MSCI Inc, a provider of equity factor indexes and models, has launched a series of Diversified Multi-Factor Indexes.
Research has shown that stocks reflecting certain factors have, over time, provided a higher return than the overall market. MSCI Diversified Multi-Factor Indexes use Barra risk tools to construct indexes that track the performance of four of these factors – Value, Momentum, Quality and Low Size – while keeping risk at the level of an underlying parent index. These indexes can be used by institutional investors looking to construct diversified portfolios that are exposed to multiple factors.
“MSCI Diversified Multi-Factor Indexes break new ground in factor indexing,” said Remy Briand, Head of Research for MSCI. “The innovation is in capturing optimal exposure to a diversified set of factors while aiming to keep risk similar to that of the market.”
The new series includes six indexes:
MSCI ACWI Diversified Multi-Factor Index
MSCI EM Diversified Multi-Factor Index
MSCI USA Diversified Multi-Factor Index
MSCI USA Small Cap Diversified Multi-Factor Index
MSCI World ex USA Diversified Multi-Factor Index
MSCI World ex USA Small Cap Diversified Multi-Factor Index
Alain Dubois, Head of Index Product Management for MSCI, said, “No other firm has the breadth of experience or capabilities MSCI has in the factor index and analytics space. MSCI Diversified Multi-Factor Indexes will be very attractive to many types of investors.”
Equity factor investing was pioneered in the 1970s based on research, data and analytics created by Barra, today an MSCI company. In recent years, MSCI has developed a broad range of factor indexes and factor models.
MSCI recently reported a record surge in demand from ETF providers for its factor indexes. Today, more than USD 120 billion in assets are benchmarked to MSCI Factor Indexes1.