The Long and Short of Factor Indexing: How portfolio construction shapes investment outcomes
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How a factor index is built shapes what it delivers. This paper compares long-only, 130/30 and market-neutral implementations of momentum, value and quality, built on MSCI’s newly launched Quantitative Factor Indexes. We demonstrate how relaxing the long-only constraint changes factor exposure, transfer efficiency and the active risk profile of a broader equity program.
Distribution of factor exposures using monthly data from Jan. 31, 2006, to May 30, 2026. Factor exposures are measured in z-scores relative to the MSCI World Index, except for the market-neutral construction where exposures are reported on an absolute basis.
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Quantitative Indexes
Build and benchmark systematic strategies with optimized, transparent factor indexes across long only, extended long/short and market neutral long/short frameworks.
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