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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) 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

Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI ACWI Index -0.3% 2.1% 5.0% 17.6% 1.1% 14.2% 8.1% 0.0% 9.4%
MSCI ACWI Minimum Volatility Index 0.3% 0.9% 3.6% 8.9% -3.0% 3.1% 7.3% 0.0% 10.2%
MSCI ACWI High Dividend Yield Index 0.3% 1.8% 4.0% 12.0% -8.7% 4.5% 4.3% 0.0% 7.6%
MSCI ACWI Quality Index -0.5% 1.9% 5.4% 16.9% 9.9% 27.4% 15.0% 0.0% 13.3%
MSCI ACWI Momentum Index -1.4% 1.4% 5.2% 23.0% 16.4% 26.4% 16.0% 0.0% 14.6%
MSCI ACWI Enhanced Value Index -0.2% 2.4% 1.7% 11.4% -14.8% -0.9% -1.6% 0.0% 5.1%
MSCI ACWI Equal Weighted Index -0.4% 2.0% 3.7% 18.3% -3.1% 9.6% 2.9% 0.0% 6.2%
MSCI ACWI Factor Mix A Index -0.1% 1.8% 4.1% 13.4% -1.4% 10.4% 8.0% 0.0% 10.1%
MSCI ACWI Diversified Multiple Factor Index -0.1% 1.9% 5.7% 16.4% -2.2% 10.3% 5.1% 0.0% 10.1%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI World Index -0.2% 2.2% 5.2% 16.9% 1.3% 14.0% 8.7% 0.0% 10.2%
MSCI World Minimum Volatility Index 0.4% 1.1% 4.3% 9.0% -2.2% 3.9% 8.1% 0.0% 10.8%
MSCI World High Dividend Yield Index 0.5% 2.1% 3.9% 11.2% -8.6% 3.0% 4.0% 0.0% 8.4%
MSCI World Quality Index -0.3% 2.1% 4.9% 15.2% 8.5% 25.2% 15.6% 0.0% 13.8%
MSCI World Momentum Index -0.8% 1.4% 4.4% 18.8% 13.1% 22.3% 15.9% 0.0% 14.8%
MSCI World Enhanced Value Index -0.2% 2.8% 0.4% 8.3% -17.7% -5.7% -2.1% 0.0% 5.7%
MSCI World Equal Weighted Index 0.0% 2.5% 4.2% 16.0% -6.9% 4.6% 3.2% 0.0% 8.0%
MSCI World Factor Mix A Index 0.1% 2.0% 4.3% 12.8% -1.6% 9.9% 8.6% 0.0% 10.8%
MSCI World Diversified Multiple Factor Index 0.1% 2.1% 6.3% 16.4% -2.1% 9.4% 5.6% 0.0% 10.8%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Emerging Markets Index -1.6% 1.0% 3.8% 22.9% -0.5% 15.1% 3.3% 0.0% 3.6%
MSCI Emerging Markets Minimum Volatility Index -0.7% 0.5% 1.2% 12.0% -4.6% 1.6% 1.9% 0.0% 4.7%
MSCI Emerging Markets High Dividend Yield Index -0.6% 0.8% -1.4% 8.6% -16.4% -3.5% -1.5% 0.0% 1.7%
MSCI Emerging Markets Quality Index -1.2% 0.0% 4.6% 22.3% 1.1% 15.1% 3.3% 0.0% 5.0%
MSCI Emerging Markets Momentum Index -2.5% 2.3% 7.9% 39.7% 21.3% 38.6% 11.7% 0.0% 8.6%
MSCI Emerging Markets Enhanced Value Index -0.4% 2.9% 4.4% 15.3% -10.1% 5.5% -2.2% 0.0% 2.5%
MSCI Emerging Markets Equal Weighted Index -0.9% 1.4% 3.1% 21.2% 1.7% 15.6% 1.4% 0.0% 2.2%
MSCI Emerging Markets Factor Mix A Index -0.9% 0.6% 2.4% 16.7% -5.0% 6.6% 1.5% 0.0% 3.9%
MSCI Emerging Markets Diversified Multiple Factor Index -1.9% 1.1% 6.2% 22.5% -0.6% 16.8% 2.2% 0.0% 4.6%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Europe Index -0.2% 1.7% 2.7% 17.5% -7.5% 4.9% 1.0% 2.7% 5.3%
MSCI Europe Minimum Volatility (EUR) Index 0.0% 0.3% 3.5% 14.6% -2.7% 7.6% 4.4% 4.6% 7.8%
MSCI Europe High Dividend Yield Index -0.4% 1.2% 2.5% 16.3% -13.3% 1.3% 0.4% 2.1% 5.2%
MSCI Europe Quality Index -0.1% 1.4% 2.9% 15.2% 0.1% 14.8% 7.4% 6.6% 9.1%
MSCI Europe Momentum Index 0.3% 1.0% 4.4% 20.5% 8.1% 21.7% 7.6% 7.5% 10.5%
