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Equity Index Data

The purpose of these indices is to help researchers and investors understand low volatility investing better by showing the returns on portfolios generated using ex ante data on investable equities, and having a very clear selection methodology. These indices represent the returns to a portfolio with equal weightings invested each 6 months into 100 equities for most portfolios (Jan 1 and July 1).  The Minimum Variance Portfolios were created via subsets of the indices to which they compared (ie, FTSE, MSCI-Euro, SP500,Nikkei). The US beta portfolios were constructed using the stocks above the median market cap at any point in time. Delisted companies were reinvested into the portfolio, once their delisting return was accounted for (if unavailable, I assumed a -40% return for Nasdaq, -20% for listed companies). 

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Minimum Variance Portfolios
(creation explained here)

US Beta Portfolios (simply the top, bottom, or nearest 100 stocks with greater than median market cap)


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