Research Report

Factor investing has become a widely discussed part of today’s investment canon. This paper is the second in a three-paper series focusing on factor investing. In the first paper, "Foundations of Factor Investing," we discussed six factors - Value, Low Size, Momentum, Low Volatility, Yield, and Quality - that historically have earned a premium over long periods, represent exposure to systematic sources of risk, and have strong theoretical foundations. We also discussed how...

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Research Report

Portfolio Management Analytics Risk Management Analytics BarraOne

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Click Here to View the RecordingAgenda topics include:Assessing the role of factor investing in the context of a plans objectivesDetermining the appropriate factors for the planChoosing an index to capture the selected factorsFactor performance metrics

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Research Report

The rise of factor investing and smart beta has made timing factors more relevant than ever. As active investors look for ways to differentiate their strategies from their competition, factor rotation may be another technique to explore.  In this Product Insight, we test style factor rotation methods using the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research. Using simulated history, our study found it was possible to anticipate Risk-On and Risk-Off...

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Research Report

Multi-factor index fund allocations are increasingly becoming the preferred approach to factor investing. In this paper, we examine the return/risk characteristics of nine static and dynamic weighting strategies over a 36-year period. The results highlight that a simple strategy that equal weights multiple factor indexes has historically proved more effective than many of the more complex approaches - pointing to its potential as a way to combine factors, especially in the absence of...

Indexes

Research Report

Last year, 157 new ETFs and ETNs were launched in the United States - one-tenth of the total of 1,546, according to ETF.com. But how many of these new funds can be called real "innovations"? Take the hottest area of the market: what many investors call "smart beta", "strategic beta" or "factor investing". These are index strategies that take bets against the market in an attempt to either deliver risk-adjusted outperformance or to capture some...

Indexes

Research Report

Although factor allocation approaches based on simple diversification techniques such as equal-weight or risk parity are transparent and have performed well historically, some investors, such as valuation-sensitive or macro-sensitive investors, utilize a dynamic approach by adapting factor allocations to be more consistent with their strategic or tactical asset allocation process. An adaptive approach aims to strike a balance between a pure single factor timing strategy and the...

Indexes

Research Report

Factor investing has become increasingly popular in developed markets. In this paper, we show that they have worked in emerging markets as well. All six MSCI Emerging Markets Factor Indexes outperformed the parent index over a 15-year plus period, based on simulations. Investors seeking premia in addition to broad EM beta can explore factor index investing via this index series. Active EM managers can also benefit from these tools. Traditionally, they have mainly harvested EM beta, along with...

Indexes