MSCI Europe Enhanced Value Index -0.5% 2.6% 0.5% 16.5% -16.3% -2.3% -4.3% -1.1% 2.6%
MSCI Europe Equal Weighted Index -0.1% 2.6% 3.9% 20.5% -8.6% 5.0% 0.1% 3.0% 5.2%
MSCI Europe Factor Mix A (EUR) Index -0.2% 1.4% 2.4% 15.9% -6.6% 5.9% 2.3% 3.7% 6.5%
MSCI Europe Diversified Multiple Factor Index 0.2% 2.5% 5.7% 19.6% -4.5% 9.0% 2.1% 4.3% 8.2%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI World ex USA Index -0.4% 2.0% 2.3% 15.5% -7.0% 4.3% 1.7% 0.0% 5.2%
MSCI World ex USA Minimum Volatility Index -0.1% 0.9% 1.5% 7.5% -7.6% -1.1% 2.7% 0.0% 7.3%
MSCI World ex USA High Dividend Yield Index -0.5% 2.5% 2.2% 13.3% -12.9% 0.1% -0.3% 0.0% 4.9%
MSCI World ex USA Quality Index -0.4% 1.2% 2.3% 14.9% 2.0% 16.0% 8.1% 7.1% 8.2%
MSCI World ex USA Momentum Index -0.4% 1.2% 4.0% 18.6% 8.1% 18.7% 7.4% 0.0% 8.5%
MSCI World ex USA Enhanced Value Index -0.8% 3.0% -0.7% 10.1% -18.4% -6.7% -4.3% 0.0% 2.7%
MSCI World ex USA Equal Weighted Index -0.4% 2.7% 2.2% 14.9% -9.5% 2.3% 0.2% 0.0% 5.3%
MSCI World ex USA Factor Mix A Index -0.4% 1.7% 1.5% 12.1% -7.0% 3.5% 2.6% 0.0% 6.4%
MSCI World ex USA Diversified Multiple Factor Index -0.6% 2.2% 4.5% 15.5% -8.0% 2.9% 0.0% 0.0% 7.0%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI USA Index 0.0% 2.4% 6.7% 17.6% 6.1% 19.7% 13.1% 12.4% 14.0%
MSCI USA Minimum Volatility Index 0.8% 1.6% 5.5% 10.4% -0.8% 5.5% 11.2% 0.0% 13.9%
MSCI USA High Dividend Yield Index 1.0% 2.1% 5.2% 10.7% -6.6% 3.8% 6.8% 0.0% 12.5%
MSCI USA Quality Index -0.2% 2.5% 5.6% 14.9% 9.1% 25.7% 18.1% 0.0% 16.3%
MSCI USA Momentum Index -0.9% 1.4% 4.3% 18.4% 13.9% 22.3% 16.9% 0.0% 17.3%
MSCI USA Enhanced Value Index 1.1% 2.4% 4.2% 11.5% -15.4% -2.4% 2.5% 0.0% 10.7%
MSCI USA Equal Weighted Index 0.6% 2.3% 7.3% 17.6% -2.7% 8.5% 8.0% 0.0% 12.5%
MSCI USA Factor Mix A Index 0.5% 2.3% 6.0% 13.2% 0.5% 12.5% 12.2% 0.0% 14.1%
MSCI USA Diversified Multiple Factor Index 0.7% 2.2% 6.5% 14.8% -2.4% 9.9% 6.9% 0.0% 13.2%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI EMU Index -0.1% 2.1% 2.7% 22.8% -6.6% 5.1% 0.2% 3.2% 5.0%
MSCI EMU Minimum Volatility (EUR) Index 0.0% 0.7% 2.8% 19.0% -4.0% 4.5% 2.3% 5.1% 7.0%
MSCI EMU High Dividend Yield Index 0.0% 2.1% 4.3% 22.9% -8.0% 4.4% 2.0% 5.3% 6.0%
MSCI EMU Quality Index -0.1% 1.7% 3.7% 22.1% -1.6% 10.5% 4.6% 7.2% 8.1%
MSCI EMU Momentum Index 0.3% 1.4% 4.4% 25.1% 6.7% 19.5% 8.5% 9.6% 10.2%
MSCI EMU Enhanced Value Index -0.4% 3.9% 2.1% 21.1% -15.8% -3.5% -6.7% 0.0% 3.1%
MSCI EMU Equal Weighted Index -0.1% 2.4% 2.5% 20.4% -8.6% 2.5% -0.9% 3.2% 4.7%
MSCI EMU Diversified Multiple Factor Index 0.2% 2.3% 3.7% 20.5% -6.0% 5.4% -1.2% 3.3% 7.0%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI United Kingdom Index -0.7% 1.6% 0.9% 7.7% -20.9% -8.2% -4.0% -2.1% 2.7%
MSCI United Kingdom Minimum Volatility (GBP) Index -0.3% 1.6% 3.9% 9.5% -15.6% -1.6% -1.8% -1.2% 4.5%
MSCI United Kingdom High Dividend Yield Index -0.4% 2.0% -0.7% 3.9% -26.3% -5.8% -5.7% -2.6% 3.9%
