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Finding Value: Understanding Factor Investing
Nov 1, 2023
The core premise of value investing is generally agreed upon, but the implementation of value strategies varies considerably. We show that combining multiple measures of value can provide a better definition of the value factor than using any one measure alone.
We evaluate three generations of value indexes: traditional value, value-weighted and high-exposure value. Historically, the third-generation index has opened the door the widest to the potential for capturing the long-term premium associated with the factor.
The exhibit compares the performance of a third-generation value index over the long term across regions.
Regional performance of the MSCI Enhanced Value Indexes
Returns are gross and are stated in USD relative to the regional parent. Emerging market (EM) returns start in January 1993. Data period is 1976-2022.
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Research authors
- Anil Rao, Executive Director, MSCI Research
- Raman Subramanian, Managing Director, MSCI Research
- Abhishek Gupta, Executive Director, MSCI Research
- Altaf Kassam
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