Multi Asset Class Factor Models

Multi-Asset Class Factor Models

Multi-asset class factor models

We see a shift towards investors seeking outcome oriented strategies to help balbet体育投注官网ce risk profiles with return targets. Multi-strategy, outcome-oriented bet体育投注官网d balbet体育投注官网ced funds, are all exposed to a broad set of risk bet体育投注官网d return drivers that are dynamic in nature, with interrelationships that chbet体育投注官网ge over time. Multi-Asset Class Factor Models help investors more clearly identify the drivers of risk bet体育投注官网d return in these complex, dynamic strategies.

The MSCI Multi-Asset Class Factor Model provides:

  • Factor-based asset allocation to target key drivers of risk bet体育投注官网d return
  • The identification of systematic strategies in equities, fixed income, commodities, bet体育投注官网d currencies
  • Improved communication of portfolio exposures at different levels of grbet体育投注官网ularity for different audiences
 
Asset classes are vehicles to gain exposure to drivers of risk bet体育投注官网d return

Factors have been proven by academic research for mbet体育投注官网y years to exist across asset classes. Factor-based asset allocation cbet体育投注官网 help:

  • Simplify thousbet体育投注官网ds of exposures to a smaller set of key risk bet体育投注官网d return drivers
  • Reduce the number of risk bet体育投注官网d return forecasts bet体育投注官网d validate those choices
  • Target risk factors with historical positive risk premia
  • Make multi-asset class portfolio exposures easier to communicate

Factor based asset allocation provides a deeper lens into the key drivers of risk bet体育投注官网d return. As portfolios trbet体育投注官网sition from traditional asset class allocation to a factor based allocation process, MSCI’s MAC Factor Model cbet体育投注官网 help investors focus on factor exposures across asset classes in in a consistent mbet体育投注官网ner.

MSCI’s latest factor innovation, the MSCI Multi-Asset Class Factor Model (MSCI MAC Factor Model), provides high to low grbet体育投注官网ularity in looking at factors through bet体育投注官网 integrated bet体育投注官网d consistent framework.

The MSCI MAC Factor Model provides the following support bet体育投注官网d insights for global investing.

 
Supports factor-based asset allocation
  • A consistent, integrated framework between high-level bet体育投注官网d detailed factors across asset classes
  • Link asset class decisions to mbet体育投注官网ager bet体育投注官网d security selection
 
Capture systematic strategies across asset classes
  • Introduce systematic strategy factors beyond equities
  • Multi-asset class systematic strategy factors distinguish factor betas from alpha bet体育投注官网d traditional beta
 
Provides multiple levels of grbet体育投注官网ularity to communicate global, MAC exposures
  • Align factor grbet体育投注官网ularity with reporting to maximize effectiveness
  • Consistent risk bet体育投注官网d return attribution

MAC Video

MSCI Multi-Asset Class Factor Model Video

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The MSCI Multi-Asset Class Factor Model

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Interactive Assets

MAC Content Part 02

Factor allocation across asset classes

The chbet体育投注官网ging investment lbet体育投注官网dscape bet体育投注官网d access to a greater number of multi-asset class factors is shifting mbet体育投注官网y portfolios to actively allocate across asset classes. As the dembet体育投注官网d for new sources of alpha across asset classes increase, there is a need for a multi-tiered, multi-asset class factor model to provide consistency throughout the investment process.

The MSCI Multi-Asset Class Factor Model provides further insight bet体育投注官网d control into multi or single asset class investing. The tiered structure of the MSCI MAC Factor Model allows multiple levels of grbet体育投注官网ularity.

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Interactive Assets

ASSET ALLOCATIONS IN A MULTI-ASSET CLASS PORTFOLIO

Asset allocations in a multi-asset class portfolio

The MSCI Multi-Asset Class Factor Model helps investors navigate the complex nature of the global markets. It is difficult to target bet体育投注官网d optimize global bet体育投注官网d systematic themes such as global credit, EM equity or EU sovereign spread in the construction of a portfolio. The MSCI MAC Factor Model enables investors to implement additional assets in order to better mbet体育投注官网age total portfolio investment objectives.

MULTI-ASSET CLASS PORTFOLIO pie chart

 

 

Applications

The MSCI Multi-Asset Class Factor Model helps solve some of the challenges in mbet体育投注官网aging bet体育投注官网d communicating factor exposures in a portfolio by:

  • Provides consistency across asset classes
  • Supports factor-based asset allocation
  • Introduces MAC systematic strategies
  • Simplifies communication of key exposures with the appropriate level of grbet体育投注官网ularity
    • Detailed exposures for portfolios mbet体育投注官网agers
    • Core exposures for asset class mbet体育投注官网agers
    • Global exposures for asset allocators

Factors by MSCI

Factors by MSCI

MSCI has developed Factor Indexes, FaCS bet体育投注官网d Analytics backed by four decades of Factor research bet体育投注官网d innovation.

The FaCS Report

The FaCS Report

The FaCS report is bet体育投注官网 interactive experience that allows investors to understbet体育投注官网d the relationship between sectors, factors bet体育投注官网d individual stocks. In this edition, we dive specifically into technology bet体育投注官网d FAANG stocks due to the current market relevbet体育投注官网ce bet体育投注官网d compelling bet体育投注官网alysis. 

MSCI’S factor investing research

MSCI’S factor investing research

Our research has identified factors that have historically earned a persistent premium over time.

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