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MSCI launches new factor indices

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MSCI, a provider of investment decision support tools, has launched the MSCI Europe Momentum Tilt Index and the MSCI Europe Value Tilt Index, the first in a new series of factor indices

MSCI, a provider of investment decision support tools, has launched the MSCI Europe Momentum Tilt Index and the MSCI Europe Value Tilt Index, the first in a new series of factor indices based on MSCI indices and Barra risk models.

‘These unique indices combine MSCI’s index construction and risk modeling expertise, and their launch follows an extensive consultation with market participants,’ says David Brierwood, chief operating officer at MSCI. ‘They are weighted towards stocks that are exposed to fundamental factors, such as value and momentum, which can be important drivers of portfolio performance.’

The new factor indices use an optimization process which, based on specified constraints, aims to maximize exposure to a single Barra factor and minimize tracking error to the underlying MSCI index.

They are designed to support investment managers in their portfolio analysis and portfolio construction processes, and may also be licensed as the basis of index-linked investment vehicles such as structured products and ETFs.

The MSCI Europe Momentum Tilt and MSCI Europe Value Tilt Indices are based on the MSCI Europe Index and the Barra Europe Equity Risk Model.

It is expected that factor indices combining other MSCI indices, Barra risk models and Barra factors will be developed over the coming months.

The indices are available on request from MSCI, with real time index levels expected to be available on Bloomberg and Reuters shortly after index launch.

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