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Diversified Multi-Factor Indexes
MSCI diversified multiple factor indexes
MSCI Diversified Multiple-Factor Indexes use the Barra product risk tools to construct indexes that track the performance of four factors – Value, Momentum, Quality and Low Size – which have, over time, provided higher return than the overall market while keeping risk at the level of an underlying parent index.
The innovation is in capturing optimal exposure to a diversified set of factors while aiming to keep risk similar to that of the market. These indexes can be used by investors looking to construct diversified portfolios that are exposed to multiple factors.
Diversified factor performance of GICS-based sector indexes
MSCI USA Diversified Multiple-Factor Capped Sector Indexes are based on parent indexes containing U.S. large and mid-cap securities within nine individual MSCI USA sector indexes. The indexes aim to maintain a risk level similar to the parent index while maximizing overall exposure to four target factors, so that institutional investors can benefit from the improved performance of combining factors while expressing single sector views. The issuer-level weights of the constituents are capped at 25%.