Extended-lister
Showing 21 - 30 of 259 entries
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MSCI Blog
MULTI-FACTOR INDEXES MADE SIMPLEInstitutional investors are increasingly gravitating towards multi-factor allocations as the preferred approach to factor investing. But how should factor indexes be combined?
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MSCI Blog
What market volatility has meant for factorsAs investors continue to focus on factor investing in periods of heightened volatility, we ask how volatility has affected factor performance.
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Research Paper
Deploying Multi-Factor Index AllocationsFactor 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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MSCI Blog
What drives the capacity of factor index strategies?As factor investing becomes increasingly “business as usual,” institutional investors have become keenly interested in the ability of strategies that replicate factor indexes to persistently capture desired exposures without compromising exposure to the target factor. We illustrate six index design approaches that can be used to tackle this challenge.
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Webcast
IPE Webinar: A Framework for Implementing Factor Based Equity AllocationsClick 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 Paper
Employing Style Rotation with MSCI’s Systematic Equity Strategy FactorsThe 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...
Portfolio Management Analytics Risk Management Analytics
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Research Paper
Research Insight - Multi-Factor Indexes Made Simple - November 2014Multi-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...
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Research Paper
Separating True Innovation From Marketing Fads - From Journal of IndexesLast 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...
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Research Paper
Adaptive Multi-Factor AllocationAlthough 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...
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Research Paper
MSCI Integrated Factor Crowding ModelWith the rise of factor investing, institutional investors increasingly have sought to understand whether their factor exposures are crowded. Current MSCI Barra equity factor risk models are designed to provide insight and detail to help institutional investors understand how a portfolio is positioned and what has driven its risk and return. The MSCI Integrated Factor Crowding Model is designed to complement the Barra model by providing investors with insight into how the rest of the market...