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martingull
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Joined: April 15th, 2010, 6:11 am

Minimum Volatility Portfolios

October 28th, 2011, 2:26 pm

Hello All,I am doing an assessment of different minimum volatility schemes at work and I need some help finding more providers. So far I have found MSCI Min Vol, MSCI Risk Weighted, Russel Defensive, Russel Volatility Control, Stoxx Min Vol and S&P500 Low Vol. As you probably can see from my findings the scheme does not need to be a optimized GMVs. The only requirement (so far) is that it is eligible as a benchmark. Thank you all in advance!M
 
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McWulf
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Minimum Volatility Portfolios

October 31st, 2011, 8:23 am

Eligibility as I understand it is not universal. It's up to the trustee or whoever is responsible for the investments in your world, to make sure that the rules of the index comply with your requirements. Anyway, that aside, if volatility is your only concern then this can be managed using a vol-control method or using some kind of optimisation. I would be inclined to build a benchmark myself - but I guess that doesn't answer your question. New indices are coming out seemingly all the time. Sorry, all I can do is google which I guess is what your are already doing.
 
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martingull
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Minimum Volatility Portfolios

October 31st, 2011, 9:15 am

Well sorry it seems that my question was not clear enough.I am looking for providers of low volatility portfolios. The portfolios can be sort-based or optimized portfolios. (Sort based is when you calculate volatility and include the low vol stocks. Optimized is when you solve for the minimum volatility portfolio on the efficient frontier).
Last edited by martingull on October 30th, 2011, 11:00 pm, edited 1 time in total.
 
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McWulf
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Minimum Volatility Portfolios

October 31st, 2011, 12:24 pm

Well here's a vol-control set along the lines of (I think) the Russel one you mentionedhttp://www.ftse.com/Indices/FTSE_100_Risk_Targ ... dex.jspBut not among the two types you mention in your last post - this has a variable cash component. S&P have a series of these too.From the same supplierhttp://www.ftse.com/Indices/FTSE_EDHEC_Risk_In ... dex.jspbut this maximises Sharpe ratio so not necessarily low vol (but likely).MSCI seems to be the main player in minimum volatility indices.
 
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fjwalnuts
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Minimum Volatility Portfolios

December 14th, 2011, 9:10 am

Optimized low-vol portfolios perform better than sort-based volatilities (or betas). Simply because they take into account correlations between different assets. In this way, I agree MSCI is one of the best players:http://www.msci.com/products/indices/st ... olatility/