The MSCI Factor ESG Target Indexes
Research Paper
September 28, 2017
Preview
Institutional investors are moving toward integrating ESG criteria into their portfolios and their factor allocations in particular. But they face key challenges in doing so: How can they enhance their strategies' ESG profiles while achieving the desired exposure to their target factors? Our research shows this can be achieved by simultaneously incorporating ESG integration alongside factor exposure targeting in index construction. The MSCI Factor ESG target indexes' "one-step" approach achieved significant improvement of the ESG profile of a single- or multi-factor index relative to its market-cap-weighted parent with modest or no negative impact on the indexes' ability to capture factor return premia over the December 2007 to June 2017 study period.
Read the full paper
Read the full paper
Provide your information for instant access to our research papers.
The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.