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Foundations of Factor Investing

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Foundations of Factor Investing

Jan 31, 2013

This paper discusses the rationale for factor investing and how indexe can be constructed to reflect factor returns in cost-effective and transparent ways. We currently identify six equity risk factors that have historically earned a long-term risk premium and represent exposure to systematic sources of risk: Value, Low Size, Low Volatility, High Yield, Quality and Momentum.


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Research authors

  • Dimitris Melas, Managing Director, MSCI Research
  • Remy Briand, Head of ESG
  • Subramanian Aylur
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