MSCI has released the MSCI Europe Momentum Tilt index and the MSCI Europe Value Tilt index, as th...
MSCI has released the MSCI Europe Momentum Tilt index and the MSCI Europe Value Tilt index, as the first in a new series of factor indices, based on the MSCI Europe Index and Barra Europe Equity Risk model.
The factor indices adopt an optimisation process which aims to maximise exposure to a single Barra factor, as well as minimise tracking error to the underlying MSCI index.
The indices can support investment managers in portfolio analysis and the portfolio construction process, and can be licensed to underlie ETFs and other index-linked investments.
Factor indices combining other MSCI indices, Barra risk models and Barra factors are expected to be developed in the following months.
"These unique indices combine MSCI's index construction and risk modelling expertise and their launch follows an extensive consultation with market participants," says MSCI chief operating officer David Brierwood.
He adds: "They are weighted towards stocks that are exposed to fundamental factors, such as value and momentum, which can be important drivers of portfolio performance."
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