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Asset Management / Wealth Management
MSCI rolls out new equity factor models
Offerings designed to help investors better manage portfolios amid changing market dynamics
The Asset 16 Jun 2022

Index provider MSCI has launched next-generation equity factor models to help investors better understand the factors that drive portfolio risk and performance amid volatile market conditions.

The four new models are the MSCI Global Equity Factor Model and the MSCI USA Equity Factor Model, which are designed for long-term investors, and the MSCI Global Equity Factor Trading Model and the MSCI USA Equity Factor Trading Model, which are for investors managing strategies with shorter investment horizons.

The models feature three new factors: sustainability, which includes both an ESG factor and a carbon efficiency factor that measures a company’s emissions relative to its size; crowding, which uses multiple measures to assess how a stock is priced relative to its own history; and machine learning, which leverages data science and natural language processing to evaluate the relationships between different variables that impact a stock’s returns.

Through these models, MSCI says, investors will be able to construct portfolios across new and familiar factor dimensions, run comparisons to industry peers and benchmarks, and provide enhanced transparency into portfolio characteristics through improved handling of initial public offerings, improved coverage, and dynamic industry exposure analysis.

The firm is making them available through multiple distribution channels, including Snowflake’s Data Cloud, select third-party partners, and directly via its Barra Portfolio Manager and BarraOne platforms.

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