MSCI Launches New Multi-Factor Indexes
03 Dezembro 2013 - 8:42AM
Business Wire
MSCI Inc. (NYSE: MSCI) today announced the launch of the MSCI
Multi-Factor Indexes. This innovation offers institutional
investors a basis for passively implementing index-linked
multi-factor strategies transparently and cost-effectively.
MSCI Multi-Factor Indexes are available in standard combinations
provided by MSCI or as a custom mix created by the client. Both
approaches can be based on underlying flagship indexes such as MSCI
EAFE, MSCI ACWI, MSCI World and MSCI Emerging Markets. MSCI offers
investors insight for dynamically managing their custom
Multi-Factor Index through a new analytical tool called
IndexMetrics.
“Combining factor indexes makes sense from a diversification
standpoint,” said Remy Briand, Head of MSCI Index Research. “Factor
returns have historically been quite cyclical, with some factors
underperforming the market cap-weighted benchmark for several years
in a row. Combining factors has historically yielded a smoother
ride over time.”
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 range of indexes
that provide institutional investors with a basis for implementing
a transparent and efficient passive approach to seek the excess
returns historically obtained through active factor investing. In
2008, MSCI introduced the industry’s first Minimum Volatility
Index. Today, more than USD 60 billion in assets are benchmarked to
MSCI Factor Indexes1.
Alain Dubois, Head of Index Product Development for MSCI, said,
“MSCI is the first index provider to give institutional investors
tools that provide an easy way to analyze and adjust their
allocations among factor indexes when their views of the market
change. We are essentially providing them with the flexibility to
actively manage their passive factor portfolios.”
Briand added, “Factor indexes should not be viewed as
replacements for market capitalization weighted indexes. Market cap
indexes represent broad and neutral market exposure. They also aim
to minimize turnover and are macro consistent. They are
complementary to factor indexes and can be used for benchmarking
the performance of factor strategies.”
MSCI has published a series of research papers that describe the
financial science behind factor-based investing and the effects of
diversifying across multiple factors, as well as explaining various
use cases for factor indexes by institutional investors considering
factor allocations.
- Foundations of Factor Investing
- Deploying Multi-Factor Index
Allocations in Institutional Portfolios
- MSCI Index Metrics - An Analytical
Framework for Factor Investing
For more information about MSCI Multi-Factor Indexes and the
full range of MSCI Factor Indexes, visit
www.msci.com/factorindexes.
1 As of June 30, 2013 according to eVestment, Lipper and
Bloomberg
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 approximately USD 7.5 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
corporate governance research, data 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 March 31, 2013, as reported on July 31, 2013 by
eVestment, Lipper and Bloomberg
For further information on MSCI, please visit our web site
at www.msci.com
Media Enquiries:MSCI, New YorkKristin Meza, +
1-212-804-5330orMSCI, LondonJo Morgan, + 44-20-7618-2224orMHP
Communications, LondonSally Todd | Christian Pickel+
44-20-3128-8515orMSCI Global Client Service:EMEA Client Service+
44-20-7618-2222orAmericas Client Service1-888-588-4567 (toll
free)/+ 1-212-804-3901orAsia Pacific Client Service+
852-2844-9333
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