determined by the relevant Barra Equity Model.Open p.10 ↗ |
The optimization objective is to minimize total portfolio risk as determined by the relevant Barra Equity Model. |
| Industry neutrality rule | Sector weights may deviate by no more than ±5 percentage points from the Parent Index sector weights. | The sector weights of the MSCI Minimum Volatility Index will not deviate more than +/- 5% from the sector weights of the Parent Index.Open p.6 ↗ |
The index's sector weights must remain within plus or minus 5 percentage points of the Parent Index sector weights. |
| M5 Weighting and capping · 10 fields | |||
| Minimum constituent weight (%) | 0.05% | The minimum weight of an index constituent will be 0.05%.Open p.5 ↗ |
The minimum weight of an index constituent is 0.05%. |
| Relative single security weight multiplier | 20 times parent index weight | The maximum weight of an index constituent will be restricted to the lower of 1.5% or 20 times the weight of the security in the Parent Index.Open p.5 ↗ |
A constituent's maximum weight is also capped at 20 times its weight in the Parent Index. |
| Small country weight multiplier | 3 times parent index weight | For countries with weight less than 2.5% in the Parent Index, the weight in the MSCI Minimum Volatility Index will be capped at 3 times their weight in the Parent Index.Open p.5 ↗ |
Countries representing less than 2.5% of the Parent Index are capped at three times their Parent Index weight. |
| China A Stock Connect group constraint | Country weight constraints apply separately to China A Stock Connect listings as a group in addition to China. | The above country weight constraints will also apply on China A Stock Connect listings as a group separately in addition to the usual country weight constraint on China.Open p.5 ↗ |
China A Stock Connect listings are subject to the country-weight constraints as a separate group in addition to the overall China constraint. |
| Small cap index parameters | Some small-cap-based indexes use a 10x weight multiplier and quarterly one-way turnover limits of 10% or 15%, depending on region or country. | The following table contains an illustrative list of parameters which are used for some of the Minimum Volatility Indexes based on MSCI Small Cap Indexes: Region/Country Weight Multiplier Turnover Constraint* ACWI 10X 10%Open p.13 ↗ |
For some minimum volatility indexes based on MSCI Small Cap Indexes, a 10x weight multiplier and 10% or 15% quarterly one-way turnover constraint are used. |
| Weighting scheme | Optimized | The Barra Open Optimizer determines the optimal solution, i.e. the portfolio with the lowest total risk, using an estimated security co-variance matrix under the applicable investment constraints.Open p.6 ↗ |
Constituent weights are produced by a minimum-risk optimization subject to investment constraints. |
| Weight cap | 1.5% | The maximum weight of an index constituent will be restricted to the lower of 1.5% or 20 times the weight of the security in the Parent Index.Open p.5 ↗ |
A constituent's weight is limited to the lower of 1.5% or 20 times its weight in the Parent Index. |
| Sector cap (%) | 5 percentage point deviation | The sector weights of the MSCI Minimum Volatility Index will not deviate more than +/- 5% from the sector weights of the Parent Index.Open p.6 ↗ |
Sector weights may deviate by no more than ±5 percentage points from the Parent Index. |
| Country cap (%) | 2.5 percent parent weight threshold | For countries with weight greater than 2.5% in the Parent Index, the weight in the MSCI Minimum Volatility Index will not deviate more than +/-5% from the country weight in the Parent Index.Open p.5 ↗ |
For Parent Index countries above 2.5%, index country weights may deviate by ±5 percentage points; countries below 2.5% are capped at three times their Parent Index weight. |
| Cap application timing | At review | At each index review, the following optimization constraints are employed, which aim to ensure replicability and investability while achieving the lowest volatility for a given set of constraints.Open p.5 ↗ |
The optimization constraints, including constituent, country, and sector weight restrictions, are employed at each index review. |
| M6 Review and rebalance schedule · 9 fields | |||
| Parent index intermediate review neutralization | If the Parent Index has more frequent reviews, changes made during intermediate Parent Index reviews are neutralized in the Minimum Volatility Index. | if the frequency of Index Reviews in the Parent Index is greater than the frequency of Index Reviews in the MSCI Minimum Volatility Index, the changes made to the Parent Index during intermediate Index Reviews will be neutralizedOpen p.8 ↗ |
Intermediate Parent Index review changes are neutralized when the Parent Index is reviewed more frequently than the Minimum Volatility Index. |
| Review frequency | Quarterly | The changes resulting from the index review of the MSCI Minimum Volatility indexes will be made as of the close of the last business day of February, May, August and NovemberOpen p.7 ↗ |
The MSCI Minimum Volatility indexes are reviewed quarterly. |
| Review types | Ad hoc | The changes resulting from the index review of the MSCI Minimum Volatility indexes will be made as of the close of the last business day of February, May, August and NovemberOpen p.7 ↗ |
The document specifies scheduled quarterly index reviews and separately permits ongoing event-related changes. |
| Review months | February, May, August, November | as of the close of the last business day of February, May, August and November, coinciding with the February, May, August and November Index Reviews of the Parent Indexes.Open p.7 ↗ |
Index review changes occur in February, May, August, and November. |
