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Factor investing research


Growth’s recent outperformance was and wasn’t an anomaly

Growth’s recent outperformance was and wasn’t an anomaly

Blog post - Is the recent outperformance of growth strategies consistent with long-term results? The answer depends on what you mean by growth strategy.

A consumer sentiment factor from web content

A consumer sentiment factor from web content

Research paper - The explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment.

Are rates and equities losing their balance?

Are rates and equities losing their balance?

For most of the past two decades, a benevolent relationship between bonds and equities has provided a hedge for asset allocators. We used our macroeconomic model to examine whether this risk protection could disappear in a secular shift.

Back-to-school (momentum) blues?

Back-to-school (momentum) blues?

Blog postThe U.S. price momentum factor, which we highlighted for elevated crowding scores and vulnerability to negative performance at the end of June, suffered sizable drawdowns in the first seven trading days of September.

A defensive approach to factor portfolios

A defensive approach to factor portfolios

Research paper - Low-volatility indexes have been attractive to some investors, especially in times of market uncertainty and heightened volatility. We investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”

A smoother ride? Looking at factor-based asset allocation

A smoother ride? Looking at factor-based asset allocation

Blog postOn the surface, holding-based asset allocation appears to produce stability. But is what you see always what you get? We investigate the pros and cons of a factor-based approach.

Integrating factors in market indexes and active portfolios

Integrating factors in market indexes and active portfolios

Research paper - Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to outperform the market. All these types of investors may be able to benefit from incorporating factors into their process.

Factors’ active role in portfolio construction

Factors’ active role in portfolio construction

Research paper - How has the introduction of factors affected the performance and characteristics of different investment strategies? Have factors enhanced active strategies without impairing the manager’s ability to select stocks and generate alpha? How can factors help investors and advisers compare mutual funds? As published in the Investments & Wealth Monitor.

Elements of performance: Factors by MSCI

Elements of performance: Factors by MSCI

Factors are portfolio building blocks capable of turning data points into actionable insights. While the depth of data seems complex, putting Factors by MSCI to work for you couldn’t be any simpler.

MSCI FaCS

MSCI FaCS

Introducing a common language for factors that aims to increase transparency and investors’ understanding of equity portfolios.

Factor investing webinar series

Factor investing webinar series

Factor investing continues to evolve. Our quarterly webinar series keeps you up-to-date on our latest research about the elements of performance.