Research Paper

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.

Indexes

MSCI Blog

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 Blog

Factor investing is now going multi-asset class: to factor-based asset allocation and systematic strategy factors that push beyond equity selection.

MSCI Blog

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 Blog

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 Blog

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.

Webcast

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...

Indexes

Research Paper

The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify the exposure of stocks with “value” characteristics that help explain risk and return.  In this Research Insight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.

Indexes Factor Indexes Value Weighted

Research Paper

The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify and compare the exposure of stocks with "value" characteristics that help explain risk and return. In this Research Spotlight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.

Indexes Factor Indexes Value Weighted

Research Paper

The quality factor has worked best in a "risk-off" market environment. Yet quality is not as well understood as other factors, despite being deeply embedded in Benjamin Graham’s value investing philosophy. In this Research Insight, we argue that the quality of a company can generally be evaluated along five key dimensions: Profitability, Earnings Quality, Financial Leverage, Asset Growth and Corporate Governance. Investors can replicate a variety of quality indexes, depending on their...

Indexes