iShares introduced a new “low volatility” suite on October 20, 2011. The four new ETFs use multi-factor risk models in an attempt to create lower-risk equity portfolios. Each is based on a different MSCI stock universe: U.S., foreign developed markets, emerging markets, or all country/world.
iShares MSCI USA Minimum Volatility Index Fund (USMV) seeks to track the price and yield performance of U.S. large and mid-cap stocks with the lowest volatility. USMV has 126 holdings and an expense ratio of 0.15%. Additional information is located in the USMV overview and fact sheet (pdf).
iShares MSCI EAFE Minimum Volatility Index Fund (EFAV) seeks to track the price and yield performance of the lowest volatility stocks from the MSCI EAFE Index of foreign developed markets. EFAV has 162 holdings and an expense ratio capped at 0.20%. Additional information is located in the EFAV overview and fact sheet (pdf).
iShares MSCI Emerging Markets Minimum Volatility Index Fund (EEMV) seeks to track the price and yield performance of the lowest volatility stocks in the MSCI Emerging Markets Index. EEMV has 183 holdings and an expense ratio capped at 0.25%. Additional information is located in the EEMV overview and fact sheet (pdf).
iShares MSCI All Country World Minimum Volatility Index Fund (ACWV) seeks to track the price and yield performance of the lowest volatility stocks among all developed and emerging markets. ACWV has 270 holdings and an expense ratio of 0.35%. Additional information is located in the ACWV overview and fact sheet (pdf).
While the underlying indexes appear to have three-year performance histories, iShares provides little detail. The claims of “minimum volatility” for the benchmark indexes may be correct, but I could not locate any supporting data. I also could not find any information on index reconstitution, rebalancing, or the timeframe used for volatility measurements.
This general lack of information makes me think iShares rushed out this suite in response to the Russell low volatility ETFs, PowerShares S&P 500 Low Volatility Portfolio (SPLV), and EGShares Low Volatility Emerging Markets Dividend ETF (HILO).
Disclosure covering writer, editor, and publisher: No positions in any of the securities mentioned. No positions in any of the companies or ETF sponsors mentioned. No income, revenue, or other compensation (either directly or indirectly) received from, or on behalf of, any of the companies or ETF sponsors mentioned.