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Equity factor investing was pioneered in the 1970s based on the research, data and analytics created by Barra – today part of MSCI. In recent years, MSCI has developed a broad range of indexes and analytical models that provide institutional investors with tools for evaluating factors and incorporating factor strategies into their portfolios.
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MSCI has developed Factor Indexes, FaCS and Analytics backed by four decades of Factor research and innovation.
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Our latest research
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MSCI 深耕因子研究和创新四十年,凭借由此积累奠定的坚实基础,相继开发了因子指数、FaCS 和因子模型
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Watch our latest factor investing webinar hosted by Asset TV highlighting the latest factor research and practical applications
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The idea of a growth factor premium isn’t new, but it can be more difficult to capture in its purest form. How might investors build a growth factor portfolio and put it to work in today’s markets?
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Research Report
The Future of Factor Investing
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MSCI Blog
What is Factor Investing?Equity factor investing aims to capture exposures to different equity risk premia. Factor modeling and factor investing are rooted in the Capital Asset Pricing Model (CAPM) dating from the mid-1960s, Arbitrage Pricing Theory from the 1970s and Fama and French’s three-factor model from the 1990s.
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Research Report
Foundations of Factor InvestingFactor investing has become a widely discussed part of today’s investment canon. This paper is the first in a three-paper series focusing on factor investing. In this paper we lay out the rationale for factor investing and how indexation can capture factors in cost-effective and transparent ways.[1] [1] The next papers series cover various aspects of implementation including use cases we have seen.
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Research Report
Foundations of Factor InvestingThis paper discusses the rationale for factor investing and how indexe can be constructed to reflect factor returns in cost-effective and transparent ways. We currently identify six equity risk factors that have historically earned a long-term risk premium and represent exposure to systematic sources of risk: Value, Low Size, Low Volatility, High Yield, Quality and Momentum.