MSCI Integrated Factor Crowding Model

categories: Americas, EMEAI, Risk Management Analytics, Factor and Risk Modeling, Investing (Investment Management), Risk Management, Asia Pacific, Asset Owners, Hedge Funds, Equities, Research Paper, ZANGARI Peter, KOUZMENKO Roman, Asset Managers (Quant or Fundamental), ROISENBERG Leon, BONNE George, general

With 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 is positioned with respect to factors. The model examines crowding using a range of metrics, combining these into one standardized measure of factor crowding.

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Model_Insight_MSCI_Integrated_Factor_Crowding_Model.pdf