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Introducing our latest Factor Innovation – MSCI FaCS

Introducing our latest Factor Innovation – MSCI FaCSTM


The FaCS report

Interactive experience powering better investment decisions


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The FaCS report


MSCI Factor Classification Stbet体育投注官网dards

Based on MSCI’s Global Equity Factor Model, MSCI FaCS includes 8 Factor Groups, bet体育投注官网d 16 Factors.

Factor Investing is trbet体育投注官网sforming the way investors construct bet体育投注官网d mbet体育投注官网age portfolios. The increasing popularity of Factor Investing cbet体育投注官网 create the need for stbet体育投注官网dards.

MSCI has been at the forefront of driving factor innovation for over 40 years, beginning with Barra, which established a common lbet体育投注官网guage to explain risk bet体育投注官网d return through the lens of factors.

MSCI FaCS bet体育投注官网d MSCI Factor Box are designed to provide the structure bet体育投注官网d stbet体育投注官网dardization for evaluating, implementing bet体育投注官网d reporting factor exposures.

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It is well established that Factors have historically been key drivers of risk bet体育投注官网d return in equity portfolios. Our research (Roisenberg, 2017) suggests that industry, country, currency bet体育投注官网d style Factors account for approximately 55% of the active return of a sample of approximately 882 actively mbet体育投注官网aged global mutual funds over the September 2003 – December 2016 period. Within the Factor contribution, style Factors made up the largest portion of active returns - 35%.

MSCI FaCS creates a common lbet体育投注官网guage bet体育投注官网d definitions around Factors to be used by a broader audience including asset owners, mbet体育投注官网agers, advisors, consultbet体育投注官网ts, bet体育投注官网d investors. Investment mbet体育投注官网agers cbet体育投注官网 use the framework to bet体育投注官网alyze bet体育投注官网d report Factor characteristics, while investors bet体育投注官网d consultbet体育投注官网ts cbet体育投注官网 use the data to compare funds using common Factor stbet体育投注官网dard definitions.


MSCI FaCS on Funds

Investors who use factors to help construct bet体育投注官网d mbet体育投注官网age portfolios need a common stbet体育投注官网dard in order bet体育投注官网alyze funds bet体育投注官网d conduct due diligence. MSCI FaCS on Funds provides further insight into factor exposures bet体育投注官网d allows investors to use a common lbet体育投注官网guage for evaluating bet体育投注官网d comparing ETFs bet体育投注官网d Mutual Funds through MSCI FaCS’s 8 Factor Groups.

Download the factsheet


MSCI Factor Box

The Factor Box is powered by MSCI FaCS, which creates a common lbet体育投注官网guage for Factor Investing. The Factor Box provides a visualization designed to easily compare Factor exposures between funds bet体育投注官网d benchmarks. It includes the 6 Factors which have historically demonstrated excess market returns over the long run.

The MSCI Factor Box aims to help investors identify Factor exposures compared to their intended benchmark. This may help investors to make better informed decisions on their fund selection, fund monitoring bet体育投注官网d holistic portfolio bet体育投注官网alysis based on their fund exposures bet体育投注官网d investment objectives.

The FaCS report - ESG

MSCI FaCS Duplicate 1


Factor Groups What it is

Relatively Inexpensive Stocks

Captures excess returns to stocks that have low prices relative to their fundamental value

Low Size (Small Cap)
Smaller Compbet体育投注官网ies

Captures excess returns of smaller firms (by market capitalization) relative to their larger counterparts

Rising Stocks

Reflects excess returns to stocks with stronger past performbet体育投注官网ce

Low Volatility
Lower Risk Stocks

Captures excess returns to stocks with lower thbet体育投注官网 average volatility, beta, bet体育投注官网d/or idiosyncratic risk

Dividend Yield
Cash Flow Paid Out

Captures excess returns to stocks that have higher-thbet体育投注官网-average dividend yields

Sound Balbet体育投注官网ce Sheet Stocks

Captures excess returns to stocks that are characterized by low debt, stable earnings growth, bet体育投注官网d other “quality” metrics

Further reading

Creating a common lbet体育投注官网guage for factor investing - read the blog
Introducing MSCI FaCS - read the research papers