FDLO - USMV: A Unique Low-Volatility Strategy

2024-01-30 17:21:08 ET

Summary

• iShares MSCI USA Min Vol Factor ETF implements a low-volatility strategy using an optimized covariance matrix.
• The portfolio looks slightly better than the Russell 1000 index regarding value and quality, but inferior in growth.
• The USMV ETF has underperformed the benchmark since inception, but has comparable risk-adjusted performance.

USMV strategy

iShares MSCI USA Min Vol Factor ETF ( USMV ) started investing operations on 10/18/2011 and tracks the MSCI USA Minimum Volatility USD Index. It has a portfolio of 165 stocks, a trailing 12-month yield of 1.82% and a total expense ratio of 0.15%. Distributions are paid quarterly. The fund’s objective is a lower volatility relative to the broad U.S. equity market....

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