Browse communities
Browse communities
Presenting a webinar?

Minimum Variance Indices

Brendan Maton
Minimum Variance Indices have multiple usages for investors as part of their asset allocation:
• Indices provide a portfolio with lower volatility (i.e. risk) but with full exposure to relevant equity markets.
• Minimum Variance portfolios use less risk budget available to investors.
• Due to efficient portfolio construction no “overspending” of risk in relation to achievable return.
• Shortcomings and structural performance deficits of market cap weighted indices are mitigated through alternative weighting mechanism.

STOXX+ Minimum Variance Indices have been developed in collaboration with Axioma, a leading provider of portfolio constructions tools and risk models. Axioma provides the fundamental factor model used to calculate the rebalancing portfolios.

Multiple index versions to cater for a broader investor base
• Create a stand-alone minimum variance strategy index family (unconstrained version)
• Create a minimum variance improvement on market-cap. weighted benchmarks (regular version)

Unconstrained index version is a novelty and offers the following benefits:
• Full optimization to minimize risk
• With only very basic constraints, there is the freedom to provide increased optimality in resulting portfolio
• Resulting portfolio might have a bias towards certain properties (specific factor, geography etc.) as the aim is purely to minimize variance
• The freedom is expected to provide lower risk
Jun 12 2012
60 mins
Minimum Variance Indices
More from this community:

UK Wealth Managers

  • Live and recorded (1479)
  • Upcoming (22)
  • Date
  • Rating
  • Views
  • Channel
  • Channel profile
  • The Power of Rebalancing: Fact, Fiction and Why it Matters May 6 2015 1:00 pm UTC 75 mins
    Brendan Maton
    The Power of Rebalancing: Fact, Fiction and Why it Matters

    It is well-understood that rebalancing is a necessary step in restoring a portfolio of volatile assets back to its target weights. Whether it is performed periodically or triggered when actual weightings move too far from target, rebalancing a portfolio will naturally lead to selling assets that have outperformed the portfolio, and buying assets that have underperformed the portfolio.

    It is much less widely understood that rebalancing can actually be a source of return for the portfolio. Despite the fact that this observation dates back to 1982 [Fernholz and Shay] and has been successfully used to manage portfolios for nearly as long, it has come under considerable attack in the recent past by some academics and practitioners. The main arguments used by these detractors are:

    1. There is no return benefit, because the portfolio’s expected wealth does not increase.
    2. The return benefit exists, but is due to diversification, not rebalancing.
    3. The return benefit relies on mean-reversion.

    These arguments may appear compelling at first glance, but all three are fundamentally flawed. This webcast will tell you why.

    INTECH Investment Management LLC will act as sub-adviser to Janus Capital International Limited. Janus Capital International Limited (JCIL) is authorised and regulated in the UK by the Financial Conduct Authority.
  • The Global Private Finance Opportunity Apr 22 2015 1:00 pm UTC 75 mins
    Brendan Maton
    Why Listen:

    Learn about investing globally in private credit
    Insights into private credit fundamentals worldwide
    Learn how private credit is originated
    Key thoughts and considerations around portfolio construction and diversification in North America, Europe, Australia/New Zealand and developed Asia
  • Event Shortfall – Investment Risk Realised Recorded: Mar 9 2015 60 mins
    Brendan Maton
    Investors make portfolio allocation decisions for a wide array of reasons. For example, a pension plan may choose to implement a strategic asset allocation change as a result of an asset-liability study. Whatever the reason for the change in investment allocation, delay in implementation will invariably impact returns. Empirical evidence from State Street’s transition team shows that the delay between client investment decision and selection of a transition manager can run into several months and in extreme cases over a year. Current calculations of investment risk will tend to consider investment exposure relative to a benchmark once the portfolio restructuring is complete. Event Shortfall considers that investment risk starts at the point of decision. Measuring risk in this way implies that asset owners are running unrewarded and un-mandated risks for considerable periods of time and are often paying explicit fund management fees for the delivery.

