ESG Engagement Report

Published: 4/13/2017

In January 2016, the MSCI Minimum Volatility index had a clear valuation premium versus cap-weighted indexes such as MSCI World. By December 2016, the premium had disappeared. Yet, cumulative returns for the two indexes were identical for the full year 2016. This apparent puzzle has a simple explanation: compression of the valuation difference was offset by a difference in earnings growth.