Combining MSCI index construction and Barra risk modeling expertise
Factors are defined in the Barra risk models as one identifiable source of risk - such as Momentum or Volatility - and can represent important drivers of both risk and return in equity markets. Many investors monitor and control their exposures to these factors using the Barra risk models.
The MSCI Factor Indices combine MSCI Barra's considerable index construction and risk modeling expertise, resulting in unique indices that aim to reflect high factor returns. The MSCI Factor Indices are constructed by optimizing an MSCI index to achieve a specified high level of exposure to a target Barra factor, and a controlled low level of exposure to all other style, industry and country factors.
Designed for use by institutional investors in US and European equities, MSCI Barra currently calculates ten factor indices. Additional MSCI Factor Indices based on other factors and Barra country or regional risk models may be developed in the future based on client demand.
The MSCI Factor Indices can be used as an analytical tool for factor-based hedging and investment strategies, and can also be licensed to serve as the basis for structured products and other index-linked investment vehicles.
To find out more about the MSCI Factor Indices, please contact us.
