Introducing MSCI FaCS
categories: Indexes, Portfolio Management Analytics, Americas, EMEAI, Risk Management Analytics, Factor and Risk Modeling, Investing (Investment Management), Portfolio Construction and Optimization, Risk Management, Asia Pacific, Asset Owners, Hedge Funds, Equities, Research Paper, MELAS Dimitris, AYLUR SUBRAMANIAN Raman, Asset Managers (Quant or Fundamental), ROISENBERG Leon, BONNE George
Factors are important systematic sources of risk and return in equity portfolios. Given the pervasive use of factors via both active and passive 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.
Download File Introducing MSCI FaCS White Paper.pdf MSCI FaCS Methodology.pdf