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Dynamic allocation using minimum volatility

Active managers who are increasingly on the ropes as beta strategies encroach upon their alpha returns can take heart from the latest research from index provider MSCI. In the latest insight from Barra, Dynamic Allocation Strategies Using Minimum Volatility: Detecting Regime Shifts to Enhance Active & Passive Investing, Philippe Durand and John Regino argue that […]

Pushing smart beta further

The rise of smart beta has just got another boost thanks to a study commissioned by Norway’s ministry of finance for its Government Pension Fund Global. It asked index provider MSCI to look into the feasibility of running smart beta strategies for large portfolios. Very few institutions with the size of GPFG’s $400-billion equity portfolio […]

Demystifying equal weighting

The idea of accessing risk premia through the use of index-based funds and ETFs has been gaining momentum in recent years. Risk premia indexes aim to reflect the equity premia of stock characteristics such as value, size or momentum. Among the risk premia indexes, equally weighted indexes are some of the oldest and most well […]