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- Factors – Elements of Performance
MSCI Factor Indexes help capture the return of factors which have historically shown excess market returns over the long run. MSCI provides factor indexes like quality index, minimum volatility index, momentum index, dividend yield index, low size index, enhanced value index.
MSCI has developed Factor Indexes, FaCS and Analytics backed by four decades of Factor research and innovation.
Equity factor investing was pioneered in the 1970s based on the research, data and analytics created by Barra – today part of MSCI. In recent years, MSCI has developed a broad range of indexes and analytical models that provide institutional investors with tools for evaluating factors and incorporating factor strategies into their portfolios.
Our latest research
Factors are key drivers of portfolio risk and return. MSCI Factor Indexes are designed to capture the return of factors which have historically demonstrated excess market returns over the long run. Using MSCI’s over 40 years of factor experience, learn how different factors can be used to help drive your portfolio.
MSCI Factor Indexes
The MSCI Factor Indexes are rules-based indexes that capture the returns of systematic factors that have historically earned a persistent premium over long periods of time—such as Value, Low Size, Low Volatility, High Yield, Quality and Momentum.
MSCI Factor Tilt Indexes
The MSCI Factor Tilt Indexes‒ which are part of the High Capacity Factor Indexes ‒ have higher investability requirements by tilting market capitalization weights of securities based on the relevant factor score. All constituents of a parent index are then reweighted accordingly, resulting in a factor tilt index offering relatively high capacity and investability.
MSCI Diversified Multiple-Factor Indexes
The MSCI Diversified Multi-Factor Indexes combine MSCI Factor Indexes into a single blended index. Investment strategies seeking factor premiums were previously available only through active management. These innovative indexes are based on parent MSCI indexes, applying standard combinations available from MSCI or customized mixes requested by clients. They aim to maximize exposure to four factors – Value, Momentum, Quality and Low Size – while maintaining a risk profile similar to that of...
Risk sentiment and factor dynamics in a crisis: Factors in Focus
MSCI Factor ESG Target Index
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”. Discover more now