MSCI Creates Factor Classification Standard by Launching MSCI FaCS and MSCI Factor Box
18 Janeiro 2018 - 10:00AM
Business Wire
MSCI launches latest Factor innovation designed to demystify
‘smart beta’
MSCI Inc. (NYSE:MSCI), a leading provider of research-based
indexes and analytics, today launched MSCI FaCS, a factor
classification standard and MSCI Factor Box, an updated style box
designed to reflect a modern approach to investing.
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Eight Factor Groups (Graphic: Business
Wire)
Factor Investing is transforming the way investors construct and
manage portfolios. And there is a clear gap in the market today for
a single framework from which to think about factors. Our latest
Factor innovation MSCI FaCS and MSCI Factor Box provide investors a
common language framework, with an easily accessible and visual
representation, for implementing and measuring factor investing
strategies.
“We consulted with a wide base of clients across institutional
and wealth who are increasingly turning to factor-based strategies.
Our latest innovation is the first standard classification that
allows a broader investment audience to interpret factor investing
through a common language. We are leveraging our history and deep
expertise in research-driven factor innovation, along with
cutting-edge technology, to bring a standard measurement of factors
to a broader range of investors,” said Peter Zangari, Global Head
of Research and Product Development, MSCI.
MSCI FaCS is the framework and standard for evaluating,
implementing and reporting factor allocations, based on commonly
considered “factors” that have historically driven performance. It
includes an extensive global equity factor structure – eight factor
groups and 16 factors for more than 70,000 global securities. The
factor classification can be viewed at the security level for stock
selection or aggregate at the fund or portfolio level to analyze
and compare factor exposures – historically key drivers of risk and
return behavior over time.
Factor-based investing continues to gain traction among
investors. While widely used by institutional investors for
decades, increasingly, registered investment advisors and wealth
managers are looking at how they can leverage factor approaches or
products on behalf of clients. MSCI Factor Box provides a simple
solution accessible by a wider mainstream investment audience which
has highlighted the need for industry standard measurement and
classification as the traditional style box becomes too
limiting.
“We believe standardization of factor definitions and
measurement will allow a wider array of investors to take advantage
of factor based approaches as part of a balanced and diversified
portfolio,” added Zangari. “With the launch of MSCI FaCS and MSCI
Factor Box, we are bringing much needed transparency as the demand
for factor investing continues to grow.”
MSCI Factor Box
MSCI Factor Box is the visual representation of factor exposures
of stocks, ETFs and mutual funds. This updated style box, with a
bar graph designed for easy interpretation, aims to give investors
added clarity and consistency to evaluate factors as a component of
their investments. MSCI Factor Box highlights six key factors,
value, low size, momentum, quality, yield and low volatility, as
they have historically been shown to provide risk and return premia
over time. Investment managers can use the framework to analyze and
report factor characteristics, while investors and consultants can
use the data to compare funds using common factor standard
definitions.
Driving Innovation
MSCI has been at the forefront of driving factor innovation for
over 40 years, beginning with Barra, which established a common
language to explain risk and return through the lens of
factors.
About MSCI
For more than 40 years, MSCI’s research-based indexes and
analytics have helped the world’s leading investors build and
manage better portfolios. Clients rely on our offerings for deeper
insights into the drivers of performance and risk in their
portfolios, broad asset class coverage and innovative research. Our
line of products and services includes indexes, analytical models,
data, real estate benchmarks and ESG research. MSCI serves 99 of
the top 100 largest money managers, according to the most recent
P&I ranking. For more information, visit us at
www.msci.com.
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Media InquiriesNew YorkJ&L CommunicationsJennifer
Compton, + 1-615-969-4737jennifer@jandlcomms.comorLondonMHP
CommunicationsNick Denton, + 44 20 3128
8754Nick.Denton@mhpc.com
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