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Factor Indexes performance scorecard

Factor Indexes performance scorecard

MSCI has designed a family of factor indexes that reflect the performance of equity “risk premia” factors (Minimum Volatility, Yield, Quality, Momentum, Value, Size, Growth) across global geographies. In addition to single factor indexes, MSCI also offers multi-factor indexes which aims to give institutional investors a foundation for implementing multi-factor strategies transparently and efficiently. MSCI factor indexes are built using MSCI’s Barra Risk Factor Models used by sophisticated investors for several decades.


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MSCI Factor Index performance heatmap

MSCI Factor Index performance heat map


Factor Performance Heatmap

As Of:

Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI ACWI Index
MSCI ACWI Minimum Volatility Index
MSCI ACWI High Dividend Yield Index
MSCI ACWI Quality Index
MSCI ACWI Momentum Index
MSCI ACWI Enhanced Value Index
MSCI ACWI Equal Weighted Index
MSCI ACWI Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI World Index
MSCI World Minimum Volatility Index
MSCI World High Dividend Yield Index
MSCI World Quality Index
MSCI World Momentum Index
MSCI World Enhanced Value Index
MSCI World Equal Weighted Index
MSCI World Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Emerging Markets Index
MSCI Emerging Markets Minimum Volatility Index
MSCI Emerging Markets High Dividend Yield Index
MSCI Emerging Markets Quality Index
MSCI Emerging Markets Momentum Index
MSCI Emerging Markets Enhanced Value Index
MSCI Emerging Markets Equal Weighted Index
MSCI Emerging Markets Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Europe Index
MSCI Europe Minimum Volatility (EUR) Index
MSCI Europe High Dividend Yield Index
MSCI Europe Quality Index
MSCI Europe Momentum Index
MSCI Europe Enhanced Value Index
MSCI Europe Equal Weighted Index
MSCI Europe Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI World ex USA Index
MSCI World ex USA Minimum Volatility Index
MSCI World ex USA High Dividend Yield Index
MSCI World ex USA Quality Index
MSCI World ex USA Momentum Index
MSCI World ex USA Enhanced Value Index
MSCI World ex USA Equal Weighted Index
MSCI World ex USA Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI USA Index
MSCI USA Minimum Volatility Index
MSCI USA High Dividend Yield Index
MSCI USA Quality Index
MSCI USA Momentum Index
MSCI USA Enhanced Value Index
MSCI USA Equal Weighted Index
MSCI USA Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI EMU Index
MSCI EMU Minimum Volatility (EUR) Index
MSCI EMU High Dividend Yield Index
MSCI EMU Quality Index
MSCI EMU Momentum Index
MSCI EMU Enhanced Value Index
MSCI EMU Equal Weighted Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI United Kingdom Index
MSCI United Kingdom Minimum Volatility (GBP) Index
MSCI United Kingdom High Dividend Yield Index
MSCI United Kingdom Quality Index
MSCI United Kingdom Momentum Index
MSCI United Kingdom Enhanced Value Index
MSCI United Kingdom Equal Weighted Index
MSCI United Kingdom Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI AC Asia ex Japan
MSCI AC Asia ex Japan Minimum Volatility Index
MSCI AC Asia ex Japan High Dividend Yield Index
MSCI AC Asia ex Japan Quality Index
MSCI AC Asia ex Japan Momentum Index
MSCI AC Asia ex Japan Enhanced Value Index
MSCI AC Asia ex Japan Equal Weighted Index
MSCI AC Asia ex Japan Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Japan Index
MSCI Japan Minimum Volatility (JPY)
MSCI Japan High Dividend Yield Index
MSCI Japan Quality Index
MSCI Japan Momentum Index
MSCI Japan Enhanced Value Index
MSCI Japan Equal Weighted Index
MSCI Japan Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Australia IMI Index
MSCI Australia Shares IMI Minimum Volatility Index (AUD)
MSCI Australia Shares IMI High Dividend Yield Index
MSCI Australia Shares IMI Quality Index
MSCI Australia Shares IMI Momentum Index
MSCI Australia Shares IMI Enhanced Value Index
MSCI Australia Shares IMI Equal Weighted Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI China A Index
MSCI China A Minimum Volatility Index
MSCI China A High Dividend Yield Index
MSCI China A Quality Index
MSCI China A Momentum Index
MSCI China A Enhanced Value Index
MSCI China A Mid Cap Equal Weighted Index
MSCI China A Growth Target Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Brazil Index
MSCI Brazil Minimum Volatility (USD) Index
MSCI Brazil High Dividend Yield Index
MSCI Brazil Quality Index
MSCI Brazil Momentum Index
MSCI Brazil Enhanced Value Index
MSCI Brazil Equal Weighted Index
Gross Performance as of 04/24/2024 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI EM Latin America Index
MSCI EM Latin America Minimum Volatility (USD) Index
MSCI EM Latin America High Dividend Yield Index
MSCI EM Latin America Quality Index
MSCI EM Latin America Momentum Index
MSCI EM Latin America Enhanced Value Index
MSCI EM Latin America Equal Weighted Index

Disclaimer

  • All returns over 1 year are annualized.
  • The information contained herein (the “Information”) may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to verify or correct other data, to create any derivative works, to create indexes, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information or MSCI index or other product or service constitutes an offer to buy or sell, or a promotion or recommendation of, any security, financial instrument or product or trading strategy. Further, none of the Information or any MSCI index is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided “as is” and the user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECT OR INDIRECT SUPPLIERS OR ANY THIRD PARTY INVOLVED IN MAKING OR COMPILING THE INFORMATION (EACH, AN “INFORMATION PROVIDER”) MAKES ANY WARRANTIES OR REPRESENTATIONS AND, TO THE MAXIMUM EXTENT PERMITTED BY LAW, EACH INFORMATION PROVIDER HEREBY EXPRESSLY DISCLAIMS ALL IMPLIEDWARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. WITHOUT LIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE INFORMATION PROVIDERS HAVE ANY LIABILITY REGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited.

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Key indicators of factor performance

Key indicators of factor performance

Factors have outperformed in the long run compared to the wider market. However, factors have historically been cyclical to broad and changing market conditions, such as macro environment, valuations, recent performance trends and risk sentiment.

We study the performance of factors in various economic regimes and present it across these key pillars.


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Exposures from MSCI’s adaptive multi-factor allocation model

Exposures from MSCI’s adaptive multi-factor allocation model

As of March, 2024. Positive exposures are denoted as + or ++, negative as - or -- and neutral as N.

 

Key highlights

  • Our adaptive multi-factor framework is a model designed to analyze factor-based decisions. Our research suggests the value in taking a holistic approach to factor assessment. This approach encompasses the macroeconomic environment, as discussed above, as well as factor valuations, recent performance trends and risk sentiment.

Read the latest Markets in Focus

 


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Markets in Focus

Markets in Focus

Factor returns have been highly cyclical during certain market environments, and their performance varies in different macro regimes. In our Markets in Focus quarterly series, we highlight and analyze the most recent quarterly factor performance.


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Factors in focus - 2022 review

Quality outperformed in most regions, value in EM and Asia

Among MSCI’s style-factor indexes, quality delivered positive active returns across all regions except Europe. Quality’s strong showing suggests investors rewarded companies that had stable earnings, low leverage and high profitability in the environment of higher rates. Thematic indexes classified as transformative technologies outperformed the MSCI ACWI Index by a wide margin. Outside of this category, thematic indexes had a challenging year, with the sole exception being smart cities.

Read the latest Markets in Focus


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