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MSCI Factor Mix A-Series Indexes

MSCI Factor Mix A-Series Indexes

Multi-strategy indexes that capture the quality, low volatility and value factors

Within multi-factor indexes, choice is critical. Through top-down and bottom-up approaches, multi-factor indexes capture optimal exposure to a diversified set of factors. The MSCI Factor Mix A-Series Indexes are designed to represent the performance of quality, value and low volatility factor strategies. These factors have outperformed over long horizons, however are cyclical and lowly correlated therefore create diversification benefits.

Key benefits of the MSCI Factor Mix A-Series Indexes:

  • Parent index construction rules offers liquidity and free float screening
  • Provides efficient and controlled exposure to targeted factors and minimizes unintended exposure dilution in a single portfolio
  • Offers strong historical risk adjusted performance

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MSCI Factor Mix A-Series Indexes:

Methodology

MSCI Emerging Markets Factor Mix A-Series Index

Performance | Factsheet

MSCI EAFE Factor Mix A-Series Index

Performance | Factsheet

MSCI USA Factor Mix A-Series Index

Performance | Factsheet

MSCI World Factor Mix A-Series Index

Performance | Factsheet

 


three factors

  Relatively cheap stocks
The foundation of value investing is the idea that cheap assets have historically outperformed expensive, on average, in the long-term. Value is pro-cyclical, meaning it has tended to perform well in periods of economic expansion.
Graham and Dodd's Margin of Safety:
Price of the firm is less than conservative estimates of cash flow generated from the firm's assets
 

How does MSCI target value?
MSCI uses a combination of Price to Earnings(66%) and Price to Book descriptors(33%)

 

  Sound balance sheets

Quality aims to reflect the performance of companies with durable business models and sustainable competitive advantages.
Quality is a defensive factor and has tended to benefit during periods of economic contraction. Quality includes dimensions of profitability, earnings stability and balance sheet strength.
 

How does MSCI target quality?
MSCI uses a comprehensive view of Investment Quality, Earnings Quality, and Profitability, among other dimension

 

  Low risk stocks

MSCI Minimum Volatility Indexes aim to reflect the performance characteristics of a minimum volatility strategy by optimizing towards the lowest absolute risk within a given set of constraints to minimize unintended risks and exposures. 

Factor indexes overview

Factor indexes overview

Adding to the investment tool kit.
Learn more about our factor index offering.

Introducing MSCI factor indexes

Introducing MSCI factor indexes

MSCI Factor Indexes seek to reflect the performance characteristics of a range of investment styles and strategies using transparent and rules – based methodologies.

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