MSCI Inc. (NYSE:MSCI), a leading provider of equity factor
indexes and models, today announced that it 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.
For more information about MSCI Multi-Factor Indexes and the
full range of MSCI Factor Indexes, visit
www.msci.com/factorindexes.
1 As of December, 2014 according to eVestment, Lipper,
Morningstar, Bloomberg and MSCI data
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
indexes, portfolio risk and performance analytics, and ESG data and
research.
The company’s flagship product offerings are: the MSCI indexes
with over USD 9.5 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,
indexes and analytics; MSCI ESG (environmental, social and
governance) Research screening, analysis and ratings; 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.
1 As of June 30, 2014, as reported on September 30, 2014, by
eVestment, Morningstar and Bloomberg
For further information on MSCI, please visit our web site
at www.msci.com
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