MSCI Factor Tilt Indexes
MSCI factor tilt indexes
For large-scale asset managers and asset owners for whom investability is critical, narrow factor indexes may not have sufficient liquidity and capacity due to their concentrated nature.
The MSCI factor tilt indexes‒ which are part of the High Capacity Factor Indexes ‒ have higher investability requirements by tilting market capitalization weights of securities based on the relevant factor score. All constituents of a parent index are then reweighted accordingly, resulting in a factor tilt index offering relatively high capacity and investability.
The table below includes methodology highlights for the existing Factor Tilt Indexes based on 6 systematic factors:
- Volatility Tilt
Our Factor Tilt 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.