Low volatility index returns

Index returns
MSCI, Russell, and S&P provide minimum volatility and low volatility indexes covering both U.S. and international stock markets. The tables below provide index return, standard deviation, and growth of capital data. In addition, each low volatility index is compared to its parent index (for example, the S&P 500, Russell 1000, or MSCI EAFE indexes).

MSCI index returns
MSCI provides a wide ranging suite of minimum volatility indexes. MSCI currently calculates MSCI Minimum Volatility Indices for the following regions:
 * ACWI (All Country World Index)
 * Europe
 * EAFE
 * USA
 * Emerging Markets
 * World

According to MSCI, "the MSCI Minimum Volatility Indices 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. 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 multi-factor equity model." The MSCI indexes are reconstituted semi-annually.

The tables below provide data for the MSCI indexes currently being tracked by investable exchange traded funds.

S&P index returns
S&P provides a family of low volatility indexes which include US, regional, and international indexes. The indexes are rebalanced quarterly. The indexes rank and weigh the least volatile stocks in its respective index. The indexes are designed to hold:
 * S&P 500: the 100 least volatile stocks
 * S&P 400: the 80 least volatile stocks
 * S&P 600: the 120 least volatile stocks
 * S&P BMI Developed ex-US: the 200 least volatile stocks
 * S&P BMI Emerging: the 200 least volatile stocks
 * S&P Europe 350: the 100 least volatile stocks
 * S&P Pan Asia: the 50 least volatile stocks

The tables below include data for the US indexes and the two currently investable international developed and emerging market indexes.

Russell-Axioma index returns
Russell-Axioma low volatility indexes are constructed by ranking stocks by volatility. For U.S. indexes, the selection process starts with the lowest volatility stock, then a target portfolio is created by adding the next lowest volatility stocks until the target portfolio has a total capitalization of 35% of the Russell 1000 or Russell 2000 Index. This target portfolio is referred to as the “naïve factor index.” The Index then selects a portfolio of up to 200 stocks for the Russell 1000 Index or a portfolio of up to 400 stocks for the Russell 2000 Index. The indexes seek to "optimally track the returns of the target portfolio while managing turnover and neutralizing exposure to other factors, such as beta and momentum." The indexes are reconstituted monthly.

A similar index construction methodology is used in the Russell-Axioma Developed ex-US Large Cap Low Volatility Index. The index holds approximately 400 stocks of the Russell Developed ex-US Large Cap Index and is reconstituted monthly.

There are no current funds tracking the Russell indexes.

Indexes

 * MSCI Global Minimum Volatility Indices
 * Russell-Axioma U.S. Large Cap Low Volatility Index
 * Russell-Axioma U.S. Small Cap Low Volatility Index
 * S&P 500 Low Volatility Index
 * S&P Mid Cap 400 Low Volatility Index
 * S&P Small Cap 600 Low Volatility Index

Methodology

 * MSCI Minimum Volatility Indices Methodology
 * Russell Long-only Factor Indexes construction-methodology
 * S&P 500 Low Volatility Index, download methodology

Articles

 * Making Sense of Low Volatility Funds, indexuniverse.com., September 25, 2012.
 * Vanguard Mulls Low-Volatility ETFs as Category Thrives, ETF Trends, November 1, 2012.
 * Evaluating Alternate Beta Strategies, Xiaowei Kang, Journal of Indexes Europe, March/April 2012.