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MSCI factor ESG target indexes
MSCI factor ESG target indexes
MSCI Factor ESG Target Indexes are designed to represent the performance of a strategy that seeks systematic integration of ESG (Environmental, Social and Governance) into Factor Investing. They help provide a set of Factor Indexes that aim to be more “ESG-aware”.
With more investors seeking to integrate ESG into their Factor allocation strategy, MSCI Factor ESG Target Indexes are designed to combine Factor and ESG exposures simultaneously in a transparent and efficient manner. The indexes are constructed based on parent MSCI indexes, which are used as benchmarks by many institutions; they are designed to allow for seamless allocation along with liquidity and replicability.
The methodology used in MSCI Factor ESG Target Indexes aims at maximizing the exposure to the target Factor along with 20% ESG score improvement of the Factor index relative to its parent market-cap weighted index1. This approach is designed to be scalable across regions and countries, and across both single and multiple-factor indexes.
For further information, download our factsheet.
1 “Factor Investing and ESG integration” Melas et al, MSCI Research, November 2016
A leader in Factor Indexes and ESG Rating and Research, MSCI continues to lead innovation by combining the merits of both to bring next generation Factor ESG Target Indexes to market.
INTEGRATING FACTORS AND ESG
MSCI’s approach of optimizing Factor and ESG exposures places higher weighting on the stocks above the curve. This approach is highly customizable to achieve intended dual Factor and ESG enhancement.
Performance, factsheets and methodology
MSCI Minimum Volatility ESG Target Indexes
MSCI World Minimum Volatility ESG Target Index
MSCI Europe Minimum Volatility ESG Target Index
MSCI USA Minimum Volatility ESG Target Index
MSCI Japan Minimum Volatility ESG Target Index
MSCI Quality ESG Target Indexes
MSCI World Quality ESG Target Index
MSCI Europe Quality ESG Target Index
MSCI USA Quality ESG Target Index
MSCI Japan Quality ESG Target Index
MSCI Value ESG Target Indexes
MSCI World Value ESG Target Index
MSCI Europe Value ESG Target Index
MSCI USA Value ESG Target Index
MSCI Japan Value ESG Target Index
MSCI Multiple-Factor ESG Target Indexes
MSCI World Multiple-Factor ESG Target Index
MSCI Europe Multiple-Factor ESG Target Index
MSCI USA Multiple-Factor ESG Target Index
MSCI Japan Multiple-Factor ESG Target Index
Applications
Our Factor ESG Target Indexes can be used to support:
- Asset allocation: Adding a factor return component to portfolio strategies.
- Performance measurement and attribution: Benchmarks factor-driven performance of specific investment strategies, as well as defining factor-based stock universes.
- Research: A trusted source of data for sell-side research.
- Investment product development: May be licensed for use as the basis for structured products and other index-linked investment vehicles, such as ETFs and ETNs.
Additional insights and research
ESG
How to Integrate ESG without Sacrificing Diversification
Keep it broad: An approach to ESG strategic tilting
Factor Investing
Integrating ESG Criteria into Factor Index Construction
The MSCI Factor ESG Target Indexes paper
Integrating ESG into Factor Portfolios
Can Alpha be Captured by Risk Premia?
Harvesting Risk Premia for Large Scale Portfolios
Harvesting Risk Premia with Strategy Indexes
Portfolio of Risk Premia: a new approach to diversification
Applications of Systematic Indexes in the Investment Process
Factor Indexes in Perspective: Insights from 40 Years of Data Part I
Factor Indexes in Perspective: Insights from 40 Years of Data Part II
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