Research Paper

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...

Indexes ESG Products & Services Portfolio Management Analytics

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

MSCI Blog

U.S. equity markets have experienced increased volatility coupled with concentration in a handful of megacap companies. Has this hampered investors’ ability to capture factors effectively? Have stock-specific risks dominated factor indexes?

MSCI Country and Regional Indexes Factor 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 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