Factors – Elements of Performance

Video
March 26, 2020
Factors are the key drivers of risk and return.
The elements capable of turning data points into actionable insight.
Factor Indexes performance scorecard
MSCI has designed a family of factor indexes that reflect the performance of equity "risk premia" factors (Minimum Volatility, Yield, Quality, Momentum, Value, Size, Growth) across global geographies. In addition to single factor indexes, MSCI also offers multi-factor indexes which aims to give institutional investors a foundation for implementing multi-factor strategies transparently and efficiently. MSCI factor indexes are built using MSCI's Barra Risk Factor Models used by sophisticated investors for several decades.
MSCI Factor Index performance heat map
  • All returns over 1 year are annualized.
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    • <li><span style="font-size: 12px;">Sell off refers to a period when the COVID-19 pandemic started to spread across the globe, up until markets reached their trough (02/17/2020 - 03/23/2020)</span></li>
Key indicators of factor performance
Factors have outperformed in the long run compared to the wider market. However, factorshave historically been cyclical to broad and changing market conditions, such as macro environment, valuations, recent performance trends and risk sentiment. We study the performance of factors in various economic regimes and present it across these key pillars.
Exposures from MSCI's adaptive multi-factor allocation model
As of March, 2024. Positive exposures are denoted as + or ++, negative as - or -- and neutral as N.
Key highlights
  • Our adaptive multi-factor framework is a model designed to analyze factor-based decisions. Our research suggests the value in taking a holistic approach to factor assessment. This approach encompasses the macroeconomic environment, as discussed above, as well as factor valuations, recent performance trends and risk sentiment.
Read the latest Markets in Focus
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Markets in Focus
Factor returns have been highly cyclical during certain market environments, and their performance varies in different macro regimes. In our Markets in Focus quarterly series, we highlight and analyze the most recent quarterly factor performance.
Quality outperformed in most regions, value in EM and Asia
Among MSCI's style-factor indexes, quality delivered positive active returns across all regions except Europe. Quality's strong showing suggests investors rewarded companies that had stable earnings, low leverage and high profitability in the environment of higher rates. Thematic indexes classified as transformative technologies outperformed the MSCI ACWI Index by a wide margin. Outside of this category, thematic indexes had a challenging year, with the sole exception being smart cities.
Read the latest Markets in Focus

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