certain combinations of the MSCI Risk Premia indices can account for even more

Certain combinations of the msci risk premia indices

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certain combinations of the MSCI Risk Premia indices can account for even more alpha than the theoretical risk premia Introduction Introduction to the MSCI Risk Premia Indices the use of passive index-based portfolios has been gaining momentum Risk premia indices isolate the beta of systematic factors, providing an additional source of return. Systematic factors include value, size, momentum, liquidity as well as other stock characteristics. These betas offer a new category of return which be captured without active management. Risk-premia indices offer attractive return and return-to-risk ratio improvement risk premia can offer improvements in 1. return, 2. volatility, and/or 3. risk-adjusted return There are two main risk premia strategies in which superior risk adjusted returns can be achieved: 1. Risk-based strategies.
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