| Data cutoff rule | Barra Equity Model data as of the day before the rebalancing day is used. | Barra Equity Model data as of the day before the rebalancing day is used.Open p.7 ↗ |
The review uses Barra Equity Model data as of the day before the rebalancing day. |
| Announcement rule | Pro forma indexes are generally announced nine business days before the effective date. | The pro forma indexes are in general announced nine business days before the effective date.Open p.7 ↗ |
Pro forma indexes are generally announced nine business days before the effective date. |
| Effective date rule | Changes take effect as of the close of the last business day of February, May, August, and November. | The changes resulting from the index review of the MSCI Minimum Volatility indexes will be made as of the close of the last business day of February, May, August and NovemberOpen p.7 ↗ |
Review changes are effective as of the close of the last business day of February, May, August, and November. |
| Rebalance frequency | Quarterly | The changes resulting from the index review of the MSCI Minimum Volatility indexes will be made as of the close of the last business day of February, May, August and NovemberOpen p.7 ↗ |
The indexes are rebalanced at the quarterly index reviews. |
| Weight reset frequency | At each quarterly rebalancing; constituent weights remain constant between reviews except for corporate events. | At each rebalancing, a constraint factor is calculated for each constituent in the Indexes.Open p.7 ↗ |
Constraint factors and constituent weights are set at each rebalancing and remain constant between index reviews except for corporate events. |
| M7 Buffers and turnover control · 1 field | |||
| Corporate event turnover objective | The general treatment of corporate events aims to minimize turnover outside index reviews. | The general treatment of corporate events in the Indexes aims to minimize turnover outside of Index Reviews.Open p.7 ↗ |
Corporate-event handling is designed to minimize turnover outside scheduled index reviews. |
| M8 Corporate actions, IPOs, ad-hoc changes · 7 fields | |||
| Corporate events weighting factor adjustment | Changes in index market capitalization resulting from corporate-event implementation are offset by a corresponding change in the Variable Weighting Factor (VWF). | Further, changes in index market capitalization that occur as a result of corporate event implementation will be offset by a corresponding change in the Variable Weighting Factor (VWF) of the constituent.Open p.7 ↗ |
Corporate-event-related changes in index market capitalization are offset through the constituent's Variable Weighting Factor. |
| Security characteristic changes | A security remains in the Index after changes in country, sector, size segment, or other characteristics and is reevaluated for continued inclusion at the next Index Review. | Changes in Security Characteristics A security will continue to be an Index constituent if there are changes in characteristics (country, sector, size segment, etc.) Reevaluation for continued inclusion in the Index will occur at the subsequent Index Review.Open p.8 ↗ |
Securities remain in the Index after changes in characteristics such as country, sector, or size segment and are reevaluated at the next Index Review. |
| Fast entry | Timing: New securities added to the Parent Index, including IPOs and other early inclusions, are not added between Index Reviews | A new security added to the parent index (such as IPO and other early inclusions) will not be added to the index.Open p.8 ↗ |
There is no fast entry into the Minimum Volatility Index: new Parent Index additions such as IPOs and early inclusions are not added between reviews. |
| Ad-hoc deletion | Delisting, Acquisition | No new securities will be added (except where noted below) to the Index between Index Reviews. Parent Index deletions will be reflected simultaneously.Open p.8 ↗ |
Parent Index deletions are reflected simultaneously, and an existing constituent acquired by a non-constituent is deleted. |
| Replacement policy | None | No new securities will be added (except where noted below) to the Index between Index Reviews.Open p.8 ↗ |
The document does not provide a replacement mechanism; no new securities are added between Index Reviews except spin-off securities created from existing constituents. |
| Merger spinoff rules | Spin-off securities of existing constituents are added at event implementation and reviewed at the next Index Review; in mergers or acquisitions, the acquirer's post-event weight includes shares used as deal consideration, cash proceeds are invested across the Index, and an existing constituent acquired by a non-constituent is deleted without adding the acquirer. | Spin-Offs All securities created as a result of the spin-off of an existing Index constituent will be added to the Index at the time of event implementation. Reevaluation for continued inclusion in the Index will occur at the subsequent Index Review.Open p.8 ↗ |
Spin-offs are added at implementation and reassessed at the next review; mergers and acquisitions adjust the acquirer's weight for share consideration, invest cash proceeds across the Index, and delete a constituent acquired by a non-constituent without adding the acquirer. |
| Corporate actions guide ref | MSCI Corporate Events Methodology book | Further detail and illustration regarding specific treatment of corporate events relevant to this Index can be found in the MSCI Corporate Events Methodology book under the sections detailing the treatment of events in Capped Weighted and Non-Market Capitalization Weighted indexes.Open p.8 ↗ |
Further corporate-event treatment is covered in the MSCI Corporate Events Methodology book, under sections for Capped Weighted and Non-Market Capitalization Weighted indexes. |
