MSCI Factor Indexes in Perspective: Insights from 40 Years of Data

Sep 18, 2014

With Research Spotlight - MSCI Factor Indexes in Perspective:Insights from 40 Years of Data, we launch our new publication called the Research Spotlight. IEach paper in the series, we will focus on the key findings of a longer white paper, summarizing the research for a non-technical audience. While certain readers will be drawn to the longer publication for the full scope of the study, the Research Spotlight affords a quick and focused summary for those interested in a concise overview.

Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Spotlight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics, MSCI's analytical framework, to investigate various characteristics of factor indexes, such as risk, return, liquidity, investability and cost. This part contains supplementary data only.