MSCI United Kingdom Quality Index 0.1% 3.2% 5.5% 12.0% -8.0% 6.3% 5.1% 2.8% 8.1%
MSCI United Kingdom Momentum Index 0.3% 2.6% 4.8% 13.1% -2.5% 11.1% 2.6% 2.3% 8.7%
MSCI United Kingdom Enhanced Value Index -1.0% 2.3% -2.5% 4.8% -32.6% -18.5% -9.1% -7.6% -0.7%
MSCI United Kingdom Equal Weighted Index -0.1% 4.0% 4.3% 14.9% -20.1% -2.5% -4.0% -2.7% 3.5%
MSCI United Kingdom Factor Mix A (GBP) Index -0.5% 2.3% 2.6% 9.2% -17.5% -3.9% -1.5% -0.4% 4.7%
MSCI United Kingdom Diversified Multiple Factor Index -0.1% 2.5% 4.1% 12.6% -16.9% -4.2% -2.9% -1.5% 5.0%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI AC Asia ex Japan -1.5% 1.5% 3.6% 21.3% 5.1% 22.2% 5.2% 0.0% 6.4%
MSCI AC Asia ex Japan Minimum Volatility Index -0.8% 0.6% 0.8% 11.7% -3.8% 3.4% 2.6% 0.0% 6.6%
MSCI AC Asia ex Japan High Dividend Yield Index -0.7% 0.8% -1.0% 7.4% -11.3% 1.9% -0.4% 0.0% 4.6%
MSCI AC Asia ex Japan Quality Index -1.3% 0.6% 5.2% 22.7% 9.8% 26.1% 7.6% 0.0% 8.2%
MSCI AC Asia ex Japan Momentum Index -2.8% 2.3% 6.0% 39.8% 34.2% 49.2% 12.9% 0.0% 10.3%
MSCI AC Asia ex Japan Enhanced Value Index -0.4% 3.2% 4.9% 13.5% -8.0% 8.5% -2.9% 0.0% 5.7%
MSCI AC Asia ex Japan Equal Weighted Index -0.9% 2.0% 3.3% 20.8% 7.1% 23.3% 3.5% 0.0% 4.3%
MSCI AC Asia ex Japan Factor Mix A Index -1.0% 1.0% 2.3% 16.0% -0.4% 12.4% 3.4% 0.0% 6.5%
MSCI AC Asia ex Japan Diversified Multiple Factor Index -1.7% 2.2% 6.5% 19.8% 6.1% 22.7% 4.1% 0.0% 7.1%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Japan Index -0.5% 3.1% 0.1% 10.1% -5.5% 6.5% 2.9% 3.9% 5.8%
MSCI Japan Minimum Volatility (JPY) 0.0% 2.3% -1.9% 4.4% -9.6% -2.2% 1.2% 3.5% 6.1%
MSCI Japan High Dividend Yield Index -0.7% 4.6% -0.4% 5.5% -13.6% -0.8% -3.0% 1.7% 4.8%
MSCI Japan Quality Index -1.1% 0.7% -1.9% 9.2% 4.5% 21.7% 7.5% 7.6% 8.1%
MSCI Japan Momentum Index -0.8% 1.1% 0.8% 14.1% 9.0% 20.1% 8.2% 5.6% 7.9%
MSCI Japan Enhanced Value Index -0.6% 3.9% 0.3% 6.9% -15.0% -6.0% -2.0% 0.6% 4.4%
MSCI Japan Equal Weighted Index -0.3% 3.6% -0.8% 8.4% -9.2% 3.4% 0.9% 3.7% 6.3%
MSCI Japan Factor Mix A (JPY) Index -0.5% 2.4% -1.3% 7.1% -6.0% 5.6% 2.6% 4.2% 6.3%
MSCI Japan Diversified Multiple Factor Index -0.6% 2.6% -0.2% 6.4% -12.7% -1.7% -3.6% -0.8% 3.7%
Gross Performance as of 08/07/2020 in USD
Index Name 1D 1W 1M 3M YTD 1Y 3Y 5Y 10Y
MSCI Australia IMI Index -1.2% 1.5% 3.1% 25.3% -7.2% 1.0% 2.1% 5.7% 4.5%
MSCI Australia IMI Minimum Volatility (AUD) -1.2% 1.1% 3.1% 24.8% -5.5% -0.5% 2.9% 6.5% 6.8%
MSCI Australia IMI High Dividend Yield Index -0.7% 1.9% 1.6% 23.8% -22.5% -12.4% -4.4% 0.8% -1.1%
MSCI Australia IMI Quality Index -1.3% 1.7% 4.5% 26.7% 3.2% 12.6% 9.9% 9.5% 5.2%
MSCI Australia IMI Momentum Index -1.5% 2.2% 6.7% 30.3% 4.8% 14.7% 7.8% 10.1% 8.5%
MSCI Australia IMI Equal Weighted Index -0.7% 1.9% 3.3% 25.7% -8.4% 2.2% 1.5% 5.9% 0.0%
MSCI Australia IMI Factor Mix A (AUD) Index -1.1% 1.2% 3.1% 25.5% -5.2% 1.5% 3.6% 6.6% 5.2%
MSCI Australia IMI Diversified Multiple Factor (AUD) Index -1.3% 1.4% 3.3% 27.2% -4.9% 2.0% 2.8% 8.2% 5.9%