| M9 Calculation and return variants · 1 field | |||
| Calculation methodology reference | MSCI Index Calculation Methodology | MSCI Index Calculation Methodology – https://www.msci.com/index/methodology/latest/IndexCalcOpen p.16 ↗ |
The index methodology set incorporates the separate MSCI Index Calculation Methodology. |
| M10 Governance, change policy, disclosure · 3 fields | |||
| Methodology set | Description of methodology set, MSCI Corporate Events Methodology, MSCI Fundamental Data Methodology, MSCI Index Calculation Methodology, MSCI Index Glossary of Terms, MSCI Index Policies, MSCI Global Industry Classification Standard (GICS) Methodology, MSCI Global Investable Market Indexes Methodology | The Indexes are governed by a set of methodology and policy documents (“Methodology Set”), including the present index methodology document as mentioned below:Open p.16 ↗ |
The indexes are governed by a methodology set that includes the current methodology and related MSCI policy and methodology documents. |
| Methodology publication webpage | https://www.msci.com/index-methodology | The Methodology Set for the Indexes can also be accessed from MSCI’s webpage https://www.msci.com/index-methodology in the section ‘Search Methodology by Index Name or Index Code’.Open p.16 ↗ |
The methodology set can be accessed on MSCI's index methodology webpage by searching by index name or index code. |
| Barra model or optimizer version replacement | A new release of the relevant Barra Equity Model or Barra Optimizer may replace the former version within a suitable timeframe. | A new release of the relevant Barra Equity Model or Barra Optimizer may replace the former version within a suitable timeframe.Open p.15 ↗ |
A new release of the relevant Barra equity model or optimizer may replace the prior version within a suitable timeframe. |
Open points · 48Model-written, for reference
- 1No official index code, ISIN, vendor tickers, launch date, base date, base value, calculation currency, methodology version, or methodology date are stated.
- 2No specific calculation agent is identified separately from MSCI.
- 3No fixed list of markets, countries, exchanges, boards, or security types is provided because the methodology is generic and depends on the selected Parent Index.
- 4No nationality rule or specific universe exclusions are stated.
- 5No trading-history, liquidity, minimum-size, free-float, foreign-room, voting-rights, minimum-price, financial, ESG, suspension, or extreme-price screen is stated; eligibility is tied to Parent Index membership.
- 6The benchmark regulation status is not stated.
- 7The base currency for optimization is referenced but not specified for the generic family.
- 8No fixed target constituent count or constituent-count range is stated.
- 9No explicit tie-break rule for optimizer solutions is stated.
- 10No reserve list or pre-ranked candidate replacement mechanism is stated.
- 11No free-float factor methodology or free-float bands are stated.
- 12No domestic inclusion factor is stated.
- 13No foreign ownership limit treatment is stated.
- 14No aggregate top-N constituent group cap is stated.
- 15No shares outstanding source or update schedule is stated.
- 16No divisor adjustment or Price Adjustment Factor rule is stated.
- 17No rank buffer, size-segment buffer, liquidity buffer for existing constituents, or maximum turnover per review is stated.
- 18No specific deletion price is stated.
- 19No numerical threshold for implementing share or free-float changes between reviews is stated.
- 20The document states Parent Index deletions are reflected simultaneously but does not enumerate every deletion trigger or identify a reserve list.
- 21Although quarterly reviews are clearly scheduled, the review types enum does not include a generic quarterly review token; only ad hoc is explicitly supported by the ongoing-event text.
- 22Formula type is not stated.
- 23Price source is not stated.
- 24Calculation frequency and real-time interval are not stated.
- 25Published index level precision is not stated.
- 26Return variants are not stated.
- 27Withholding tax basis for net return variants is not stated.
- 28Dividend treatment is not stated.
- 29Specific divisor adjustment events are not stated.
- 30Market disruption or market closure calculation rule is not stated.
- 31Recalculation or published-level correction policy is not stated.
- 32Oversight body is not stated.
- 33Discretion points are not stated.
- 34Methodology review frequency is not stated.
- 35External review or consultation procedure is not stated.
- 36Material change definition is not stated.
- 37Notice period for methodology changes is not stated.
- 38Error correction and restatement policy is not stated beyond a reference to MSCI Index Policies.
- 39Whether constituents are published and their publication frequency are not stated.
- 40Index cessation policy is not stated.
- 41The provided index-specific sections do not state the official MSCI World ex USA Minimum Volatility launch date.
- 42The provided sections do not state the index base date or base value.
- 43The provided sections do not list the index calculation currency.
- 44The provided sections do not provide an ISIN, MSCI code 701713, short code MXWOUVOU, or Bloomberg identifier BBG003LR3CF4 in body text.
- 45The provided sections do not enumerate the covered countries or markets for MSCI World ex USA.
- 46The provided sections do not state a fixed target constituent count for this index.
- 47The provided sections do not provide index-specific inclusion factors or shares-outstanding rules.
- 48The provided sections do not include special maintenance rules that differ from the generic family profile for MSCI World ex USA Minimum Volatility.
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