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MSCI Factor Indexes

The MSCI Factor Indexes are rules-based indexes that capture the returns of systematic factors that have historically earned a persistent premium over long periods of time—such as Value, Low Size, Low Volatility, High Yield, Quality and Momentum.

MSCI launched the industry’s first Minimum Volatility index in 2008, and now we provide a broad range of factor indexes. Approximately USD 213 Billion are estimated to be benchmarked to MSCI Factor Indexes.1

1 Data as of June 2017 as reported of September 2017 by eVestment, Morningstar, Bloomberg and MSCI.


PERFORMANCE, FACTSHEETS AND METHODOLOGIES

Factor indexes (select your index by choosing the appropriate Indexes in the drop down menu)

MSCI USA Momentum Index

Performance | Factsheet | Methodology

MSCI USA Enhanced Value Index

Performance | Factsheet | Methodology

MSCI USA Sector Neutral Quality Index

Performance | Factsheet | Methodology

MSCI USA Risk Weighted Index

Performance | Factsheet | Methodology
 
MSCI World ex USA Sector Neutral Quality Index

Performance | Factsheet | Methodology

MSCI World ex USA Momentum Index

Performance | Factsheet | Methodology

MSCI World ex USA Enhanced Value Index

Performance | Factsheet | Methodology

MSCI World ex USA Risk Weighted Index

Performance | Factsheet | Methodology

MSCI Factor ESG 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”.

Research Spotlight

MSCI Factor Indexes in Perspective ̶ Insights from 40 Years of Data

Research Insight

Index Performance in Changing Economic Environments.

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