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The MSCI Factor Indexes are rules-based indexes that capture the returns of systematic factors that have historically earned a persistent premium over long periods of time—such as Value, Low Size, Low Volatility, High Yield, Quality and Momentum.
3 ημέρες πριν · MSCI Factor Indexes help capture the return of factors which have historically shown excess market returns over the long run. MSCI provides factor indexes like quality index, minimum volatility index, momentum index, dividend yield index, low size index, enhanced value index.
MSCI FaCS creates a common language and definitions around Factors to be used by broader audiences. MSCI FaCS is built from MSCI’s Barra Global Equity Factor Model and includes 8 Factor Groups and 16 Factors.
The Cambridge Associates LLC U.S. Private Equity (Legacy Definition) Index contains the historical performance records of 980+ private investment fund managers and 2,020 institutional quality funds raised. In aggregate, these funds have a total capitalization of USD $2.90 trillion.*
In this article, we define factor investing and review its history, examine five common factors and the theory behind them, show their performance and cyclicality over time, and discuss the potential benefits of investing in factor-based strategies.
Factor Profile gives an investor a snapshot of a fund's exposures to seven different equity factors that are important drivers of risk and return. Morningstar's factor definitions were chosen...
In tracing the origins of the CAPM, two papers appear to have been the primary inspirations. In 1952, Harry Markowitz provided the first truly rigorous justification for selecting and diversifying a portfolio with the publication of his paper “Portfolio Selection.”
