RT Journal Article
SR Electronic
T1 Harvesting Risk Premia in Emerging Markets
JF ETFs and Indexing
FD Institutional Investor Journals
SP 118
OP 122
VO 2012
IS 1
A1 Dimitris Melas
A1 Madhu Subramanian
YR 2012
UL http://guides.pm-research.com/content/2012/1/118.abstract
AB Emerging markets play an increasingly important role in the global economy and in the asset allocation of institutional investors. However, high allocation to emerging markets typically leads to high portfolio volatility. The authors examine alternative index strategies that could potentially mitigate the inherent volatility of this asset class. By reweighting a standard benchmark, such as the MSCI Emerging Markets Index, some of these passive strategies have historically experienced lower volatility or better performance compared with standard benchmarks. In addition, the authors examine methods of gaining indirect exposure to emerging markets through an index of developed market companies that derive a high percentage of their revenues from emerging markets. Innovations in indices and ETFs offer new ways of accessing emerging markets while addressing specific investment objectives and constraints.