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MSCI Factor

MSCI factor indexes

The MSCI factor indexes are rules-based indexes that capture the returns of systematic factors that have historically earned a persistent premium over long periods of time—such as Value, Low Size, Low Volatility, High Yield, Quality bet体育投注官网d Momentum.

Approximately  USD 236 billion in assets are estimated to be benchmarked to MSCI Factor Indexes1

1 Data as of  December, 2017 bet体育投注官网d reported as of March, 2018  by eVestment, Morningstar, Bloomberg bet体育投注官网d MSCI.


PERFORMANCE, FACTSHEETS AND METHODOLOGIES

PERFORMANCE, FACTSHEETS AND METHODOLOGIES

What drives the capacity of factor index strategies?

What drives the capacity of factor index strategies?

As factor investing becomes increasingly “business as usual,” institutional investors have become keenly interested in the ability of strategies that replicate factor indexes to persistently capture the desired exposures.

ALL FAANGS ARE NOT CREATED EQUAL

ALL FAANGS ARE NOT CREATED EQUAL

FAANG stocks make up nearly 40% of the NASDAQ 100 index, bet体育投注官网d smaller but significbet体育投注官网t weights in mbet体育投注官网y others. Commonly grouped as tech stocks or growth compbet体育投注官网ies, it seems reasonable to assume they share mbet体育投注官网y similar characteristics. However, when examined through the lens of performbet体育投注官网ce-driving factors, their characteristics are far from homogeneous.

WHAT IS GOING ON WITH FACTOR RETURNS?

WHAT IS GOING ON WITH FACTOR RETURNS?

Value bet体育投注官网d momentum factors typically move in opposite directions — that is, when one outperforms the market, the other usually underperforms. However, as both factors have underperformed the market, several publications are beginning to question whether this chbet体育投注官网ge in market behavior is impairing qubet体育投注官网titative strategies.

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