    Our webinar explains the background to Event Shortfall, considers some of the practical implications of measuring and managing these risks, and reflects on the viewpoint of industry figures.
  • Stabilität für institutionelle Aktienanlagen - Chancen des internationalen Gesun Recorded: Mar 5 2015 54 mins
    Frank Schnattinger
    - Weltweiter Trendmarkt Gesundheit: Die Nachfrage steigt überproportional
    - Bis 2030 steigen Gesundheitsausgaben voraussichtlich rund +6% pro Jahr im Durchschnitt
    - Relativ unabhängig von Konjunkturzyklen und unsicheren Börsenphasen
    - Gesundheitsmarkt ist vielfältig: Nicht nur Pharma, sondern z.B. auch Generika, Biotechnologie, Betreuung/Pflege, Logistik/Vertrieb, Medizintechnik und IT.
    - Zweistelliges Gewinnwachstum im Biotech-Sektor
  • A Blended Approach: combining quantitative and fundamental investment indicators Recorded: Dec 16 2014 56 mins
    Brendan Maton
    · Fundamental and quantitative investment approaches are different, but complimentary.
    · Blending fundamental and quantitative requires scale, research, and integration.
    · A blended approach can lead to consistent performance in different market environments.
    · Risk-aware portfolio construction can lead to high active-share while managing benchmark relative volatility.
  • U.S. Floating Rate Loans - A credit complement to low duration assets Recorded: Dec 3 2014 69 mins
    Brendan Maton
    As a Bank Loans investment expert, Mark Boyadjian, CFA, Senior Vice President and Director of Floating Rate Debt Group at Franklin Templeton Investments will discuss the Bank Loans asset class and the current U.S. bank loans market situation.

    Mr. Boyadjian will provide insights on the following themes, and answer your questions during the live Q&A session.

    Bank loans, a meaningful player in the broader fixed income space

    Credit risk assessment when investing in Bank Loans

    Seeking opportunities in the U.S. market
  • A deeper dive into factors and factor combination investing: what, why and how? Recorded: Nov 18 2014 69 mins
    Tom Goodwin, Senior Research Director and Guillermo Cano Senior Product Manager, Russell Indexes
    Introduction/description of topic

    What? Factor-investing, or factor-based equity allocations, are entering the mainstream of the investment conversation. But investors are faced with ‘noise’ in the smart beta arena, including uncertainty around how smart beta can solve investment problems, and the differences between ‘smart beta’ and ‘factor’ indices that have exploded onto the scene. So where do they begin?

    Why? If investors have a desire to tilt portfolios towards strategies that can potentially both tolerate market volatility and generate long-term positive returns, exploring how factor-based equity allocations can help achieve these investment objectives is a good place to start.

    How? Practical implementation of exposures to these factors raises a new set of questions such as how to efficiently capture the desired factor exposure(s) while being mindful of turnover and capacity, and how to maintain a well-diversified portfolio.

    This Russell Indexes’ webcast seeks to guide investors through these complexities. We will illustrate how we’ve cut through the noise to focus on what our research has shown to be the most important and complementary factors for portfolio construction: low volatility, value, quality and momentum. We will also provide examples of how factor combination portfolios can align with investor beliefs, preferences, and constraints.
  • Combining Factors for Greater Risk-Adjusted Returns Recorded: Nov 5 2014 62 mins
    Michael Hunstad
    How do you combine various risk factors to achieve greater risk-adjusted returns? We will explain:

    1. How combining risk factors provides a diversification benefit
    2. How to efficiently combine risk factors to ensure success
    3. Multi-factor intersection portfolios -- And how they provide greater results compared to simple risk factor combinations

    Register now to join our webcast to learn more about risk factor combinations and how Northern Trust Asset Management can help you navigate a better route to achieving your equity investment objectives, visit us today at
  • China A-Shares: Too Big to Ignore Recorded: Oct 15 2014 64 mins
    Brendan Maton
    There are valid reasons why this is the case. For starters, A‐shares are simply not on the “radar” of global investors, who rely on the policy benchmark to guide their allocation decisions. When a market is not represented in the benchmark, it is typically ignored. Thus, investing in A‐shares is often considered an “off‐benchmark” bet and tends to be opportunistic in nature.

