The MSCI Quality Mix Indexes
categories: Indexes, Research Paper, AYLUR SUBRAMANIAN Raman, GUPTA Abhishek, general
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 outpaced the market over time, but in combination they have done so with smoother returns and a lower risk profile. Many active strategies emphasize quality, value and low volatility as important systematic factors in their security selection and portfolio construction. This paper highlights the main features of such composite strategy indexes.