Research Paper

Factor-based investing has become a widely discussed topic of today's investment canon. In this paper - which is the last delivery of a four-paper series focusing on factor investing - we discuss the combinations of Factor Indexes taking as an example the MSCI Quality Mix Index.The MSCI Quality Mix Index is an equal weighted combination of the MSCI Quality, Value and Minimum Volatility Indexes. Academic research shows that quality, value and low volatility strategies have not only...

Indexes

Research Paper

Brinson sector-based attribution explains active return in terms of intuitive allocation and selection decisions. However, it cannot easily disentangle competing industry and style effects. We introduce a special type of factor model with five defining characteristics that exactly replicates the classic Brinson model. We show that this “Brinson-replicating” factor model easily extends to explain more general types of investment processes. In this extension,...

Research Paper

In recent years, many institutional investors have been increasingly recognizing that the long-term sustainability of their investments matters. Environmental, Social and Governance (ESG) factors are becoming important considerations for investors to focus on given their influence on a portfolio's risk and return profile. Some asset owners are starting to embrace the concept of "Universal Ownership", where they see the long-term exposure to the whole economy through their portfolio...

Fact Sheet

Research Paper

The MSCI Monthly Update is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the RiskMetrics Factor Model and MSCI Indexes.

Fact Sheet

Fact Sheet

Fact Sheet

Fact Sheet

Fact Sheet