    In this webcast, MSCI will discuss the findings from their recent research paper “China A-Shares: Too Big to Ignore” and how investors can look beyond the current accessibility issues and should consider A-shares in light of the following:


    · What are global investors truly missing when they avoid investing in A‐shares?
    · What are some of “implicit costs” of not having A‐shares in a global equity portfolio?
    · What is the potential role of A‐shares (if any) in global equity allocation?
  • OTC derivatives central clearing: Implications beyond becoming compliant Recorded: Oct 1 2014 69 mins
    Brendan Maton
    Pension funds may have been granted a temporary exemption from the central clearing aspects of the European Market Infrastructure Regulation (EMIR) - an exemption that is likely to be extended - however, there are significant implications they need to start thinking about now. Asset protection is a key concern in a centrally cleared environment with the industry exploring various segregation models to increase asset safety and reduce counterparty risk. Coupled with the growing concern for liquidity availability EMIR is proving to be more challenging than initially thought. Let us guide you through these issues to help ensure you’re prepared and have the optimal solutions in place.
  • Challenges in Low Volatility Investing Recorded: Sep 4 2014 67 mins
    Brendan Maton
    Contrary to conventional finance theory, research shows it is possible to generate higher risk-adjusted returns for investors with a low-volatility investment strategy. Many organizations offer solutions that seek to capture this return opportunity, but do so in ways that lead to high concentration in certain sectors, poor liquidity and high turnover costs. RAFI Low Volatility is a smart beta product built from the ground up to exploit the low volatility anomaly while preserving the benefits of passive investing.
  • Addressing unmet needs of asset owners - Integration of smart beta Recorded: Jul 17 2014 75 mins
    Jamie Forbes, Scott Bennett, Brendan Maton (Moderator)
    Integration of smart beta within portfolios to help control exposures

    Global growth of smart beta among asset owners is set for a strong pace in the next 18 months. According to a recent survey conducted by Russell Investments of almost 200 equity decision makers at pension funds, asset owners are looking for products to address unmet needs, such as the ability to control or introduce specific exposures in their portfolios.

    With the continued innovation in the smarter uses of beta, strategy indices designed to target specific factors such as low volatility, momentum and quality have been created to help address these needs. But the availability of product alone is not enough. Asset owners also need to consider how they integrate smart beta in their portfolios, either as a component to make their strategic asset allocation more efficient or as an extra tool to help them implement their strategy more effectively.

    Agenda topics:

    • Key findings from Russell’s recent survey of asset owners on smart beta adoption
    • A proposed framework for incorporating smart beta allocations into an equity portfolio
    • Case studies on implementation within pension fund portfolios
  • Senior Secured Corporate Loans – Predictable Income and Global Diversification Recorded: Jul 1 2014 56 mins
    Brendan Maton
    Presented by;
    Vanessa Ritter, CFA, Head of Global Loans
    Javier Peres Diaz, Lead Portfolio Manager, European Loans
    Dennis Tian, CFA, Portfolio Manager, European Loans

    Senior Secured Corporate Loans (otherwise known as bank loans or leveraged loans) provide access to a broad variety of issuers in a liquid market at an appealing yield. They can offer stable cash flows due to their floating-rate nature as well as their senior position in the capital structure. These characteristics can make them an attractive addition to any fixed income portfolio.

