MSCI Factor Indexes
Approximately USD 236 billion in assets are estimated to be benchmarked to MSCI Factor Indexes1
MSCI Factor IndexesPartner Indexes
MSCI USA Momentum SR Variant Index
Performance | Factsheet | Methodology
MSCI USA Enhanced Value Index
Performance | Factsheet| Methodology
MSCI USA Sector Neutral Quality Index
Performance | Factsheet | Methodology
MSCI USA Low Size Index
Performance | Factsheet | Methodology
MSCI World ex USA Sector Neutral Quality Index
Performance | Factsheet | Methodology
MSCI World ex USA Momentum Index
Performance | Factsheet | Methodology
MSCI World ex USA Enhanced Value Index
Performance | Factsheet | Methodology
MSCI World ex USA Low Size Index
Performance | Factsheet | Methodology
MSCI USA Quality GARP Select Index
Performance | Factsheet (USD) | Methodology
MSCI Emerging Markets Value Factor Select Index
Performance | Factsheet (USD) | Methodology
MSCI Emerging Markets Quality Factor Select Index
Performance | Factsheet (USD) | Methodology
MSCI ACWI Quality Index
Systematic factors
The MSCI factor indexes are rules-based indexes that capture the returns of systematic factors that have historically earned a persistent premium over long periods of time—such as Value, Low Size, Low Volatility, High Yield, Quality and Momentum and Growth.
Factor index insights and research
Factor Focus: Value
The foundation of value investing is the notion that cheaply priced stocks outperform pricier stocks in the long term. Value is categorized as a “pro-cyclical” factor.
Finding Value: Understanding Factor Investing
The perennial appeal of value investing is based on the excellent long-term performance of global value stocks.
Factor Focus: Quality
Quality is categorized as a “defensive” factor, described in academic literature as capturing companies with durable business models and sustainable competitive advantages.
Quality Time: Understanding Factor Investing
The latest edition examines the effects of these changes, including a new look at the three descriptors used to construct the MSCI Quality Indexes: return-on-equity (ROE); debt-to-equity (D/E) and earnings variability (EVAR).
Factor Focus: Momentum
The Momentum factor refers to the tendency of winning stocks to continue performing well in the near term. Momentum is categorized as a “persistence” factor.
Riding on Momentum
Momentum is used widely in risk models, quantitative strategies and, more recently, as the basis for factor indexes aiming to replicate the performance of this pervasive factor.
MSCI Low Size Indexes
The size factor is one of the most widely recognized investment themes built on the intuition that smaller companies may grow faster than larger peers thereby offering the potential for higher returns.
One Size Does Not Fit All: Understanding Factor Investing
The size premium has been widely used in asset allocation and in risk models for decades. However, some academics and practitioners have contested the validity of the size premium.
What drives the capacity of factor index strategies?
As factor investing becomes increasingly “business as usual,” institutional investors have become keenly interested in the ability of strategies that replicate factor indexes to persistently capture the desired exposures.
All FAANGs are Not Created Equal
Commonly grouped as tech stocks or growth companies, yet when examined through the lens of performance-driving factors, their characteristics are far from homogeneous.
What is Going on With Factor Returns?
Value and momentum factors typically move in opposite directions — that is, when one outperforms the market, the other usually underperforms.
1 Data as of December, 2017 and reported as of March, 2018 by eVestment, Morningstar, Bloomberg and MSCI.