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IndexMetrics is a service providing multiperspective analysis of MSCI indexes that enables investors to evaluate, compare and monitor strategies linked to MSCI indexes in a streamlined and cost-effective way. Since it was introduced in 2013, IndexMetrics has evolved to become a standard framework to enable deep portfolio insights quickly and efficiently.
IndexMetrics supports multiple views of index characteristics, encompassing key metrics, performance, exposure and investability measures. It is used internally at MSCI for new index development and externally to help our clients quickly assess factor and ESG characteristics and gain insights into drivers of risk and return.
From understanding the sources of exposure within an index, to comparing characteristics of multiple indexes relative to the same benchmark, IndexMetrics supports factor, ESG and thematic investing. By capitalizing on MSCI’s extensive, high-quality historical data and MSCI's Barra equity risk models, IndexMetrics provides investors greater transparency into the core drivers of risk and return, enabling them to make better informed investment decisions.
IndexMetrics provides investors with quantitative measures of MSCI indexes along four standard dimensions – Key Metrics, Performance, Exposure and Investability.
A high level one-page overview of the characteristics and performance of the index relative to its benchmark.
Given the historical risk and return profiles seen in the key metrics report, investors are able to further identify active exposures for factor, ESG and thematic indexes relative to their parent index.
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ESG integration and values
Important tools used to gain insights into the sources of the underlying exposures driving excess returns and risks. These metrics help investors evaluate if the excess performance is contributed by target exposures.
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These metrics help investors assess the liquidity, capacity and cost trade-offs that are key to index-based strategy implementation.
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Capacity and concentration
Liquidity and cost of replication
Top constituents & top active positions
Request for Information and paper
MSCI IndexMetrics: An Analytical Framework for Factor, ESG and Thematic InvestingMSCI introduced IndexMetrics as a lingua franca to provide a multiperspective analysis of indexes. The framework is designed to provide quantitative measures for key metrics, performance, exposure and investability. This research insight, updated for 2020, details the IndexMetrics analytical framework for factor, ESG and thematic indexes.