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MSCI Factor ESG target Indexes

MSCI Factor ESG Target Indexes are designed to represent the performance of a strategy that seeks systematic integration of ESG (Environmental, Social and Governance) into Factor Investing. They help provide a set of Factor Indexes that aim to be more “ESG-aware”.

With more investors seeking to integrate ESG into their Factor allocation strategy, MSCI Factor ESG Target Indexes are designed to combine Factor and ESG exposures simultaneously in a transparent and efficient manner. The indexes are constructed based on parent MSCI indexes, which are used as benchmarks by many institutions; they are designed to allow for seamless allocation along with liquidity and replicability.

The methodology used in MSCI Factor ESG Target Indexes aims at maximizing the exposure to the target Factor along with 20% ESG score improvement of the Factor index relative to its parent market-cap weighted index1. This approach is designed to be scalable across regions and countries, and across both single and multiple-factor indexes.

For further information, download our factsheet.

1 “Factor Investing and ESG integration” Melas et al, MSCI Research, November 2016

A leader in Factor Indexes and ESG Rating and Research, MSCI continues to lead innovation by combining the merits of both to bring next generation Factor ESG Target Indexes to market.
 

INTEGRATING FACTORS AND ESG

MSCI’s approach of optimizing Factor and ESG exposures places higher weighting on the stocks above the curve. This approach is highly customizable to achieve intended dual Factor and ESG enhancement.

 


Performance, factsheets and methodology

MSCI Minimum Volatility ESG Target Indexes

Methodology

MSCI World Minimum Volatility ESG Target Index

Performance | Factsheet

MSCI Europe Minimum Volatility ESG Target Index

Performance | Factsheet

MSCI USA Minimum Volatility ESG Target Index

Performance | Factsheet

MSCI Japan Minimum Volatility ESG Target Index

Performance | Factsheet

 

MSCI Quality ESG Target Indexes

Methodology 

MSCI World Quality ESG Target Index

Performance | Factsheet

MSCI Europe Quality ESG Target Index

Performance | Factsheet

MSCI USA Quality ESG Target Index

Performance | Factsheet

MSCI Japan Quality ESG Target Index

Performance | Factsheet


MSCI Value ESG Target Indexes

Methodology 

MSCI World Value ESG Target Index

Performance | Factsheet

MSCI Europe Value ESG Target Index

Performance | Factsheet

MSCI USA Value ESG Target Index

Performance | Factsheet

MSCI Japan Value ESG Target Index

Performance | Factsheet
 

MSCI Multiple-Factor ESG Target Indexes

Methodology

MSCI World Multiple-Factor ESG Target Index

Performance | Factsheet

MSCI Europe Multiple-Factor ESG Target Index

Performance | Factsheet

MSCI USA Multiple-Factor ESG Target Index

Performance | Factsheet

MSCI Japan Multiple-Factor ESG Target Index

Performance | Factsheet

 

Applications

Our Factor ESG Target Indexes can be used to support:

  • Asset allocation: Adding a factor return component to portfolio strategies.
  • Performance measurement and attribution: Benchmarks factor-driven performance of specific investment strategies, as well as defining factor-based stock universes.
  • Research: A trusted source of data for sell-side research.
  • Investment product development: May be licensed for use as the basis for structured products and other index-linked investment vehicles, such as ETFs and ETNs.

Factor Indexes Overview

Adding to the investment tool kit.
Learn more about our factor index offering.

MSCI ESG Universal Indexes

The new MSCI ESG Universal Indexes are a modern way of indexing, and are designed to address the needs of asset owners, who may look to enhance their exposure to ESG while maintaining a broad and diversified universe to invest in.

ESG Integration

The world is changing. With it, the world of investing is changing.

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