    The webcast will cover:

    •Key features of Senior Secured Corporate Loans – what are they, how do they work
    •How big is the loan market and how does it compare with high yield bonds?
    •What drives/impacts performance?
    •Compelling reasons to invest in the corporate loan market
    •Why BNP Paribas Investment Partners
  • Smart Alpha and the Truth about Smart Beta Recorded: Jun 17 2014 65 mins
    David Schofield, Richard Yasenchak, Brendan Maton (Moderator)
    Alternatives to cap-weighted equity portfolios are all the rage. It seems that just about every asset manager or index provider has come up with a product to capitalise on the wave of interest in ‘Smart Beta’ and other variations on this theme. The number of different names and weighting schemes on offer is eye-popping, and they all claim to outperform the poor old cap-weighted index. In fact, just about any old weighting scheme appears to do better than cap-weighting, including randomly generated portfolios and even the ‘inverse’ of the most established, most popular Smart Beta products.

    So what is really going on? Can it be that there is a common thread linking these various Smart Beta strategies that is the real driver of returns? And what can be done to exploit this return source in a more deliberate way?

    If Smart Beta is the question, maybe Smart Alpha is the answer.

    Investment experts from INTECH will share the fruits of over 30 years work spent studying these ideas.
  • MSCI Multi-Factor Indexes Recorded: May 13 2014 69 mins
    Brendan Maton
    A basis for implementing index-based multi-factor strategies - transparently and cost-effectively

    Previously only available through active management, Factor Investing has become a widely discussed part of today's investment canon and continues to be a subject of lively discussion among academics, institutional investors, product providers and index providers alike. Extensive empirical research has found positive excess returns from exposure to risk factors (or risk premia) such as value, momentum, low size (or small cap) and low volatility stocks. Now, investors are sharply focused on the practical questions of how to implement exposure to these factors.

    In this webcast, MSCI will discuss the findings from the recent research paper and discuss the rationale for factor investing and how indexes can be constructed to reflect factor returns in cost-effective and transparent ways.

    Agenda Topics:
    * Assessing the role of factor investing in the context of a plan's objectives
    * Determining the appropriate factors for the plan
    * Choosing an index to capture the selected factors
    * Factor performance metrics
  • How New Global Regulations May Re-Shape the Securities Lending Industry Recorded: May 8 2014 67 mins
    Brendan Maton
    Pending and proposed regulatory reforms are likely to significantly impact future developments within the securities finance industry. To better understand the changing environment and how you can best prepare, please join State Street on 8 May for an informative dialogue where we’ll answer questions such as:
    • What are the relevant provisions for lending agents and borrower counterparties?
    • How might regulatory reform change the industry landscape?
    • What impact, if any, do these changes mean for asset owners and asset managers that wish to lend their securities in the future? What are the possible new opportunities and benefits to the lending industry?
    • As new structures emerge, what should beneficial owners consider?
    • Besides reducing market and systemic risk, what other gains are regulators expecting to achieve from new regulations?

    Presentation by:

    Glenn Horner, CFA, FRM
    Managing Director, Regulatory Affairs
    State Street Securities Finance

    Maurice Leo
    Senior Managing Director, Head of Relationship Management, EMEA
    State Street Securities Finance

    Jim McDonald
    Senior Managing Director, Head of Global Trading
    State Street Securities Finance

    Kevin McNulty
    Chief Executive Officer
    International Securities Lending Association (ISLA)

    Dennis Presburg
    Vice President, Asset Owner Solutions, EMEA
    State Street Global Services

