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MSCI IndexMetrics®
Multiperspective analysis of MSCI indexes, delivered through a single integrated report.

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IndexMetrics is a service providing multiperspective analysis of MSCI indexes that enables investors to evaluate, compare and monitor strategies linked to MSCI indexes in a streamlined and cost-effective way. Since it was introduced in 2013, IndexMetrics has evolved to become a standard framework to enable deep portfolio insights quickly and efficiently.

IndexMetrics supports multiple views of index characteristics, encompassing key metrics, performance, exposure and investability measures. It is used internally at MSCI for new index development and externally to help our clients quickly assess factor and ESG characteristics and gain insights into drivers of risk and return.  

From understanding the sources of exposure within an index, to comparing characteristics of multiple indexes relative to the same benchmark, IndexMetrics supports factor, ESG and thematic investing. By capitalizing on MSCI’s extensive, high-quality historical data and MSCI's Barra equity risk models, IndexMetrics provides investors greater transparency into the core drivers of risk and return, enabling them to make better informed investment decisions.

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Standard Framework

IndexMetrics provides investors with quantitative measures of MSCI indexes along four standard dimensions – Key Metrics, Performance, Exposure and Investability.

A high level one-page overview of the characteristics and performance of the index relative to its benchmark.

Given the historical risk and return profiles seen in the key metrics report, investors are able to further identify active exposures for factor, ESG and thematic indexes relative to their parent index.

 

 

Active exposures
Exposure monitoring is useful both before strategy implementation when selecting an index, as well as post implementation to track how the index exposures compare to those targeted by the methodology.

 
 

Valuations
Valuations exposure is offered in both tabular and graphic form. These views show how the valuations of the indexes compare to their parent index and how those have changed over time.

 
 

ESG integration and values
Provides an overview of the ESG exposure of the index in comparison with its benchmark, enabling investors to evaluate whether or not the index is aligned with their ESG objectives. This section is based on products such as MSCI ESG Ratings, MSCI ESG Controversies and MSCI Business Involvement Screening Research provided by MSCI ESG Research LLC.

 
 

Climate change
Provides an overview of the ESG climate change exposure of the index compared to its benchmark for investors that incorporate climate change considerations in their investment process and is based on MSCI ESG CarbonMetrics and MSCI Climate Change Metrics.

 

 

Important tools used to gain insights into the sources of the underlying exposures driving excess returns and risks. These metrics help investors evaluate if the excess performance is contributed by target exposures.

 

 

Performance attribution
Analysis that shows the exposure and performance contributions from style factors, countries and industries at a more granular level; also provides information on stocks that contributed significantly to index performance over the past three months.

 
 

Risk profile
Identifies a range of risks, including the index total, relative and tail risk properties. Investors measure risk in several ways, including absolute risk, tracking error and drawdowns. These risk metrics aim to show a broad selection of these measures.

 

 

These metrics help investors assess the liquidity, capacity and cost trade-offs that are key to index-based strategy implementation.

 

 

Capacity and concentration
Assess the trade-off between intensity of exposures and index investability when enhancing targeted factor exposures.

 
 

Liquidity and cost of replication
Quantify the trade-off between potential risk-adjusted return benefits of indexes and increased implementation and replication costs.

 
 

Top constituents & top active positions
Review the top 20 constituents of the index by weight as well as the top and bottom 20 constituents of the index by active weight.

 

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MSCI IndexMetrics: An Analytical Framework for Factor, ESG and Thematic Investing

MSCI introduced IndexMetrics as a lingua franca to provide a multiperspective analysis of indexes. The framework is designed to provide quantitative measures for key metrics, performance, exposure and investability. This research insight, updated for 2020, details the IndexMetrics analytical framework for factor, ESG and thematic indexes.

 

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