Email Contact Phone Company Visit Website

New York Head Office

Wall Street Plaza 88 Pine Street, 2nd Floor
New York
NY
US

London Office

75 King William Street
London
GB

Tokyo Office

Hanzomon First Building 8F 1-4 Kojimachi, Chiyoda-ku
Tokyo
JP

Hong Kong Office

Suites 1910-1919, Jardine House 1 Connaught Place
Central, Hong Kong
HK

Telephone

00442076182183

Contact

Nele Van der borght
[email protected]
Back to all MSCI announcements

MSCI Launches New Factor Indices

MSCI Inc. (NYSE: MXB), a leading provider of investment decision support tools worldwide, announced today the launch of 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,” said David Brierwood, Chief Operating Officer at MSCI Inc. “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.