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MSCI Diversified Multiple-Factor Indexes use the Barra product risk tools to construct indexes that track the performance of four factors – Value, Momentum, Quality and Low Size – which have, over time, provided higher return than the overall market while keeping risk at the level of an underlying parent index.

The innovation is in capturing optimal exposure to a diversified set of factors while aiming to keep risk similar to that of the market. These indexes can be used by investors looking to construct diversified portfolios that are exposed to multiple factors.

DIVERSIFIED FACTOR PERFORMANCE OF GICS-BASED SECTOR INDEXES

MSCI USA Diversified Multiple-Factor Capped Sector Indexes are based on parent indexes containing U.S. large and mid-cap securities within nine individual MSCI USA sector indexes. The indexes aim to maintain a risk level similar to the parent index while maximizing overall exposure to four target factors, so that institutional investors can benefit from the improved performance of combining factors while expressing single sector views. The issuer-level weights of the constituents are capped at 25%.


PERFORMANCE, FACTSHEETS AND METHODOLOGIES

MSCI Diversified Multiple-Factor Indexes

Methodology

MSCI ACWI Diversified Multiple-Factor Index

Performance | Factsheet

MSCI Emerging Markets Diversified Multiple-Factor Index (USD)

Performance | Factsheet

MSCI World ex USA Diversified Multiple-Factor Index

Performance | Factsheet

MSCI World ex USA Small Cap Diversified Multiple-Factor Index

Performance | Factsheet

MSCI USA Diversified Multiple-Factor Index

Performance | Factsheet

MSCI USA Small Cap Diversified Multiple-Factor Index

Performance | Factsheet


MSCI DIVERSIFIED MULTIPLE-FACTOR CAPPED SECTOR INDEXES

MSCI USA Energy Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Materials Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Industrials Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Consumer Discretionary Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Consumer Staples Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Health Care Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Financials Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Information Technology Diversified Multiple-Factor Capped Index

Performance | Factsheet

MSCI USA Utilities Diversified Multiple-Factor Capped Index

Performance | Factsheet

Featured index

View the related Diversified Multiple-Factor Index page.

Blog post

View the blog post on MSCI Diversified Multiple-Factor Indexes.

Press release

MSCI Introduces Diversified Multiple-Factor Indexes.

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