MSCI Inc. (NYSE: MSCI), a leading provider of investment
decision support tools worldwide, has launched the MSCI Quality Mix
Indices, which combine the MSCI Quality, MSCI Value Weighted and
MSCI Minimum Volatility Indices into one diversified risk premia
index.
“We are delighted to bring to the market a set of new indices
designed to reflect the beta represented by combining quality with
value and low volatility strategies,” said Baer Pettit, Managing
Director and Global Head of the MSCI Index Business. “The new MSCI
Quality Mix Indices are another example of our ability to deliver
innovative index tools to meet the increasingly sophisticated needs
of our clients.”
Many active strategies emphasize quality, value and low
volatility as important factors in their security selection and
portfolio construction. Whilst these active strategies typically go
beyond passive exposure to quality, value and low volatility
securities to include active stock selection and the use of
leverage, their beta component could be represented by the quality,
value and low volatility risk premia. Recent empirical academic
research has shown that stocks with high quality, value and low
volatility characteristics have historically provided higher
long-term risk-adjusted return (for example, see the analysis
between 1976-2011 in a study by Frazzini, Kabiller and Pedersen,
published in 2012, titled ‘Buffett’s Alpha’).
The MSCI Quality Mix Indices aim to represent the performance of
quality, value and low volatility risk premia strategies across
global markets in a single composite index. Between 1988 and 2013,
based on simulated historical index data, the MSCI World Quality
Mix Index delivered an annualized total return of 9.8% versus 7.3%
for the MSCI World Index, with a total risk1 of 13.2% versus 15.4%
for the MSCI World Index, resulting in a better long-term
risk-adjusted return for the MSCI World Quality Mix Index during
this time period. The risk and return characteristics of the MSCI
Quality Mix Indices, including the factor exposures, can be found
on msci.com.
The following MSCI Quality Mix Indices are now available:
1. MSCI ACWI Quality Mix Index2. MSCI World ex USA Quality Mix
Index3. MSCI Emerging Markets Quality Mix Index4. MSCI Europe
Quality Mix Index5. MSCI World Quality Mix Index6. MSCI USA Quality
Mix Index7. MSCI AC Asia ex Japan Quality Mix Index8. MSCI UK
Quality Mix Index9. MSCI Japan Quality Mix Index
The MSCI Quality Mix Indices are constructed according to a
transparent index methodology which equally weights the three
component indices: the MSCI Quality Index, the MSCI Value Weighted
Index and the MSCI Minimum Volatility Index. They may be licensed
for use as benchmarks or as the basis for financial products such
as exchange traded funds and structured products.
1 as measured by the annualized standard deviation of monthly
returns
About MSCI
MSCI Inc. is a leading provider of investment decision support
tools to investors globally, including asset managers, banks, hedge
funds and pension funds. MSCI products and services include
indices, portfolio risk and performance analytics, and governance
tools.
The company’s flagship product offerings are: the MSCI indices
with close to USD 7 trillion estimated to be benchmarked to them on
a worldwide basis1; Barra multi-asset class factor models,
portfolio risk and performance analytics; RiskMetrics multi-asset
class market and credit risk analytics; IPD real estate
information, indices and analytics; MSCI ESG (environmental, social
and governance) Research screening, analysis and ratings; ISS
governance research and outsourced proxy voting and reporting
services; and FEA valuation models and risk management software for
the energy and commodities markets. MSCI is headquartered in New
York, with research and commercial offices around the world.
1As of September 30, 2012, as published by eVestment, Lipper and
Bloomberg on January 31, 2013
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at www.msci.com
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