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 new scorecard

  Macro Cycle Valuation Momentum Market sentiment Composite
++ - -- - -
-- + -- - -
++ -- ++ - N
-- -- ++ + N
++ ++ -- + +
-- ++ ++ + +

As of June 30, 2020. Positive exposures are denoted as + or ++, negative as - or --, neutral as N.

 

Key highlights

  • The macro cycle pillar indicated a mixed signal between contraction and recovery and overweighted value, low volatility and quality, based on the Chicago Fed National Activity Index, Federal Reserve Bank of Philadelphia’s ADS Index and the PMI.
  • The valuation pillar overweighted value, low size and yield, based on the valuation gap compared to an equal-weighted factor mix in the context of nearly 30 years of a factor’s history.

Read the latest Factors in Focus


Key indicators of factor performance

Research related to key indicators of factor performance

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Factors in Focus

Factors in Focus

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


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内嵌的应用

Factor performance

Factors performance


Factor performance 2


Factor performance 2


Low Size and Quality Took a U-Turn in June, While Momentum Extended Gains

Most recently, we have seen an inflection in some factor performance. After beating the benchmark for eight straight months, quality took a break and underperformed in June. Low size reversed as well, outperforming in June.

Read more


Historical factors in focus



Historical Factors in Focus

 


内嵌的应用

内嵌的应用

Q2, 2020

Q1, 2020

内嵌的应用

Q4, 2019

Q3, 2019

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