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MSCI Blog

How to Describe a Factor

Sep 10, 2020 Abhishek Gupta, Ashish Lodh, Subhajit Barman

How to define a factor? It’s a challenge for asset owners and wealth managers in evaluating how well factor products meet investment objectives. We found an improved and more robust measure can be formed by combining multiple descriptors. 

MSCI Blog

Understanding the Industry-Momentum Factor

Aug 19, 2020 Alex Johnson, Simon Minovitsky

When COVID-19 first swept through global equity markets, many factors exhibited unprecedented performance swings. How could institutional investors interpret the industry-momentum factor’s moves in the context of the underlying market dynamics?

MSCI Blog

Growth Without the Side Effects

Aug 17, 2020 Mehdi Alighanbari

Growth has sometimes been viewed as the opposite of value. By extending the concept of growth at a reasonable price, we were able to capture the growth premium without it being lost to unintended factor exposures.

Research Paper

Building Single-Factor Portfolios

Jul 27, 2020 GUPTA Abhishek, LODH Ashish, BARMAN Subhajit

We examine considerations when constructing single-factor portfolios: starting from a security universe with fixed target-market-cap coverage or fixed number of securities; assessing factor exposure on single or multiple factor descriptors: choosing how broad a subset to use from the underlying universe; and determining the pros and cons of different portfolio-weighting schemes.

MSCI Blog

Corporate Bonds Through a Factor and ESG Lens

Jul 20, 2020 Rohit Mendiratta, Hitendra D Varsani

COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

MSCI Blog

Measuring Firms’ Remote-Workforce Abilities

Jul 14, 2020 Howard Zhang, Daniel Barrera, Manuel Rueda

It’s clear that some companies were better positioned to take advantage of a remote work environment than others. We built a hypothetical “remote-operation capacity” factor to seek to measure the effect on different firms.

Research Paper

What Type of Companies Were Best Prepared for Remote Work?

Jul 9, 2020 ZHANG Howard, BARRERA Daniel, BONNE George

COVID-19 disrupted operating models for many businesses, forcing a shift to remote working, digitization and low-contact services, which we term “Remote Operation Capability” (ROC). Using machine learning and natural language processing techniques we built a potential ROC factor that looks at the extent to which a company was able to thrive in this environment.

MSCI Blog

Factors in Focus: How Trendy Is Your Style Factor?

Jul 6, 2020 Hitendra D Varsani, Waman Virgaonkar, Rohit Mendiratta

As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.

Elements of performance: Factors by MSCI

Elements of performance: Factors by MSCI

Factors are portfolio building blocks capable of turning data points into actionable insights. While the depth of data seems complex, putting Factors by MSCI to work for you couldn’t be any simpler.

MSCI FaCS

MSCI FaCS

Introducing a common language for factors that aims to increase transparency and investors’ understanding of equity portfolios.

Factor investing webinar series

Factor investing webinar series

Factor investing continues to evolve. Our quarterly webinar series keeps you up-to-date on our latest research about the elements of performance.