Showing 1 - 10 of 265 entries
MSCI BlogWHAT IS FACTOR INVESTING?
Equity factor investing aims to capture exposures to different equity risk premia. Factor modeling and factor investing are rooted in the Capital Asset Pricing Model (CAPM) dating from the mid-1960s, Arbitrage Pricing Theory from the 1970s and Fama and French’s three-factor model from the 1990s.
Research PaperFoundations of Factor Investing
Factor investing has become a widely discussed part of today’s investment canon. This paper is the first in a three-paper series focusing on factor investing. In this paper we lay out the rationale for factor investing and how indexation can capture factors in cost-effective and transparent ways.  The next papers series cover various aspects of implementation including use cases we have seen.
Research PaperFactor Investing and ESG Integration
Integrating ESG criteria into equity portfolios raises important portfolio construction questions. For example, what is the impact of ESG on portfolio performance and characteristics? How does it alter the risk profile and the factor exposures of portfolios? How does it affect institutional investors’ ability to pursue their investment strategy? Our results show that integrating ESG criteria into passive strategies generally improved risk-adjusted performance over the period 2007 to...
Research PaperResearch Spotlight - Foundations of Factor Investing
This paper discusses the rationale for factor investing and how indexe can be constructed to reflect factor returns in cost-effective and transparent ways. We currently identify six equity risk factors that have historically earned a long-term risk premium and represent exposure to systematic sources of risk: Value, Low Size, Low Volatility, High Yield, Quality and Momentum.
MSCI BlogCreating a common language for factor investing
Investors need a clear and consistent way to talk about factors. For more than 40 years, MSCI has defined how investors use factors to analyze risk and return, from individual stocks to entire portfolios. Factors are important drivers of portfolio performance and are well documented in academic research. They are used to quantify how much risk and return is attributable to different countries, sectors and styles.
MSCI BlogFINDING VALUE: UNDERSTANDING FACTOR INVESTING
Despite agreement on the principles of value investing, the investment community uses a number of different metrics to describe the value factor. Each metric (or descriptor) has its own advantages and pitfalls.
MSCI BlogFactor investing goes multi-asset class
Factor investing is now going multi-asset class: to factor-based asset allocation and systematic strategy factors that push beyond equity selection.
MSCI BlogOutcome-Oriented Factor Investing with a ‘Barbell’ Approach
Though relatively new to wealth investors, index-based factor investing has some similarity to a high-conviction, outcome-oriented approach. We explore combining the two when seeking outcomes such as equity growth, yield enhancement and risk mitigation.
MSCI BlogFactor investing in Saudi Arabia: size matters
Foreign interest has risen in Saudi Arabia following the easing of foreign-ownership limits. Our analysis shows investors would have benefited by controlling for exposure to small-cap companies.
WebcastFactor Investing - What do advisers need to know?
Factor indexing is increasingly popular in Australia and globally. These strategies are increasingly made available for advisers through the ETF market. But what do advisers need to learn about these investments tools? And how to consider applying them to any investment portfolio? In this first webinar in MSCI’s Factor Investing Series, we start at the beginning by explaining the evolution of factor indexing, what it is and how it works, and where it can potentially benefit your...