    Brendan Maton
  • Good Beta, Bad Beta: Not all smart beta strategies are smart Recorded: Apr 30 2014 68 mins
    Brendan Maton
    •Smart beta trends:
    • Where is the smart money going?
    • What is driving interest in smart beta right now?
    • How big is the market?
    • What are the benefits?
    • How are sophisticated investors customizing their exposure?
    • Index versus manager versus bespoke
    •Good smart beta strategies are transparent, rules based, diverse, low risk, and take advantage of rebalancing.
    •Bad smart beta strategies are opaque, black box, concentrated, high risk, and trend following.
    •The devil is in the implementation details, learn the right questions to ask to tell the good from the bad.
  • Smart Beta for Bonds - Getting Better Risk-Adjusted Returns Recorded: Mar 20 2014 71 mins
    Shane Shepherd, Head of Fixed-Income Research at Research Affiliates, LLC
    In the current low-rate environment, investors have turned to credit portfolios to boost paltry yields. However, new research reveals they are often not properly compensated for the risk they have taken on. A new smart beta strategy index weights a company’s debt according to fundamental measures of a company’s debt service capacity. The result is a smart beta solution offering a better quality portfolio, lower volatility, and improved Sharpe ratios. In this webinar, Dr. Shane Shepherd will explain how investors can obtain the benefits of an active bond portfolio with a transparent and rules-based strategy that offers downside protection and has low implementation costs.
  • New Ways of Looking at Emerging Markets Recorded: Mar 5 2014 58 mins
    Brendan Maton(Moderator), Matt Arnold, CFA(Senior Strategist, SPDR) & Altaf Kassam, CFA(Head of Index Applied Research), MSCI
    • BRIC was a useful shorthand for the shift in global economic power away from the developed G7 economies towards the developing world

    • But in a world in which it has become apparent that Brazil and Russia are still overly dependent on commodities, Beyond BRIC recognizes that emerging markets face idiosyncratic risks, and investors will be more discriminating… one day.

    • The knee-jerk treatment of all emerging markets as one asset class could provide investors, who are looking for new and tactical ways to gain exposure across the emerging markets, with some good entry points

    • Sign of indiscriminate nature of sell-off is that Mexico has suffered the greatest proportionate ETF outflows so far this year, even though it is one of the few emerging countries that benefits from problems in China, its chief competitor for manufacturing jobs

    • Many of the emerging economies in the SPDR Beyond BRIC UCITS are on a much sounder footing and less vulnerable to any tightening in global financial conditions

    o South Korea (16.2% of index), Taiwan (15%), Mexico (12.9%), Malaysia (9.6%), and Philippines (2.06%), Thailand (5.3%).

    • Smaller emerging economies’ exports could do much better if equity investors' focus shifts from sales to emerging market consumers back to consumers in the West – most emerging economies are still sustained by western export markets rather than local demand
    o Top 10 holdings: Samsung Electronics (3.59%), Taiwan Semiconductor (3.1%), America Movil (2.7%), Naspers (2.2%) and MTN Group (1.9%).
  • The Active Alpha Approach Recorded: Jan 14 2014 66 mins
    Brendan Maton
    In spite of all Europe’s travails in recent times, the continent’s publicly-quoted companies remain the core of IPE readers’ growth portfolios.

    • What constitutes genuine active management?

    • How do you generate consistently high levels of alpha?

    • How can you gauge how ‘active’ a bottom-up stock picker is?

    With a fine pedigree in active management and a superb track record in alpha for euro-zone equities, Petercam is well placed to answer these questions and more.

    Using Petercam’s active management process the Petercam Equities Euroland fund has outperformed traditional indices such as MSCI EMU NDR by 70%, gross of fees over 10 years with just a 3-6% tracking error.

    Join us 14 January 2014 as we discuss the issues above and demonstrate how our focus on bottom-up stock picking – particularly mid-cap – and our thematic top-down overlay investment features combine to create conditions for strong growth in our clients’ equity portfolios.
Live interviews, roundtables & presentations
This webcast channel is for pension funds and other institutional investment professionals in Europe, the USA and Asia. It is particularly relevant for pension fund executives, trustees, consultants and investment managers. IPE will be bringing its community live interviews with leading figures in the market, hosting roundtable discussions on specific topics such as asset allocation and also sharing latest thought-leadership from investment experts.

Embed in website or blog

Successfully added emails: 0
Remove all
  • Title: Minimum Variance Indices
  • Live at: Jun 12 2012 9:00 am
  • Presented by: Brendan Maton
  • From:
Your email has been sent.
or close
You must be logged in to email this