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Introducing MSCI FaCS

categories: Research Paper, Americas, EMEAI, Asia Pacific, general, MELAS Dimitris, AYLUR SUBRAMANIAN Raman, ROISENBERG Leon, BONNE George, Factor and Risk Modeling, Investing (Investment Management), Portfolio Construction and Optimization, Risk Management, Asset Owners, Hedge Funds, Asset Managers (Quant or Fundamental), Indexes, Portfolio Management Analytics, Risk Management Analytics, Equities

Factors are important systematic sources of risk and return in equity portfolios. Given the pervasive use of factors via both active and indexed strategies, a standard approach is needed for defining factors and evaluating the factor characteristics of portfolios. We introduce MSCI FaCS, a classification standard and framework for analyzing and reporting of style factors in equity portfolios that is based on the Barra Global Total Market Equity Model for Long-Term Investors. Managers can use the framework to analyze and report factor characteristics, while investors and consultants can use its data to compare funds using common definitions.


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Introducing MSCI FaCS White Paper.pdf
MSCI FaCS Methodology.pdf